0000000000600660
AUTHOR
Juan Manuel Pérez-salamero González
The Tax Justice Network-Africa v Cabinet Secretary for National Treasury & 2 Others: A Big Win for Tax Justice Activism?
This paper develops an optimization model for selecting a large subsample that improves the representativeness of a simple random sample previously obtained from a population larger than the population of interest. The problem formulation involves convex mixed-integer nonlinear programming (convex MINLP) and is therefore NP-hard. However, the solution is found by maximizing the “constant of proportionality” – in other words, maximizing the size of the subsample taken from a stratified random sample with proportional allocation – and restricting it to a p-value high enough to achieve a good fit to the population of interest using Pearson’s chi-square goodness-of-fit test. The beauty of the m…
Automatic regrouping of strata in the goodness-of-fit chi-square test
Pearson’s chi-square test is widely employed in social and health sciences to analyze categorical data and contingency tables. For the test to be valid, the sample size must be large enough to provide a minimum number of expected elements per category. This paper develops functions for regrouping strata automatically no matter where they are located, thus enabling the goodness-of-fit test to be performed within an iterative procedure. The functions are written in Excel VBA (Visual Basic for Applications) and in Mathematica. The usefulness and performance of these functions is illustrated by means of a simulation study and the application to different datasets. Finally, the iterative use of …
Automatic regrouping of strata in the chi-square test
Pearson´s chi-square test is widely employed in social and health science to analyze categorical data and contingency tables and to assess sample representativeness. For the test to be valid the sample size must be big enough to provide a minimum number of expected elements per category. If the researcher chooses to regroup the strata in order to solve the failure on the minimum size requirement, the existence of automatic re-grouping procedures in statistical software would be very useful, especially when tests are applied sequentially. After comprehensively reviewing the software that can carry out this test, we find that, with a few exceptions, there is no automatic regrouping of the str…
Actuarial accounting for a notional defined contribution scheme combining retirement and longterm care benefits
This paper develops a social insurance accounting model for a notional defined contribution (NDC) scheme combining retirement and long-term care (LTC) contingencies. The procedure relies on standard double-entry bookkeeping and enables us to compile a “Swedish” type actuarial balance sheet (ABS) following a framework equivalent to an open group approach. This methodology is suitable for reporting the system’s solvency status and can show periodical changes in the system’s financial position by means of an income statement. The information underpinning the actuarial valuation is based on events and transactions that are verifiable at the valuation date, without considering expected future tr…
Social Insurance Accounting for a Notional Defined Contribution Scheme Combining Retirement and Long-Term Care Benefits
This paper develops a social insurance accounting model for a notional defined contribution (NDC) scheme combining retirement and long-term care (LTC) contingencies. The procedure relies on standard double-entry bookkeeping and enables us to compile a “Swedish” type actuarial balance sheet (ABS) following a framework equivalent to an open group approach. This methodology is suitable for reporting the system’s solvency status and can show periodical changes in the system’s financial position by means of an income statement. The information underpinning the actuarial valuation is based on events and transactions that are verifiable at the valuation date, without consid…
Selection of Large Sub-Samples from the Continuous Sample of Working Lives Representative of the Benefits Provided by the Spanish Public Pension System
The Continuous Sample of Working Lives (CSWL) is a set of anonymized microdata with information about individuals taken from Spanish Social Security records. It provides very valuable information, which is used in many studies on labor economics and in the analysis of the Spanish public pension system. This article presents two major contributions: The first is an analysis of how representative CSWL is of the population of pensioners for the period 2005-2013. It is concluded that the CSWL does not follow the same distribution as the population with respect to some types of benefits, and that this happens in most waves. One of the reasons is that it is obtained by simple random sampling, so …
A Procedure for Selecting Representative Subsamples of a Population from a Simple Random Sample
This paper proposes a procedure for selecting large subsamples drawn from a large simple random sample that are more representative of the population under study. By means of the so-called constant of proportionality, the procedure seeks to maximize the size of the subsample taken from a stratified random sample with proportional allocation, restricting it to a p-value high enough to achieve a good fit using Pearson’s chi-square goodness of fit test. The user has the freedom to choose between a larger subsample with poorer adjustment or a smaller subsample with a better fit. We use the Continuous Sample of Working Lives (CSWL), a set of micro data taken from Spanish Social Security records,…
A “Swedish” actuarial balance for a notional defined contribution pension scheme with disability and minimum pension benefits
This article proposes a “Swedish” type actuarial balance sheet (ABS) for a notional defined contribution (NDC) scheme with disability and minimum pension benefits. The proposed ABS splits the pension system in two parts: the pure NDC part and the redistributive part, which includes the assets and liabilities originating from non-contributory rights. The article contains a numerical example that sheds light on the real applicability of our proposal. The model has practical implications that could be of interest to policy-makers, given that it integrates actuarial and social aspects of public pensions and discloses the real cost of redistribution through minimum pensions.
Modelización y resolución de problemas de optimización en economía
La programación matemática es la parte de las matemáticas que se encarga de la elección de la mejor alternativa de entre todas las posibles. El presente texto pretende ser una herramienta para facilitar una formulación matemática adecuada a cada problema económico de optimización, así como servir de guía para interpretar correctamente los resultados que puedan obtenerse mediante un sistema de apoyo a la toma de decisiones mediante ordenador. Los problemas que en este texto se recogen son fundamentalmente de programación matemática, es decir, en su mayoría son problemas estáticos, deterministas, con un solo sujeto decisor y una sola función objetivo. Se advierte, pues, al lector que no esper…
[Mortality and life expectancy trends for male pensioners by pension income level]
We draw on the Continuous Sample of Working Lives (CSWL) to investigate the differences in socioeconomic mortality among retired men aged 65 and above, over the longest possible period covered by this data source: 2005–2018. This paper deals with the case of Spain, since very little evidence concerning retirement pensioners is available for this country. The only indicator of socioeconomic status we use is the amount of the initial pension of the retired population. For 2005-2010 we find a gap in life expectancy of 1.49 years between pensioners in the highest and lowest income groups. This gap widens over time and reaches 2.58 years for the period 2015–2018. The increase in life expectancy …
From “Table 29” to the actuarial balance sheet: is it really that big a leap?
EU regulations since 2017 have required all Member States to disclose their accrued-to-date pension liabilities (ADL) using a standard actuarial cost method and some common assumptions. This applies to both Social Security (SS) schemes and unfunded defined benefit (DB) schemes covering civil servants. These pension liabilities have to be disclosed in a supplementary table referred to as Table 29. An actuarial balance sheet (ABS) can be defined as a financial statement that lists a pension system's obligations to contributors and pensioners at a particular date, together with the amounts of the assets (financial and in particular those from contributions) that underwrite those commitments. T…
Es La Mcvl Representativa De Las Prestaciones Del Sistema PPblico De Pensiones? (Is the Continuous Sample of Working Lives (CSWL) Representative of the Benefits Provided by the Spanish Public Pension System?)
Spanish Abstract: En este trabajo se examina si los datos sobre pensiones incluidos en la Muestra Continua de Vidas Laborales (MCVL) son validos para realizar cierto tipo de proyecciones sobre la sostenibilidad del sistema publico de pensiones. Se analiza al conjunto de datos de prestaciones de la muestra teniendo en cuenta los datos agrupados por tipo de pension, grupos de edad y genero, asi como por cuantia. Despues de realizar las pruebas estadisticas apropiadas sobre el ajuste de la muestra a la poblacion, se concluye que la MCVL, en su conjunto, no refleja la distribucion seguida por la poblacion respecto a alguno de los tipos de prestaciones, por edad y genero. Este resultado advierte…
Improving the Representativeness of a Simple Random Sample: An Optimization Model and Its Application to the Continuous Sample of Working Lives
This paper proposes an optimization model for selecting a larger subsample that improves the representativeness of a simple random sample previously obtained from a population larger than the population of interest. The problem formulation involves convex mixed-integer nonlinear programming (convex MINLP) and is, therefore, NP-hard. However, the solution is found by maximizing the size of the subsample taken from a stratified random sample with proportional allocation and restricting it to a p-value large enough to achieve a good fit to the population of interest using Pearson&rsquo
A Social Insurance Accounting for a Notional Defined Contribution Scheme Combining Retirement and Long-Term Care Benefits
This paper develops a social insurance accounting model for a notional defined contribution (NDC) scheme combining retirement and long-term care (LTC) contingencies. The procedure relies on standard double-entry bookkeeping and enables us to compile a “Swedish” type actuarial balance sheet (ABS) following a framework equivalent to an open group approach. This methodology is suitable for reporting the system’s solvency status and can show periodical changes in the system’s financial position by means of an income statement. The information underpinning the actuarial valuation is based on events and transactions that are verifiable at the valuation date, without considering expected future tr…
The continuous sample of working lives: Improving its representativeness
This paper studies the representativeness of the Continuous Sample of Working Lives (CSWL), a set of anonymized microdata containing information on individuals from Spanish Social Security records. We examine several CSWL waves (2005–2013) and show that it is not representative for the population with a pension income. We then develop a methodology to draw a large dataset from the CSWL that is much more representative of the retired population in terms of pension type, gender and age. This procedure also makes it possible for users to choose between goodness of fit and subsample size. In order to illustrate the practical significance of our methodology, the paper also contains an applicatio…
La Muestra Continua de Vidas Laborales (MCVL) como fuente generadora de datos para el estudio del sistema de pensiones
Esta tesis tiene como elemento fundamental de análisis la denominada Muestra Continua de Vidas Laborales (MCVL), como fuente generadora de datos para el estudio del sistema de público de pensiones de España. La MCVL es un conjunto de microdatos individuales anonimizados extraídos de los registros de la Seguridad Social de España. La MCVL se obtiene a partir de un Muestreo Aleatorio Simple (MAS) sobre la población de referencia (conjunto de personas relacionadas durante todo el año con la Seguridad Social, bien como afiliadas o bien como perceptoras de prestaciones, pero con ciertos matices en dicha relación). Los objetivos principales de esta tesis son: - Contribuir a aumentar el conocimien…
A "Swedish" actuarial balance sheet for a notional defined contribution pension scheme with disability and retirement benefits
This paper proposes a “Swedish” type actuarial balance sheet for a notional defined contribution scheme embedding disability insurance within the retirement pension system. The underlying framework supporting the actuarial balance relies on a multistate overlapping generations model that includes the so-called survivor dividend and a minimum pension benefit for both contingencies. The proposed ABS splits the system into two parts: the actuarial part (pure NDC) and the redistributive part, which includes the assets and liabilities originating from non-contributory rights. The paper also contains a numerical example that sheds light on the real applicability of our proposal and confirms that …
Fundamentos de Optimización Matemática en Economía
La optimización matemática es un área dentro de las matemáticas que se encarga de la elección de la mejor alternativa de entre las posibles para un problema formulado en términos matemáticos. Este área de las matemáticas es muy amplia, debido a la diversidad de situaciones que se pueden plantear y a las distintas maneras de enfocar la resolución del problema. El presente texto, en la medida que pretende ser una herramienta para el análisis económico, se centra en la programación no lineal y en los métodos analíticos de resolución de esos problemas. Por tanto, el objetivo es proporcionar al lector los conocimientos básicos y avanzados de optimización matemática que destacan por su aplicabili…
Differences in Life Expectancy Between Self-Employed Workers and Paid Employees when Retirement Pensioners: Evidence from Spanish Social Security Records
The aim of this paper is to examine differences in life expectancy (LE) between self-employed (SE) and paid employee (PE) workers when they become retirement pensioners, looking at levels of pension income using administrative data from Spanish social security records. We draw on the Continuous Sample of Working Lives (CSWL) to quantify changes in total life expectancy at age 65 (LE(65)) among retired men over the longest possible period covered by this data source: 2005–2018. These changes are broken down by pension regime and initial pension income level for three periods. The literature presents mixed evidence, even for the same country–for Japan and Italy, for example–with some studies …
Selecciin De Sub-Muestras De Gran Tamaao De La Mcvl Representativas De Las Prestaciones Del Sistema PPblico De Pensiones (Selection of High Size Sub-Samples from the Continuous Sample of Working Lives (CSWL) Representative of the Benefits Provided by the Spanish Public Pension System)
Spanish Abstract: La Muestra Continua de Vidas Laborales (MCVL) es un conjunto de microdatos individuales anonimizados extraidos de los registros de la Seguridad Social de Espana. Es una fuente muy valiosa de informacion utilizada en numerosos estudios sobre Economia laboral y sobre el sistema publico de pensiones espanol. Este articulo presenta dos importantes aportaciones. Por un lado se analiza la representatividad de la MCVL respecto de la poblacion de pensionistas para el periodo 2005-2013. Se concluye que no es representativa en determinados tipos de prestaciones y esto ocurre en casi la totalidad de los anos considerados. Una de las razones es que la MCVL se obtiene mediante un muest…
Son Actuarialmente Justas Las Tarifas Para Determinar El Coste De Las Pensiones Derivadas De Accidentes De Trabajo? Annlisis Del Perrodo 2011-2015 (Are the Rates Levied to Cover the Cost of Pensions for Occupational Injury and Disease Actuarially Fair? An Analysis for the Period 2011-2015)
Spanish Abstract: Este trabajo analiza si las tarifas que se aplican para la determinacion del denominado “capital coste” de pensiones derivadas de los accidentes de trabajo (AT) y enfermedades profesionales (EP) son las adecuadas, y si la falta de actualizacion periodica ha producido distorsiones financieras entre los actores implicados. A partir de los datos de la Muestra Continua de Vidas Laborales (MCVL) y de la evolucion de la longevidad de la poblacion general en Espana, se estiman tablas de mortalidad para las contingencias de viudedad e invalidez, que combinadas con los parametros economicos y financieros apropiados, permiten construir las bases tecnicas actuarialmente justas para c…
Estabilización de modelos económicos dinámicos con control óptimo en tiempo continuo
En esta Tesis de Licenciatura se lleva a cabo el estudio de un problema determinado de optimización dinámica y sus aplicaciones en el campo de la Ciencia Económica. Un problema de optimización consiste, fundamentalmente, en la búsqueda de un extremo de una función o un funcional objetivo que proporcione un máximo o un mínimo para esa función. Cuando se habla de optimización dinámica hay que incorporar el factor tiempo al problema, en todas y cada una de las diferentes variables que intervienen, lo que afectará a los modelos matemáticos que se empleen para representar el comportamiento y las relaciones existentes entre dichas variables. También afecta al funcional objetivo a optimizar. Así, …
Selección automática de una cartera óptima a partir de datos importados de Internet. Una aplicación VBA.
RESUMEN Según el Programa Básico de Estudios ("Core Syllabus") para la formación actuarial en Europa, la formación de un actuario de seguros exige que los estudios conducentes a la capacitación profesional otorguen al estudiante "un conocimiento práctico, aplicado, de las modernas tecnologías de la información y la comunicación". En esta comunicación se presenta una aplicación docente realizada con Visual Basic Aplicado en la que se ha implementado un modelo de selección de cartera óptima clásico, utilizando las herramientas de optimización y de importación de datos que proporciona Excel. La cartera contempla a los activos del IBEX-35 y se ha programado el cálculo automático de lacomposició…
Evaluación de las tarifas de las pensiones de accidentes de trabajo y enfermedades profesionales (2011-2015)
Este trabajo analiza si las tarifas que se aplican para la determinación del denominado capital coste de pensiones derivadas de los accidentes de trabajo y enfermedades profesionales son las adecuadas. A partir de los datos de la Muestra Continua de Vidas Laborales y de la evolución de la longevidad de la población general en España, se estiman tablas de mortalidad para las contingencias de viudedad e invalidez que, combinadas con los parámetros económicos y financieros apropiados, permiten construir las bases técnicas actuarialmente justas para cada uno de los años objeto de análisis. Los resultados obtenidos sugieren que las tarifas aplicadas en el periodo 2011- 2014 han sido muy superior…
Un Procedimiento De Selecciin De Sub-Muestras De Gran Tamaao De Una Muestra Aleatoria Simple Representativas De La Poblaciin De Estudio (A Selection Procedure of High Size Sub-Samples from a Simple Random Sample Representative of the Population)
Spanish Abstract: En este trabajo se propone una metodologia basada en la optimizacion para elegir sub-muestras de gran tamano extraidas de una muestra aleatoria simple inicial que mejore la representatividad de la poblacion objeto de estudio. El criterio se basa en maximizar el tamano de la sub-muestra a traves de la constante de proporcionalidad de un muestreo estratificado con afijacion proporcional sujeto a que el p-valor del test de bondad del ajuste tome valores suficientemente altos, dejando al usuario la posibilidad de elegir la relacion deseada entre la calidad del ajuste y el tamano de la sub-muestra. Para ilustrar el procedimiento propuesto se realiza una aplicacion a la Muestra …
Life care annuities to help couples cope with the cost of long-term care
This paper examines the possibility of including cash-for-care benefits in life care annuities (LCAs) to help retired couples cope with the cost of long-term care (LTC). It aims to assess how much it would cost to add an extra stream of payments to annuities for couples should either or both require LTC. We present an actuarial method based on array calculus to value this type of LCA. The impact of introducing the LTC contingency on the annuity is assessed by comparing the initial benefits in both cases. The difference in the initial benefit arises due to the annuity factors used to compute the benefits. We also analyse how willing couples would be to choose this type of LCA. Using Australi…