María José Pérez-Fructuoso

This paper develops a financial-actuarial methodology to calculate the real and expected returns of a mixed insurance operation, consisting of a simple life insurance and a simple savings insurance, under the hypothesis of a periodical risk premium. For this purpose, random variables are defined, both the annual effective return (real return) and the present value of the insured's benefit, whose probability distributions will allow obtaining the real and expected profitability of the operation, as well as risk indicators that measure the maximum profitability that can be obtained and under what conditions.

Aging, as a phenomenon of profound social significance, has important repercussions. In this work, which focuses on Spain, aging and population structure indicators are analyzed. This basis for demographic analysis becomes useful later in preparing a sociological essay on the most pressing challenges facing Spanish society concerning population aging. The methodology used, as is usual within the framework of the social sciences, involves a combination of quantitative and qualitative approaches. Specifically, from an eminently quantitative perspective, the important methodological shift of the 2021 Population and Housing Census is considered. It is also considered how the Statistics on Migrations and Changes of Residence emerge with the intention of measuring the migratory phenomenon between two consecutive censuses, as this phenomenon is also of great social significance in our country. The work culminates with a brief sociological interpretation of the challenges facing Spanish society as a consequence of the population dynamics studied.

Desde finales del siglo pasado, el aumento de las catástrofes naturales, tanto en número como en pérdidas aseguradas, ha provocado que se desarrollen formas alternativas de transferencia y financiación de los riesgos tradicionales, pero también emergentes no sujetos a cobertura hasta el momento. Una de estas soluciones son los seguros paramétricos que permiten agilizar los procesos de indemnización, beneficiando de esta forma a asegurados y aseguradoras. En este artículo se desarrolla el concepto de seguro paramétrico prestando especial atención a como mecanismo de protección financiera contra catástrofes.

Ageing, as a phenomenon of profound social significance, has important repercussions. In this work, focused on Spain, the indicators of ageing and population structure are analyzed. This base for demographic analysis is later useful for preparing a sociological essay on the most pressing challenges facing Spanish society, with regard to population ageing. The methodology used, as is usual in the framework of the Social Sciences, involves a combination of the quantitative and qualitative approach. Specifically, from the eminently quantitative perspective, the important methodological shift of the 2021 Population and Housing Census has been taken into account. It also considers how the Statistics on Migrations and Changes of Residence emerge with the aim of measuring the migratory phenomenon between two consecutive censuses, a phenomenon, also, of great social significance in our country. The work culminates with a brief sociological interpretation of the challenges facing Spanish society, as a consequence of the population dynamics studied.

Purpose: This paper develops a stochastic model to calculate the loss index trigger for catastrophe bonds as alternative instruments for the management of major insured risks, such as natural catastrophe. Methodology: The underlying loss index of catastrophe bonds is the aggregate catastrophe losses reported before the end of certain period. The catastrophe severity is defined as the sum of two random variable: the reported loss amount and incurred-but-not-yet-reported loss amount, and the central hypothesis is that the latter decreases proportionally to a linearly increasing function up to a certain time and constant thereafter, called the hybrid claim reporting rate. Randomness in the reporting process is represented by a geometric Brownian motion in the claim reporting rate. The validity of the proposed model is evaluated by estimating its parameters using machine learning techniques (specifically, evolutionary strategies, ES). Findings: The results shows that the model accurately captures the uneven behavior of the claim reporting process over time and therefore correctly describes the catastrophic claims reporting process. Originality: The model proposed allows for an easy calculation of catastrophic loss indexes, thus facilitating the pricing of loss index-triggered Cat bonds. This translates into better catastrophe risk management for both insurance and reinsurance companies, as well as for those companies that diversify their portfolios with this type of financial instruments. The simplicity of the presented model facilitates parameter estimation and simulation.

Catastrophe bonds are an alternative financial solution to traditional catastrophe risk hedging mechanisms. For this reason, the World Bank has developed a program for issuing these financial instruments (MultiCat Program) whose objective is to help emerging economies to efficiently insure these risks and allow investors to obtain high returns uncorrelated with traditional financial assets. This article provides a description of these products designed by the World Bank and develops the main characteristics of some of the most important Cat bond transactions carried out by the World Bank to date. Los bonos sobre catástrofes son una solución financiera alternativa a los mecanismos tradicionales de cobertura del riesgo catastrófico. Por esta razón, el Banco Mundial ha desarrollado un programa de emisión de estos instrumentos financieros (Programa MultiCat) cuyo objetivo es ayudar a las economías emergentes a asegurar estos riesgos de manera eficiente y permitir a los inversores obtener elevadas rentabilidades no correlacionadas con los activos financieros tradicionales. En este artículo se realiza una descripción de estos productos diseñados por el Banco Mundial y se desarrollan las principales características de algunas de las transacciones más importantes con Cat bonds realizadas por este organismo hasta la fecha.

El gran aumento de las pérdidas aseguradas derivadas de la ocurrencia de catástrofes naturales, ha provocado la insuficiencia de la cobertura tradicional del reaseguro en el mercado asegurador, motivando la búsqueda de nuevas formas alternativas de transferencia del riesgo a través de los mercados de capital. Una de las formas de titulización más utilizada y desarrollada hasta la fecha ha sido la emisión de bonos catastróficos o CAT Bonds. En este trabajo se presentan las ventajas de diversificación, los atractivos rendimientos que ofrecen estos bonos catastróficos (CAT), así como la forma de calcularlos a través de los índices Swiss Re Cat Bond.

En este trabajo se determina la rentabilidad financiero-fiscal de un seguro de capital diferido a prima periódica, pura y comercial, incorporando también aspectos relativos a su fiscalidad (bonificaciones y tasas impositivas). Dado el carácter aleatorio de la operación actuarial considerada, el parámetro de decisión rentabilidad de la operación no puede ser un único valor numérico. Por ello, además de obtener las expresiones analíticas de las distribuciones de probabilidad de la rentabilidad real y de la rentabilidad esperada de la operación, se calcularán unos indicadores de riesgo que complementen la información disponible para el asegurado, facilitando de esa forma su elección. El artículo finaliza presentando un análisis de sensibilidad de las rentabilidades real y esperada bajo diferentes escenarios de duración de la operación y edad del asegurado, lo que muestra la utilidad de las rentabilidades e indicadores de riesgo obtenidos como instrumento para establecer comparaciones entre los distintos productos ofrecidos por las aseguradoras.

This works intends to determine the insured's financial and fiscal payoff in deferred life annuities. We will obtain the respective analytical expressions of the operation's payoff probability distribution, of the expected payoff, and of other additional risk parameters to be used. We attach the numerical application of a particular case. This study shows the applicability of its results, and thus allows the insured to make his or her decisions with the maximum information within random environments.