Mercedes Ayuso- Professor (Full) at University of Barcelona
Mercedes Ayuso
- Professor (Full) at University of Barcelona
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September 1993 - present
Publications
Publications (154)
Actualización del Factor de Equidad Actuarial a 2025 y proyecciones a 2045 y 2065.
Este trabajo se centra en la utilización de fuentes de información pública en la aplicación de modelos relacionales en las entidades aseguradoras, para el mejor conocimiento de las características de los riesgos y asistir a la toma de decisiones en nuevos entornos de sostenibilidad. Primero, proponemos utilizar la metodología de grado de urbanizaci...
The concentration of population in cities and processes of rural depopulation coupled with the generational shift to older societies represent new challenges in road safety. Here, we examine the severity of injuries suffered by the occupants of motor vehicles involved in a crash based on the population density of the area in which the crash occurs,...
The views and conclusions cannot be attributed to any institution with which we are associated, and all remaining errors are our responsibility. Madrid, March 2024 The concurrence of retirement and widowhood pensions in Spain · 3
Home and leisure accidents (HLAs) are one of the main causes of mortality attributable to causes other than aging and Home and leisure accidents (HLAs) are one of the main causes of mortality attributable to causes other than aging and have a major impact on health systems. However, to date, studies measuring their socioeconomic impact are limited,...
Home and leisure accidents (HLAs) are one of the main causes of mortality attributable to causes other than aging and have a major impact on health systems. However, to date, studies measuring their socioeconomic impact are limited, unlike those associated with other causes such as accidents on the roads or in the workplace. We seek to analyze the...
Continuous longevity improvements and population ageing have led countries to modify national public pension schemes by increasing standard and early retirement ages in a discretionary, scheduled, or automatic way, and making it harder for people to retire prematurely. To this end, countries have adopted alternative retirement age strategies, but o...
Against a general trend of increasing driver longevity, the injuries suffered by vehicle occupants in Spanish road traffic crashes are analyzed by the level of severity of their bodily injuries (BI). Generalized linear mixed models are applied to model the proportion of non-serious, serious, and fatal victims. The dependence between vehicles involv...
Quantifying and analysing excess mortality in crises such as the ongoing COVID-19 pandemic is crucial for policymakers. Traditional measures fail to take into account differences in the level, long-term secular trends, and seasonal patterns in all-cause mortality across countries and regions. This paper develops and empirically investigates the for...
Linking pensions to longevity developments and population ageing is one of the most common types of automatic adjustment mechanisms in pension schemes. Although this reform approach is primarily driven by cost-containment objectives, other dimensions of welfare restructuring are present, including pension adequacy, recalibration, introducing econom...
Linking pensions to longevity developments at retirement age has been one of the most common policy responses of pension schemes to aging populations. The introduction of automatic stabilizers is primarily motivated by cost containment objectives, but there are other dimensions of welfare restructuring in the politics of pension reforms, including...
Continuous longevity improvements and population ageing have led countries to modify national public pension schemes by increasing the standard and early retirement ages in a discre-tionary, scheduled, or automatic way, and by making it harder for people to retire prematurely. To this end, countries have adopted alternative retirement age strategie...
Video of presentation:
https://youtu.be/YRuzZlITGjQ
La esperanza de vida es probablemente la medida biométri- ca más relevante en el ámbito de las pensiones. En España, siendo un concepto ampliamente instaurado en el diseño de productos de ahorro a largo plazo y, a diferencia de lo que ocurre en numerosos países de nuestro entorno, todavía no ha sido plenamente implementado en el diseño de nuestras...
Increasing retirement ages in an automatic or scheduled way with increasing life expectancy at retirement is a popular pension policy response to continuous longevity improvements. The question addressed here is: to what extent is simply adopting this approach likely to fulfill the overall goals of policy? To shed some light on the answer, we exami...
Understanding the systematic relationship between period and cohort life expectancy and how the relationship evolves over time are critical issues in formulating the design of retirement income products, evaluating the actuarial balance of pension schemes, and more generally for all analyses where demographic projections are involved. In this study...
In recent decades, most countries have responded to continuous longevity improvements and population ageing with pension reforms. Increasing early and normal retirement ages in an automatic or scheduled way as life expectancy at old age progresses has been one of the most common policy responses of public and private pension schemes. This paper pro...
La esperanza de vida se ha convertido probablemente en el indicador biométrico por excelencia a la hora de calcular la edad legal de jubilación en las reformas de pensiones que se están realizando en los distintos países.
Sin embargo, la estimación del número esperado de años de vida a partir de la jubilación puede variar significativamente en func...
La esperanza de vida es probablemente la medida biométrica más relevante en el ámbito de
las pensiones. En España, siendo un concepto ampliamente instaurado en el diseño de
productos de ahorro a largo plazo y a diferencia de lo que ocurre en numerosos países de
nuestro entorno, todavía no ha sido plenamente implementado en el diseño de nuestras
pen...
Continuous longevity improvements and population ageing have led countries to modify national public pension schemes by increasing the standard and early retirement ages in a discretionary, scheduled, or automatic way, and by making it harder for people to retire prematurely. To this end, countries have adopted alternative retirement age strategies...
In this paper we forecast age-specific mortality rates and life expectancy measures using an adaptive Bayesian Model Ensemble of heterogeneous models. The procedure involves both the selection of the model confidence set and the determination of optimal weights. Model-averaged Bayesian credible prediction intervals are derived accounting for both t...
Understanding the systematic relationship between period and cohort life expectancy and how the relationship evolves over time are critical issues in formulating the design of retirement income products, evaluating the actuarial balance of pension schemes, and more generally for all analyses where demographic projections are involved. In this study...
El objetivo principal de este informe es analizar la relación entre las aportaciones realizadas por un individuo y las prestaciones que recibe como pensión de jubilación en su parte contributiva. El enfoque va a ser actuarial, no deteniéndonos en el enfoque financiero, ya que numerosos organismos públicos y privados se encargan de realizar proyecci...
In many policy areas it is essential to use the best estimates of life expectancy, but it is vital to most areas of pension policy. This paper presents the conceptual differences between static period and dynamic cohort mortality tables, estimates the differences in life expectancy for Portugal and Spain, and compares official estimates of both lif...
La inclusión de la esperanza de vida como indicador biométrico por excelencia ha ido ganando peso en las reformas de los sistemas de pensiones en los distintos países. Es el caso, por ejemplo, de España y Portugal, países en los que se ha aprobado un factor de sostenibilidad basado en el número esperado de años de vida para las personas a partir de...
El brote de neumonia detectado en diciembre de 2019 en Wuhan (Hubei, China), que posteriormente se establecio como la causa de un nuevo “sindrome respiratorio agudo severo de coronavirus 2” (SARS-Cov-2), se extendio inmediatamente al resto de provincias de la China continental y a otros 150 paises, a fecha de 6 de abril (desde el 31 diciembre 2019)...
El proceso de envejecimiento que están experimentando las poblaciones de los países desarrollados no solo conduce a un ensanchamiento de las cohortes de mayor edad, sino que tiene diferentes repercusiones en los diferentes pilares del estado de bienestar. Aun tratándose de un fenómeno que afecta a hombres y mujeres, el efecto es más acusado para el...
Recent reforms of public pension systems implemented in various countries, including Spain, have sought to ensure the sustainability of benefits. However, achieving a structural budget balance (i.e. long-run equality between income and expenditure) may result in a decrease in the replacement rate or in the percentage that the pension represents of...
Demographic changes and social transformations affect the design of public pension systems. Population ageing and factors such as the progressive reduction in fertility rates and the increase in longevity have a direct impact on the sustainability of public pensions, especially in defined-benefit schemes. The study of longer life expectancy require...
Differences on the traffic accident severity between new and old vehicles are analyzed, taking into account the association between the age of the vehicle and the age of drivers. We showed that the ageing of the Spanish vehicle fleet is associated with the severity of motor injuries, especially significant in case of drivers over 75 years driving v...
El análisis del impacto que los procesos judiciales tienen en la detección y cuantificación del fraude al seguro es un tema poco analizado en la literatura científica. En España, un importante número de casos con sospecha de fraude se resuelven por acuerdo entre las partes sin que se emprendan acciones judiciales. Sin embargo, existen situaciones e...
Introduction:
This article analyzes the effect of driver's age in crash severity with a particular focus on those over the age of 65. The greater frequency and longevity of older drivers around the world suggests the need to introduce a possible segmentation within this group at risk, thus eliminating the generic interval of 65 and over as applied...
Informe del Instituto de Actuarios, que ha sido elaborado, discutido y validado por una comisión generada por dicho Instituto, en la que también han participado profesionales ajenos a la profesión actuarial.
The lifecycle approach is the workhorse to model saving decisions of individuals. It conjectures individuals preferring a constant consumption stream across their lifecycle saving till retirement and dis-saving thereafter. The reality is often at odd with this assumption giving rise to our conjectured three-tier life-cycle model by income groups.
T...
The demographic change underway, declining adequacy levels from traditional pay-as-you-go old-age social security systems, structural reforms in pension schemes and the reduction in the traditional family support have increased the need for additional private savings to cover the old age income gap. In this paper we discuss the necessity, the role...
El cambio demográfico en curso, la disminución de los niveles de adecuación de los sistemas tradicionales de seguridad social de reparto, las reformas estructurales de los planes de pensiones y la reducción del apoyo familiar tradicional han aumentado la necesidad de ahorro privado adicional para cubrir la diferencia de ingresos de las personas de...
The demographic change underway, declining adequacy levels from traditional pay-as-you-go old-age social security systems, structural reforms in pension schemes and the reduction in the traditional family support have increased the need for additional private savings to cover the old age income gap. In this paper we discuss the necessity, the role...
We show how data collected from a GPS device can be incorporated in motor insurance ratemaking. The calculation of premium rates based upon driver behaviour represents an opportunity for the insurance sector. Our approach is based on count data regression models for frequency, where exposure is driven by the distance travelled and additional parame...
Being involved in an accident may modify the behavior of an insured at the wheel due to their having an aggravated perception of risk. Here, we analyze how the behavior of young drivers is modified after an accident by comparing percentage distances driven above posted speed limits before and after the event. The possibilities afforded by telematic...
The increase in the number of one-person households, especially among elderly women, the high life expectancy of women at old ages, and the fact that they are more likely to draw lower pensions than men, all may place women in a more vulnerable situation. This article's main aim is to compute from an actuarial perspective the differences in the exp...
Most automobile insurance databases contain a large number of policyholders with zero claims. This high frequency of zeros may reflect the fact that some insureds make little use of their vehicle, or that they do not wish to make a claim for small accidents in order to avoid an increase in their premium, but it might also be because of good driving...
En muchas áreas de las políticas que se establecen resulta esencial el uso de las mejores estimaciones de esperanza de vida, si bien dichas estimaciones constituyen elementos vitales en lo que respecta a la política previsional, desde la edad de acceso indexada y el cálculo de las prestaciones iniciales hasta la sostenibilidad financiera de los sis...
In many policy areas it is essential to use the best estimates of life expectancy, but such
estimates are vital to most areas of pension policy – from indexed access age and the
calculation of initial benefits to the financial sustainability of pension schemes and the
operation of their balancing mechanism. This paper presents the conceptual differ...
In many policy areas it is essential to use the best estimates of life expectancy, but it is vital to most areas of pension policy. This paper presents the conceptual differences between static period and dynamic cohort mortality tables, estimates the differences in life expectancy for Portugal and Spain, and compares official estimates of both lif...
This paper demonstrates that the link between heterogeneity in longevity and lifetime income across countries is mostly high and often increasing; that it translates into an implicit tax/subsidy, with rates reaching 20 percent and higher in some countries; that such rates risk perverting redistributive objectives of pension schemes and distorting i...
Heterogeneity in longevity between socioeconomic groups is increasingly documented for developed economies and is reviewed in the paper. Heterogeneity in life expectancy disaggregated by main socioeconomic characteristics – such as age, gender, race, health, education, profession, income, and wealth – is sizable and has not declined in recent decad...
Addressing Longevity Heterogeneity in Pension Scheme Design and Reform This paper demonstrates that the link between heterogeneity in longevity and lifetime income across countries is mostly high and often increasing; that it translates into an implicit tax/subsidy, with rates reaching 20 percent and higher in some countries; that such rates risk p...
El estudio del efecto que factores endógenos como el estado civil de la persona tienen en el comportamiento de indicadores biométricos, económicos y sociales relacionados con el sistema de bienestar de un país es un tema de máxima relevancia en la actualidad. En España, la creciente longevidad y el mayor número de mujeres generadoras de pensión de...
In this paper we employ survival analysis methods to analyse the impact of driving patterns on distance travelled before a first claim is made by young drivers underwriting a pay-as-you-drive insurance scheme. An empirical application is presented in which we analyse real data collected by a GPS system from a leading Spanish insurer. We show that m...
The maternity supplement in contributory pensions regulated by Royal Legislative Decree 8/2015, introduces the concept of demographic contribution to our legislative scene. This supplement is presented as a measure for supporting the birth rate, making up for the effort that is involved in finding a compromise between employment and family life, wh...
Pay-as-you-drive (PAYD), or usage-based automobile insurance (UBI), is a policy agreement tied to vehicle usage. In this paper we analyze the effect of the distance traveled on the risk of accidents among young drivers with a PAYD policy. We use regression models for survival data to estimate how long it takes them to have their first accident at f...
The analysis of factors influencing the severity of the personal injuries suffered by victims of motor accidents is an issue of major interest. Yet, most of the extant literature has tended to address this question by focusing on either the severity of temporary disability or the severity of permanent injury. In this paper, a bivariate copula-based...
El complemento por maternidad en las pensiones contributivas regulado mediante el Real Decreto Legislativo 8/2015 introduce el concepto de cotización demográfica en nuestro panorama legislativo. Dicho complemento se presenta como una medida de apoyo a la natalidad, compensando el esfuerzo que supone la conciliación laboral y familiar, a la vez que...
We study the individual illiquidity risk applied to the Spanish population aged over 64. This risk refers to the probability that an individual cannot afford long-term care costs and other expenses during their retirement. We analyse the case in which an individual is beneficiary of a contributory pension (a retirement or a widowhood pension) and h...
La creciente incorporación de la mujer al mercado laboral hará que cada vez haya más beneficiarios que incurran en concurrencia de pensiones de jubilación y viudedad. En el trabajo se estima el coste individual esperado asociado a concurrencia de pensiones mediante un modelo actuarial de múltiples estados. Para los hombres, del total de pensión que...
To analyze which socio-demographic and other factors related to motor injuries affect the length of hospital recovery stay.
In the study a sample of 17 932 motor accidents was used. All the crashes occurred in Spain between 2000 and 2007. Different regression models were fitted to data to identify and measure the impact of a set of explanatory regr...
The paper examines the distribution function of settlements over time in an attempt to explain the time it takes to negotiate the claim compensation in the context of motor disputes. Competing risk models are applied to a Spanish motor insurance database. The empirical analysis yielded two main findings. First, in some cases the severity of tempora...
Objetivo. Analizar los factores sociodemográficos y de las lesiones causadas por accidentes de tránsito que influyen en el tiempo de hospitalización de las víctimas. Material y métodos. Muestra transversal de 17 932 eventos de tránsito ocurridos en España entre 2000 y 2007. Se estimaron diferentes modelos de regresión para identificar y medir la in...
Los sistemas de pensiones y sus reformas están fuertemente influenciados por la evolución demográfica, la cual se compara cada vez más entre los diferentes países para identificar tendencias y aspectos comunes. Los investigadores de proyecciones demográficas de todo el mundo se basan en las producidas por la Organización de las Naciones Unidas (ONU...
Pension systems and reforms are critically influenced by demographic developments that are increasingly compared across countries to identify common issues and trends. For demographic projections researchers across the world rely on those produced by the United Nations (UN); for Europe the demographic projections by Eurostat form the basis of the p...
Insurance fraud occurs when the insurer does not know all the facts about the insured and the claim, and when the fraudster believes that some monetary benefits can be gained by distortion of such facts. We explain how fraud can be fought with deterrence and detection, and present several ways to control fraud, specialized investigation units, stat...
We conducted a study of approximately 16,000 drivers under the age of 30 that had purchased a pay-as-you-drive insurance policy, where their risk of being involved in a crash was analyzed from vehicle tracking data using a global positioning system. The comparison of novice vs. experienced young drivers shows that vehicle usage differs significantl...
El Máster en Dirección de Entidades Aseguradoras y Financieras de la Universidad de Barcelona se imparte anualmente como un MBA especializado en el sector asegurador al servicio de las entidades aseguradoras que quieran disponer de un programa de formación directiva. El objetivo es formar directivos o futuros directivos de entidades aseguradoras y...
Road traffic injuries are one of the leading causes of increasing disability-adjusted life expectancy. We analyze long-term care needs associated with motor vehicle crash-related disability in Spain and conclude that needs attributable traffic injuries are most prevalent during victims' mid-life years, they create a significant burden for both fami...
Disputes between parties involved in motor insurance claims compensations are analysed. The decision to resolve the disagreement by either negotiation or trial may depend on how risk and confrontation adverse or pessimistic the claimant is. The extent to which these behavioural features of the claimant might influence the final compensation amount...
Nonparametric methods combine most of the advantages of parametric alternatives for assessing risk. We illustrate a new method for addressing quantile estimation with no distribution assumptions. In our case study, the operational risk related to external fraud in an automobile insurance database is analyzed. Alternative antifraud strategies follow...
This article presents a case study of a portfolio of individual long‐term insurance contracts sold by a Spanish mutual company. We describe the risk levels, the rating structure, and the implied cross‐subsidies on a portfolio of policies providing health, life, and long‐term care insurance. We show evidence of reclassification risk through the hist...
Most motor bodily injury claims are settled by negotiation, with fewer than 5% of cases going to court. A well-defined negotiation
strategy is thus very useful for insurance companies. In this paper we assume that the monetary compensation awarded in court
is the upper amount to be offered by the insurer in the negotiation process (reservation pric...
Los sistemas occidentales de pensiones, y especialmente el español, se van a ver notablemente afectados por el proceso de envejecimiento poblacional que se está produciendo. Este artículo propone un modelo de pensiones para España que implica profundas reformas estructurales que garanticen el cumplimiento de los objetivos que un sistema de Segurida...
ResumenEn el decenio de 1990, siguiendo el ejemplo anterior de Chile, se llevaron a cabo reformas de los regímenes de pensiones en varios países de América Latina y de otras regiones. El objetivo de estas reformas era introducir modelos de regímenes de pensiones de capitalización total y gestión privada. Si bien determinados aspectos de estas refor...
RésuméDans les années 1990, suivant en cela l'exemple du Chili, plusieurs pays d'Amérique latine et d'autres pays ont réformé leur régime de retraite, en s'inspirant des modèles par capitalisation sous gestion privée. Bien que certains aspects de ces réformes se soient révélés positifs, ces régimes ne procurent pas un revenu suffisant pour de nombr...
AuszugIn den Neunzigerjahren folgten einige lateinamerikanische und andere Lnder dem Beispiel Chiles und reformierten ihr Rentensystem. Bei diesen Reformen ging es um voll kapitalgedeckte und privat geführte Rentenmodelle. Obwohl diese Reformen positive Aspekte aufwiesen, sind die Pensionseinkünfte dennoch für zahlreiche Rentenbezüger in diesen Sys...
In the 1990s, following the earlier example of Chile, pension system reforms were implemented in a number of Latin American and other countries. These reforms focused on introducing models of pension provision that were fully-funded and privately managed. Although aspects of these reforms have been positive, for many persons covered by these system...
Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. From the point of view of operational risk, the study aims to analyse the effect of failing to detect fraudulent clai...
