Programme

July 1
 

9:00 – 9:30
 
Registration
 
9:30 – 14:00
 
Especial Pensiones

Especial pensiones is a open monographic event focused on the pension system in Spain. Two invited lectures will provide, from the professional and academic perspective, an overview of the current situation of the public and private Spanish pension system and the future challenges arising from the new demographic trends.

The session will end with a round table moderated by the journalist Jordi Parilla.

14:30 – 16:00
 
Lunch
 
16:00 – 16:45
 
Lecture (Chair: José Enrique Devesa Carpio)

Silvia Herms (AMICE)

THE TWO REVIEWS OF SOLVENCY II: 2018 REVIEW OF SCR STANDARD FORMULA AND 2020 REVIEW OF SOLVENCY II DIRECTIVE

 

The first process of post-evaluation of the SCR calculation with the standard formula foreseen in the Solvency II Delegated Regulation – the so-called 2018 Solvency II Review – has become to an end and will have to be implementing by firms in 2019. The European Commission launched in February 2019 the full review of the Solvency II rules ( the “2020 Full Review”) as required by the Solvency II Directive for the end of 2020. The speaker will provide an overview of the objectives of the 2020 review process and the amendments to be considered following the 2018 Solvency II review.

16:45 – 17:15
 
Session 1 – Public Pensions (Chair: Francisco Javier Sarrasí)
 
José Enrique Devesa Carpio, Mar Devesa Carpio, Inmaculada Domínguez Fabián, Borja Encinas Goenechea y Robert Meneu Gaya.
LAS COMUNIDADES AUTÓNOMIAS Y LA SEGURIDAD SOCIAL

Margarita Velín Fárez
MACROECONOMIC ANALYSIS OF PUBLIC PENSION SYSTEMS: AN APPLICATION TO ECUADOR

17:30
 
Guided Tour (Departure time from venue)
 
21:00
 
Social Dinner
 

July 2
 

9:00 – 9:45
 
Lecture (Chair: Eliseo Navarro)

Ana Maria Debón (Universitat Politècnica de València)

MORTALITY MODELS FOR THE STUDY OF AGING AND LONGEVITY

 

This talk reviews the most commonly used dynamic models. From Heligman and Pollard laws to the model introduced by Lee and Carter in 1992. Different versions of models, incorporating hypotheses about the data, constraints on the parameters, and different fitting methods have led to improvements.
Considering different models, mortality indicators predictions and confidence intervals. Models and methods are applied to Spanish mortality data. Our working method is of additional interest as it may be applied to mortality data for a wide range of ages in any geographical location, allowing the most appropriate dynamic life table to be selected for the case at hand.

9:45 – 10:30
 
Session 2 – Fourth age financial products (Chair: Laura González-Vila)
 
Iván de las fuente Merencio, Gregorio Serna y Eliseo Navarro
ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON

Manuela Bosch y M. Mercè Claramunt
REVERSE MORTAGES IN SPAIN: RELATION WITH OTHER EQUITY RELEASE PRODUCTS AND AN ALTERNATIVE TO THE CROSSOVER POINT

Robert Meneu Gaya, José Enrique Devesa Carpio, Mar Devesa Carpio, Inmaculada Domínguez Fabián y Borja Encinas Goenechea
LA EDAD DE JUBILACIÓN Y LA EQUIDAD ACTUARIAL

10:30 – 11:15
 
Lecture (Chair: Robert Meneu)

José Enrique Devesa Carpio (Universitat de València)

EL SISTEMA DE PENSIONES ESPAÑOL: ¿ALGUNA VEZ HA EXISTIDO UNA ECUACIÓN DE EQUIVALENCIA ACTUARIAL?

 

11:15 – 11:45
 
Coffee Break + Poster Session
 
11:45 – 12:30
 
Session 3 – Actuarial Models (Chair: Teresa Costa)
 
Anna Castañer y M. Mercè Claramunt
ACTUARIAL APPLICATIONS OF SCHUR-CONSTANT EQUILIBRIUM DISTRIBUTION MODELS

F. Javier Sarrasí Vizcarra y Mª Àngels Pons Cardell
REASEGURO Y CAPITAL DE SOLVENCIA OBLIGATORIO EN EL RIESGO DE SUSCRIPCIÓN DEL SEGURO DE VIDA

M. Mercè Claramunt y Maite Mármol
INTRODUCCIÓN DE SEGUROS SOBRE FRANQUICIA COMO COMPLEMENTO AL SEGURO CON FRANQUICIA: INFLUENCIA SOBRE LA PRIMA

12:30 – 13:15
 
Lecture (Chair: M. Mercè Claramunt)

Alfredo Duarte Egidio dos Reis (Universidade de Lisboa)

ESTIMATION OF FORESEEABLE AND UNFORESEEABLE RISKS IN MOTOR INSURANCE

 

This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two different risk streams that arise together, however not clearly separated or observed. Specifically, we consider a risk surplus process where premia are adjusted according to past claim frequencies, like in a Bonus-Malus (BM) system, when we consider a classical or historical risk stream and an unforeseeable risk one. These are unknown risks which can be of high uncertainty that, when pricing insurance (ratemaking and experience rating), suggest a sensitive premium adjustment strategy. It is not clear for the actuary to observe which claim comes from one or the other stream. When modelling such risks it is crucial to estimate the behaviour of such claims, occurrence and their severity. Premium calculation must fairly reflect the nature of these two kinds of risk streams.
We start proposing a model, separating claim counts and severities, then propose a premium calculation method, and finally a parameter estimation procedure. In the modelling we assume a Bayesian approach as used in credibility theory, a credibility approach for premium calculation and the use of the Expectation-Maximization (EM) algorithm in the estimation procedure.
2010.

13:15 – 15:00
 
Lunch
 
15:00 – 16:15
 
Session 4 – Young researchers (Chair: Eva Boj)
 
Henglong Wu, Oriol Roch y Josep Vives
ERROR DE COBERTURA EN TIEMPO DISCRETO EN OPCIONES CON MÚLTIPLES SUBYACENTES

Francisco Javier Varea y Álex Vázquez
LOS PLANES DE EMPLEO EN LAS PYME. ANALISIS DE LA SITUACIÓN EN ESPAÑA EN 2017

Alejandro García
TARIFICACIÓN DE LAS CONTINGENCIAS DE ENFERMEDAD GRAVE CÁNCER E INFARTO DE MIOCARDIO Y SU EFECTO EN SOLVENCIA II

Shenghua Zhang
MODELOS ESTOCÁSTICOS APLICADOS A LOS SEGUROS DE VIDA

16:15
 
Closing
 

 

 

Past editions: 

IV Workshop on Pensions and Insurance 2018. Programme

III Workshop on Pensions and Insurance 2017. Programme

II Workshop on Pensions and Insurance 2016. Programme

I Workshop on Pensions and Insurance 2015. Programme