Mihaela Covrig

Romanian Labour Migration: Employees Perspective

Abstract The Romanian labor market has faced over time with an irregular transition, resulting in an increase of labor shortages. One reason for this phenomenon is the increase of emigration. This paper aims to identify: the employee profile, for those who would like to migrate for work abroad; the preferred emigration ways for employees, and the characteristics of employees who would like to work abroad for higher earnings. Therefore a survey of SME employees in urban areas of the country is developed with the support of the Romanian Institute of Public Opinion Survey (IRSOP Market Research & Consulting). The survey respondents were asked about their opinion on the major problems facing the Romanian labor market: discrimination, external migration and undeclared work. Survey results show that potential migrants’ profile in Romania is similar to that of European migrant: male individuals with low education, young and without experience. The analysis revealed a significant influence of the regional factor on migration. The authors mentioned some social and economic measures needed to be implemented to reduce Romanian external migration.

A Discrete Time Insurance Model with Reinvested Surplus and a Fuzzy Number Interest Rate

Abstract Over the last couple of years, the reports of the Romanian Insurance Supervisory Commission showed that for some lines of businesses, most of the main insurance companies experienced losses or a significant decline in the amount of gross written premiums, namely for the voluntary CASCO insurance. In this paper we develop a particular model that analyzes the evolution of the insurance company capital on a finite time horizon. We consider a discrete time insurance model in which any surplus available at the beginning of a year is reinvested with an interest rate that is modeled by a fuzzy number. In addition, a discount is given to policy holders in any year in which no claims are recorded. In this setup, we also analyze the ruin probability of the insurance company. Numerical illustration provides levels of the surplus and of the ruin probability at the end of three year time horizon, depending on the initial reserve and on the discrete distribution of the independent and identically distributed claims that may occur.

Some Mathematical Models for Longevity Risk in the Annuity Market and Pension Funds

Abstract Lately, life insurance companies and pension funds confront with longevity risk, namely increased life expectancy. This risk (hazard) and the decrease in the number of employee taxpayers represent major difficulties on the annuity market and pension funds. Therefore, these institutions must provide efficient and suitable means in order to cross-hedge or to transfer part of the longevity risk to reinsurance companies or to financial markets. The markets for longevity derivatives progress, as the insurance industry must satisfy specific requirements related to longevity risk. This paper develops some models for mortality rates and pricing given the longevity risk. As regard forecasting mortality rates, we make some remarks based on various models for the Romanian population. In addition, this paper expands some models for the securitization of longevity bonds or loans. We provide a numerical illustration of the above models.

Socioeconomic Status and Risk of Type 2 Diabetes Mellitus among an Elderly Group Population in Romania

Abstract Disregarding age, type 2 diabetes mellitus represents a major health problem for patients as well as for their families. Complications induced by the evolution of diabetes and the related conditions have a negative impact on the autonomy and quality of life, and imply a heavy burden on health and social care system. The increase of life-expectancy has induced higher disease prevalence in elderly population together with a strong financial contribution, which sometimes exceeds their resources. Firstly, we aimed to study whether the socioeconomic status explains the tendency for the hypertension status, both for the elderly and adult groups studied. Secondly, we focused on hypertension and other risk factors that may increase these patients risk of developing diabetes. The analysis was carried out on a number of 259 people included into the study. They were selected from two primary care offices in the urban area of Iasi, Romania. Using logistic regression for the hypertensive status, we found that the variables describing the socioeconomic status are all significant predictors, except for the current level of income. For a cut-off level of 0.5 for the predicted probability, in the groups with high and medium education, the threshold age of becoming hypertensive is around 50 years old, about 10 years earlier than for people with low education level. The hypertensive status and the duration of hypertension had a significant influence over the occurrence of diabetes mellitus. This influence was surpassed by that of the heredo-collateral antecedents of diabetes mellitus and by the presence of the abdominal obesity assessed by waist circumference.

On the Persistence of the Over-Reaction of Merger and Acquisition Announcements: Evidence from the U.S. Stock Market between 2003 and 2007

The purpose of this paper is to examine how the M&A announcements affect the wealth of the investors in the case of the acquiring firms and if there is any persistent over-reaction. There is an extensive amount of studies written about M&As and their impact on both the short term stock returns and the long term performance of the stock prices, but the period starting in 2003 and ending in 2007, between two financial crisis, is in none of them analyzed. The paper points out the implications of the size of the acquirer and the method of payment that the bidding firm uses in the case of different types of M&As. Our results indicate that the over-reaction of the stock prices at M&A announcements is persistent, but only in the long-run.

On the Longevity Risk in the Annuity Market: Some Mathematical Models

The insurance industry is facing some specific challenges related to longevity risk. More and more capital has to be constituted to face this long-term risk, and new regulations in Europe, together with the recent financial crisis only amplify this phenomenon. Hence, it has become more important for insurance companies and pension funds to find a suitable and efficient way to cross-hedge or to transfer part of the longevity risk to reinsurers or to financial markets.In this study, we analyze some models of mortality rates and pricing the longevity risk. We make some remarks regarding forecasting mortality rates using the Lee-Carter model and our own developed model. Also, we deal with the securitization of longevity risk through the longevity bonds (the straight bonds), the interest being split between the annuity provider and the investors depending on the realized mortality at each future time, by a Special Purpose Company (SPC).

Some Methods Used in the Estimation of the Ruin Probability

The ruin probability of an insurance company is one of the main issues in actuarial mathematics. In the classical Poisson model of the risk theory there exist analytic expressions for the ruin probability, but in other risk models, there are not. For this, researchers try to find upper and lower bounds, and better approximations. In this paper, we discuss some methods of estimating it: De Vylder, Beekman-Bowers, Cramer-Lundberg, Grandell, Renyi, Tijms, Willmot, and the diffusion approximation which can be obtained approximating the risk process by a Brownian motion with drift.

Risk process estimation techniques used in the optimisation of financial resources of an insurance company

In an insurance company, the risk process estimation and the estimation of the ruin probability are important concerns for an actuary: for researchers, at the theoretical level, and for the management of the company, as these influence the insurer strategy. We consider the evolution over an extended period of time of an insurer surplus process. In this paper, we present some methods for the evaluation of the ruin probability and the reserve fund. We discuss the ruin probability with respect to the parameters of the individual claim distribution, the load factor of premiums, and the intensity parameter of the number of claims process. We analyse the model for which the premiums are computed based on the mean value principle. Also, we attempt the case when the initial capital is proportional to the value of the mean individual claim. We give numerical illustration.

On an Insurance Pricing Model for Catastrophic Risks

The anticipation of the amount of the losses generated by natural disasters is of maximum importance for insurers. We present a method to determine insurance premiums for catastrophic risks. This method takes into account: statistical data reflected in the yearly average compensation index, an appropriate time period in which the insurance company retrieves the financial losses incurred by the payment of large compensations, the preventive setting up of a reserve fund of the insurer in order to cover partially the catastrophic risk, and a reinsurance strategy. All these are meant to keep up the level of the premiums within an interval of values such that they are still competitive or at least fairly good. In our scenario, we will consider the situation in which the insurer has to borrow money in order to be able to pay the damage claims that arise following a calamity, the loans being refunded in a certain number of years. We give numerical illustration.