As ruin theory evolves in recent years, there has been a variety of quantities pertaining to an insurer's bankruptcy at the centre of focus in the literature. Despite the fact that these quantities are distinct from each other, it was brought to our attention that many solution methods apply to nearly all ruin-related quantities. Such a peculiar similarity among their solution methods inspired us to search for a general form that reconciles those seemingly different ruin-related quantities. The stochastic approach proposed in the thesis addresses such issues and contributes to the current literature in three major directions. (1) It provides a new function that unifies many existing ruin-related quantities and that produces more new quantities of potential use in both practice and academia. (2) It applies generally to a vast majority of risk processes and permits the consideration of combined effects of investment strategies, policy modifications, etc, which were either impossible or difficult tasks using traditional approaches. (3) It gives a shortcut to the derivation of intermediate solution equations. In addition to the efficiency, the new approach also leads to a standardized procedure to cope with various situations. The thesis covers a wide range of ruin-related and financial topics while developing the unifying stochastic approach. Not only does it attempt to provide insights into the unification of quantities in ruin theory, the thesis also seeks to extend its applications in other related areas.

This thesis examines stabilizing mechanisms in social security retirement systems (“SSRS”), especially those purporting to be automatic balancing mechanisms (“ABM”). It develops a consistent approach to identifying whether an ABM is robust, partial or transitory and establishes a terminology to classify balancing mechanisms. Both financial and equitable balances are considered in assessing whether an ABM achieves balance. Families of definitions of equity are presented and a benchmark by which to measure equitable balance is defined and applied. The balancing mechanisms of Canada, Germany, Japan and Sweden are described, evaluated and classified. None of these mechanisms are found to be robust. This thesis provides a critical analysis of an approach referred to as integration to financial markets and the approach is found to be deficient. In analyzing the Swedish SSRS a critical error in the way assets are calculated is identified and a suitable correction is proposed. A further weakness in the application of the Swedish ABM is identified that means that once an imbalance occurs, balance is unlikely to be restored. The thesis also discusses some of the unusual characteristics of the steady-state contribution rate calculation for the Canadian SSRS and shows that although it has limited application and does not appear to depend on any actuarial principle, the steady-state contribution rate calculation creates a tension between the near and distant future, which is a factor in achieving financial balance over a seventy-five year horizon. With respect to the balancing mechanism in the Canadian SSRS, the thesis proposes a change in how the mechanism is defined so that the mechanism would be robust, within certain ranges.

As ruin theory evolves in recent years, there has been a variety of quantities pertaining to an insurer's bankruptcy at the centre of focus in the literature. Despite the fact that these quantities are distinct from each other, it was brought to our attention that many solution methods apply to nearly all ruin-related quantities. Such a peculiar similarity among their solution methods inspired us to search for a general form that reconciles those seemingly different ruin-related quantities. The stochastic approach proposed in the thesis addresses such issues and contributes to the current literature in three major directions. (1) It provides a new function that unifies many existing ruin-related quantities and that produces more new quantities of potential use in both practice and academia. (2) It applies generally to a vast majority of risk processes and permits the consideration of combined effects of investment strategies, policy modifications, etc, which were either impossible or difficult tasks using traditional approaches. (3) It gives a shortcut to the derivation of intermediate solution equations. In addition to the efficiency, the new approach also leads to a standardized procedure to cope with various situations. The thesis covers a wide range of ruin-related and financial topics while developing the unifying stochastic approach. Not only does it attempt to provide insights into the unification of quantities in ruin theory, the thesis also seeks to extend its applications in other related areas.

This thesis examines stabilizing mechanisms in social security retirement systems (“SSRS”), especially those purporting to be automatic balancing mechanisms (“ABM”). It develops a consistent approach to identifying whether an ABM is robust, partial or transitory and establishes a terminology to classify balancing mechanisms. Both financial and equitable balances are considered in assessing whether an ABM achieves balance. Families of definitions of equity are presented and a benchmark by which to measure equitable balance is defined and applied. The balancing mechanisms of Canada, Germany, Japan and Sweden are described, evaluated and classified. None of these mechanisms are found to be robust. This thesis provides a critical analysis of an approach referred to as integration to financial markets and the approach is found to be deficient. In analyzing the Swedish SSRS a critical error in the way assets are calculated is identified and a suitable correction is proposed. A further weakness in the application of the Swedish ABM is identified that means that once an imbalance occurs, balance is unlikely to be restored. The thesis also discusses some of the unusual characteristics of the steady-state contribution rate calculation for the Canadian SSRS and shows that although it has limited application and does not appear to depend on any actuarial principle, the steady-state contribution rate calculation creates a tension between the near and distant future, which is a factor in achieving financial balance over a seventy-five year horizon. With respect to the balancing mechanism in the Canadian SSRS, the thesis proposes a change in how the mechanism is defined so that the mechanism would be robust, within certain ranges.

退休金的會計處理原本即具複雜性，加上最近退休金制度的變革，形成退休金會計獨特且豐富的情境背景，提供了許多的研究機會。本論文包含三個與退休金會計相關之議題；其中第一個議題是「勞工退休金新制之股價效應」；第二個議題是「退休金精算假設選用之誘因」；第三個議題是「退休金精算假設選用之價值攸關性」。三個議題均以效率市場假說為基礎，針對勞工退休金新制之實施與退休金精算假設之選用，分別深入探討其與股價之關聯性。 首先，本論文第一個議題探討勞退新制之股價效應。事件日股票報酬與公司特質的關聯分析，雖然部分的實證結果不顯著，然而部分的證據顯示，勞退新制公布實施時，公司股票報酬與退休金提撥不足程度、員工平均服務年資、退休金提撥率、退休金成率等公司特質具有關聯性，隱含資本市場在某種程度上，似乎可以依據勞退新制對公司不同之衝擊程度，反映於公司股票報酬。 其次，本論文第二個議題探討退休金精算假設選用之誘因。實證的結果顯示，我國上市上櫃公司精算假設選用的橫斷面差異，可能源於債務契約、提撥不足之成本以及損益平穩化等誘因。最後，本論文第三個議題探討退休金精算假設選用之價值攸關性。實證結果顯示，退休金精算假設選用具價值攸關性，投資人對公司選用精算假設保守程度有所評價，對於裁量性 (隱藏的) 預計給付義務亦有所反映，似乎適當地根據精算假設選用對於預計給付義務之影響幅度來調整對公司之評價，隱含資本市場並未功能性固著於報導的退休金義務。 / There are three essays in this dissertation. The first essay examines the impact on equity prices of the Promulgation of Labor Pension Act. Evidence reported in the paper shows that negative abnormal returns are most pronounced for firms with large underfunded level of pension plan, firms with little average years of employment, firms with low contribution ratio, and firms with low pension cost ratio. The second essay explains the cross-sectional variation in firms’ selected actuarial assumptions (rate of increase in compensation and discount rate) used to measure the projected benefit obligation (PBO). Evidence shows that firms with relatively larger debt ratio, larger underfunded level of pension plan, and larger decline in earnings tend to select more aggressive (obligation-reducing) estimation parameters. The last essay studies the association between actuarial assumptions and firm value. The results indicate that firm value is lower, conditional on the reported PBO, for firms that use higher discount rates and lower rate of increase in compensation. This is consistent with investors seeing through managers’ opportunistic choices of obligation reducing assumptions. The evidence suggests that the stock market does not fixate on reported PBO numbers, but properly appreciates the value relevance of the discretionary component of the PBO.

Αρχικά γίνεται μια ιστορική αναδρομή, μια παρουσίαση της διπαραμετρικής Γενικευμένης εκθετικής κατανομής (τύπος κατανομής, συνάρτηση πυκνότητας πιθανότητας κλπ) και αναφέρονται βασικά χαρακτηριστικά της κατανομής. Στη συνέχεια αναφέρονται βασικοί ορισμοί και θεωρήματα σχετικά κυρίως με τη σημειακή παραμετρική εκτίμηση καθώς και την εκτίμηση κατά Bayes. Το επόμενο κεφάλαιο πραγματεύεται την ανάλυση του μοντέλου και τις βασικές ιδιότητες της Γενικευμένης εκθετικής κατανομής. Επίσης μελετώνται ειδικά θέματα, όπως συναρτήσεις επιβίωσης, πληροφορία Fisher, διατεταγμένες παρατηρήσεις, κατανομή του αθροίσματος και παραγωγή τυχαίων αριθμών, στα πλαίσια της Γενικευμένης εκθετικής κατανομής. Στη συνέχεια αναλύονται και εφαρμόζονται μέθοδοι σημειακής εκτίμησης (Μέγιστη Πιθανοφάνεια, Μέθοδος ροπών, Μέθοδος εκατοστημορίων, Ελάχιστα και σταθμισμένα ελάχιστα Τετράγωνα, L-ροπές) για την εκτίμηση των παραμέτρων της κατανομής. Μελετάται και η απόδοση των εκτιμητών για τις διάφορες μεθόδους εκτίμησης. Ακολουθεί η εκτίμηση τύπου Bayes των παραμέτρων (με συναρτήσεις ζημίας τετραγωνικού σφάλματος και LINEX αντίστοιχα). Αναφέρονται πάλι συμπεράσματα για την απόδοση των εκτιμητών και σύγκριση με τους εκτιμητές μέγιστης πιθανοφάνειας. Τελικά παρουσιάζουμε την προσέγγιση ενός αναλογιστικού πίνακα μέσω της Γενικευμένης εκθετικής κατανομής. / In the beginning, we mention a historical recursion, a presentation of the 2-parameter Generalized exponential distribution ( distribution type, probability density function etc.) and we also mention basic characteristics of the distribution. Basic definitions and theorems about point estimation and Bayes estimation are reported. Furthermore, we discource on the analysis of the model and basic properties of the Generalized exponential distribution. Special themes, such as survival functions, Fisher information, order statistics, sum distribution and production of random numbers are analyzed in the frame of the Generalized exponential distribution. Moreover, we analyze and apply point estimation methods (maximum likelihood, method of moments, percentile estimation, least (and weighted least) squares, method of L-moments) in order to estimate parameters of the distribution. Performance of the estimators for different estimation methods is also analyzed. Next, bayesian estimation of the parameters (under squared error loss function and LINEX loss function) is coming up for discussion. We also analyze the performance of the estimators and compare them to the maximum likelihood estimators. Finally, we present approximation of an actuarial table via Generalized exponential distribution.

OPSOMMING Gebeurlikhede kan omskryf word as onsekere omstandighede van positiewe of negatiewe aard wat, onafhanklik van die verweerder se optrede en indien dit sou realiseer, waarskynlik 'n persoon se gesondheid, inkomste, verdienvermoë, lewenskwaliteit, lewensverwagting of onderhoudsafhanklikheid in die toekoms kan beïnvloed of in die verlede kon beïnvloed het en wat gevolglik op billike en realistiese wyse in ag geneem moet word ter bepaling van die skadevergoedingsbedrag. Die skadevergoedingsbedrag kan vanweë gebeurlikhede verminder of vermeerder word waar die eiser wel met `n oorwig van waarskynlikheid die volle omvang van die skade bewys het, maar die hof nie kon oortuig dat geen ander oorsaak die skade waarskynlik ook sou kon veroorsaak nie (sg "gebeurlikheids-aanpassings"). In gevalle waar die eiser nie die volle omvang van die skade op `n oorwig van waarskynlikheid kon bewys nie, kan die hof nogtans `n verminderde bedrag toeken op grond van die gebeurlikheid dat die skade wel waarskynlik in die toekoms kan realiseer (sg "gebeurlikheidstoekennings"). Die eiser moet getuienis voorlê van gebeurlikhede wat die skadevergoedingsbedrag sal verhoog, en die verweerder van gebeurlikhede wat die skadevergoedingsbedrag sal verlaag. Die waarskynlikheid dat die gebeurlikheid sal realiseer, moet deur die hof aan die hand van objektiewe maatstawwe en op grond van feitelike bewerings en logiese afleidings uit deskundige en ander getuienis in die vorm van `n waarskynlikheidsgraad van tussen vyf persent en tagtig persent uitgedruk word. Hipotetiese kousaliteit word deur die hof aangewend om gebeurlikhede op `n billike wyse in ag te neem en verwys na die kousale ketting van hipotetiese feite wat waarskynlik sou gerealiseer het indien die skadestigtende gebeurtenis nie plaasgevind het nie. Gebeurlikhede kan in twee kategorieë geklassifiseer word: Algemene gebeurlikhede wat gewoonlik in enige stadium by alle persone kan voorkom (bv vroeë dood, siekte ens) en spesifieke gebeurlikhede wat gewoonlik op spesifieke tydstippe by spesifieke individue kan voorkom (bv hertroue, egskeiding ens). Terwyl die hof geregtelik kennis behoort te kan neem van die invloed van algemene gebeurlikhede, behoort die hof hoofsaaklik op grond van ondersteunende getuienis van die invloed van spesifieke gebeurlikhede oortuig te word. Algemene gebeurlikheidsaanpassings is gewoonlik relatief laag (gemiddeld tien persent), terwyl gebeurlikheidsaanpassings vir spesifieke gebeurlikhede fluktueer (gewoonlik tussen vyf persent en vyftig persent), afhangende van die getuienis en omstandighede van die eiser. Gebeurlikheidstoekennings is gewoonlik laer as vyftig persent. SUMMARY Contingencies can be described as uncertain circumstances of a positive or negative nature which, independent of the defendant's conduct and if it should realise, would probably influence a person's health, income, earning capacity, quality of life, life expectancy or dependency on support in future or could have done so in the past, and which must consequently be taken into account in a fair and realistic manner in the quantification of damages. Contingencies can be used to increase or reduce damages in circumstances where the plaintiff succeeded in proving the full loss on a preponderance of probability, but could not convince the court that there was no probability that any other cause could also have given rise to the loss (so-called "contingency adjustments"). In circumstances where the plaintiff could not prove the full loss on a preponderance of probability, the court can nevertheless award a reduced amount on the basis of the contingency that loss could probably realise in future (so-called "contingency allowances"). The plaintiff must adduce evidence of contingencies that can increase damages, and the defendant of contingencies that can reduce damages. The degree of probability that the contingency will realise, must be expressed by the court as a percentage of between five percent and eighty percent, in view of objective measures and on the basis of factual allegations and logical deductions derived from expert and other evidence. Hypothetical causation assists the court in taking account of contingencies in a fair manner and refers to the causal link of hypothetical events which would probably have realised if the damage-causing event did not occur. Contingencies can be classified into two categories: General contingencies that usually can be present in the lives of all people at any point in time (eg early death, sickness, etc) and specific contingencies that usually are present in the lives of specific individuals at specific times (eg remarriage, divorce, etc). While the court should be able to take legal notice of the influence of general contingencies, the court should be convinced of the influence of specific contingencies primarily on the basis of supporting evidence. General contingency adjustments are usually relatively low (on average ten per cent), while contingency adjustments for specific contingencies fluctuate (usually between five per cent and fifty per cent), depending on the evidence and circumstances of the plaintiff. Contingency allowances are usually lower than fifty per cent. / Jurisprudence / LL.D

In this work we describe the basic facts of non-life insurance and then explain risk processes. In particular, we will explain in detail the asymptotic behavior of the probability that an insurance product may end up in ruin during its lifetime. As expected, the behavior of such asymptotic probability will be highly dependent on the tail distribution of each claim. / En este artículo describimos los conceptos básicos relacionados a seguros que no sean de vida y luego explicamos procesos de riesgo. En particular, tratamos al detalle el comportamiento asintótico de la probabilidad de que un producto sea declarado en ruina. Como es suponible, el comportamiento en el horizonte depende de la cola de la distribución de las primas.

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Made available in DSpace on 2016-12-01T19:18:34Z (GMT). No. of bitstreams: 1 jean1.pdf: 315588 bytes, checksum: 1c0c73aa6783ac34de4901d53fd1de24 (MD5) Previous issue date: 2013-03-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Os Regimes Próprios de Previdência dos Servidores Públicos existem há muito tempo em diversos países do mundo e, com o passar do tempo, foram consumindo cada vez mais os seus escassos recursos. Analisando os casos de insolvência pública da União Europeia, identificam-se os déficits previdenciários do setor público como um dos fatores a serem equacionados pelos governos. Em todo mundo, principalmente a partir da década de 1990, foram criadas políticas públicas que objetivavam reduzir o desequilíbrio das contas previdenciárias. Este trabalho faz um resgate histórico da Previdência Social, bem como um resumo das principais políticas públicas para a manutenção do equilíbrio das contas previdenciárias pelo mundo, no Brasil e em Santa Catarina. Além disso, avalia os resultados dessas políticas públicas no Brasil e no estado de Santa Catarina, de 2005 até 2010. Em seguida, apresenta o conceito de Accountability Previdenciária como alternativa para a manutenção do equilíbrio financeiro e atuarial dos regimes previdenciários. Para isso faz um pequeno resgate histórico do conceito e verifica se a Legislação Federal e a de Santa Catarina contemplam os instrumentos necessários para sua implementação. Ao final, são sugeridas as alterações necessárias para a eficiente implantação e manutenção da Accountability Previdenciária nos regimes previdenciários dos servidores públicos