CEMAPRE - Comunicações em Actas de conferências / Conference Documents
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- Dynamics of broadbands demand : Substitution or complementarity between fixed and mobile technologies? : An application to the Portuguese casePublication . Silva, Rita Filipe; Proença, Isabel; Varela, JoãoThe development of the broadband market is a key aspect of the economic and social growth of a country. However, despite the importance and the development of broadband market in Portugal in recent years, especially with the explosion of the number of mobile broadband accesses, the studies for the Portuguese case are rare. The present paper seeks to contribute to the discussion about the definition of the broadband market in Portugal, specifically studying the demand for broadband Internet and measuring the determinants that explain the use of each of the technologies available to provide broadband access, with emphasis on the differences between fixed and mobile accesses. Demand broadband functions were estimated using nested logit and multinomial discrete choice model. The primary source of information was ANACOM’s Electronic Communications Services Consumption Survey, complemented with price information regarding the offers available in the market. The estimations obtained for the elasticities point out the probable existence of substitution between ADSL and cable and between these fixed broadband technologies and the mobile broadband. However, the inverse relation is not statistically significant, the demand for mobile broadband isn´t constrained by the price of ADSL or of cable, which may reveal the existence of asymmetric substitution between fixed and mobile broadband accesses. These results have implications in the definition of the broadband market in Portugal which will be discussed.n of the broadband market in Portugal which will be discussed.
- The Cramér-Lundberg and the dual risk models : ruin dividend problems and duality featuresPublication . Bergel, Agnieszka I.; Cardoso, Rui M.R.; Reis, Alfredo D. Egídio dos; Rodriguez, Eugenio V.In the present paper we study some existing duality features between two very known models in Risk Theory. The classical Cramér–Lundberg risk model with application to insurance, and the dual risk model with (some) financial application. For simplicity the former will be referred as the primal model. The former has been of extensive treatment in the literature, it assumes that a given surplus process has constant deterministic gains (premiums) and random loses (claims) that come at random times. On the other hand, the latter, called as dual model, works in opposite direction, losses (costs) are constant and deterministic, and the gains (earnings) are random and come at random times. Sometimes this one is called the negative model. Similar quantities, with similar mathematical properties, work in opposite direction and have different meanings. There is however an important feature that makes the two models quite distinct, either in their application or in their nature: the loading condition, positive or negative, respectively. The primal model has been worked extensively and focuses essentially in ruin problems (in many different aspects) whereas the dual model has developed more recently and focuses on dividend payments. I most cases, they have been worked apart, however they have connection points that allow us to use methods and results from one to another. basically form the first to the second. Identifying the right connection, or duality, is crucial so that we transport methods and results. In the work by Afonso et al. (2013) this connection is first addressed in the case when the times between claims/gains follow an exponential distribution. We can easily understand that the ruin time in the primal has a correspondence to the dividend time in the latter. On the opposite side the time to hit an upper barrier in the primal model has a correspondence to the time to ruin in the dual model. Another interesting feature is the severity of ruin in the former and the size of the dividend payment in the latter.
- Estimation of foreseeable and unforeseeable risks in motor insurancePublication . Ni, Weihong; Constantinescu, Corina; Reis, Alfredo D. Egídio dos; Maume-Deschamps, VéoniqueThis project works with the risk model developed by [6] 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
- Cyber risk : an analysis of self-protection and the prediction of claimsPublication . Azevedo, Alana K.; Bergel, Agnieszka I.; Reis, Alfredo D. Egídio dosFor a set of Brazilian companies, we study the occurrence of cyber risk claims by analyzing the impact of self protection and the prediction of their occurrence. We bring a new perspective to the study of cyber risk analyzing the probabilities of acquiring protection against this type of risk by using propensity scores. We consider the problem of whether acquiring cyber protection improves network security using a matching method that allows a fair comparison among companies with similar characteristics. Our analysis, assisted with Brazilian data, shows that despite informal arguments that favor self-protection against cyber risks as a tool to improve network security, we observed that in the presence of self-protection against cyber risks, the incidence of claims is higher than if there were no protection. Regarding the prediction of the occurrence of a claim, a system considering a feedforward multilayer perceptron neural network was created, and its performance was measured. Our results show that, when applied to the relevant information of the companies under study, it presents a very good performance, reaching an eciency in general classication above 85%. The fact is that the use of neural networks can be quite opportune to help in solving the problem presented.
- A public micro pension programme in Brazil : Heterogeneity among states and setting up of benefit age adjustmentPublication . Alcoforado, Renata G.; Reis, Alfredo D. Egídio dosBrazil is the 5th largest country in the world, despite of having a \High Human Development" it is the 9th most unequal country. The existing Brazilian micro pension programme is one of the safety nets for poor people. To become eligible for this benet, each person must have an income that is less than a quarter of the Brazilian minimum monthly wage and be either over 65 or considered disabled. That minimum income corresponds to approximately 2 dollars per day. This paper analyses quantitatively some aspects of this programme in the Public Pension System of Brazil. We look for the impact of some particular economic variables on the number of people receiving the benet, and seek if that impact signicantly diers among the 27 Brazilian Federal Units. We search for heterogeneity. We perform regression and spatial cluster analysis for detection of geographical grouping. We use a database that includes the entire population that receives the bene- t. Afterwards, we calculate the amount that the system spends with the beneciaries, estimate values per capita and the weight of each UF, searching for heterogeneity re ected on the amount spent per capita. In this latter calculation we use a more comprehensive database, by individual, that includes all people that started receiving a benet under the programme in the period from 2nd of January 2018 to 6th of April 2018. We compute the expected discounted benet and conrm a high heterogeneity among UF's as well as gender. We propose achieving a more equitable system by introducing `age adjusting factors' to change the benet age.
- Modelling risk for commodities in Brazil: an application to live cattle spot and futures pricesPublication . Alcoforado, Renata G.; Wilton, Bernardino; Reis, Alfredo D. Egídio dos; Santos, José A. C.This study analysed a series of live cattle spot and futures prices from the Boi Gordo Index (BGI) in Brazil. The objective was to develop a model that best portrays this commodity’s behaviour to estimate futures prices more accurately. The database created contained 2,010 daily entries in which trade in futures contracts occurred, as well as BGI spot sales in the market, from 1 December 2006 to 30 April 2015. One of the most important reasons why this type of risk needs to be measured is to set loss limits. To identify patterns in price behaviour in order to improve future transactions’ results, investors must analyse fluctuations in assets’ value for longer periods. Bibliographic research revealed that no other study has conducted a comprehensive analysis of this commodity using this approach. Cattle ranching is big business in Brazil given that in 2017, this sector moved 523.25 billion Brazilian reals (about 130.5 billion United States dollars). In that year, agribusiness contributed 22% of Brazil’s total gross domestic product. Using the proposed risk modelling technique, economic agents can make the best decision about which options within these investors’ reach produce more effective risk management. The methodology was based on Holt-Winters exponential smoothing algorithm, autoregressive integrated moving average (ARIMA), ARIMA with exogenous inputs, generalised autoregressive conditionally heteroskedastic and generalised autoregressive moving average (GARMA) models. More specifically, 5 different methods were applied that allowed a comparison of 12 different models as ways to portray and predict the BGI commodity’s behaviour. The results show that GARMA with order c(2,1) and without intercept is the best model..