Maria de Lourdes Belchior Afonso

@unl.pt

Mathematics - Faculdade de Ciências e Tecnologia
Univeridade Nova de Lisboa

Maria de Lourdes Belchior Afonso


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https://researchid.co/lbafonso
9

Scopus Publications

171

Scholar Citations

8

Scholar h-index

8

Scholar i10-index

Scopus Publications

  • Teaching courses to STEM students – Lessons learned from the Pandemics
    Nelson Chibeles-Martins, Lourdes B. Afonso
    Computer Aided Chemical Engineering, 2023
  • Teaching courses heavily dependent on computational resources to STEM students during Pandemics
    Nelson Chibeles-Martins, Lourdes B. Afonso
    Computer Aided Chemical Engineering, 2022
  • Ruin Probabilities And Capital Requirement for Open Automobile Portfolios With a Bonus-Malus System Based on Claim Counts
    Lourdes B. Afonso, Rui M. R. Cardoso, Alfredo D. Egídio dos Reis, Gracinda R. Guerreiro
    Journal of Risk and Insurance, 2020
    For a large motor insurance portfolio, on an open environment, we study the impact of experience rating in finite and continuous time ruin probabilities. We consider a model for calculating ruin probabilities applicable to large portfolios with a Markovian Bonus‐Malus System (BMS), based on claim counts, for an automobile portfolio using the classical risk framework model. New challenges are brought when an open portfolio scenario is introduced. When compared with a classical BMS approach ruin probabilities may change significantly. By using a BMS of a Portuguese insurer, we illustrate and discuss the impact of the proposed formulation on the initial surplus required to target a given ruin probability. Under an open portfolio setup, we show that we may have a significant impact on capital requirements when compared with the classical BMS, by having a significant reduction on the initial surplus needed to maintain a fixed level of the ruin probability.
  • Multi-start local search procedure for the maximum fire risk insured capital problem
    Maria Isabel Gomes, Lourdes B. Afonso, Nelson Chibeles-Martins, Joana M. Fradinho
    Lecture Notes in Computer Science Including Subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics, 2018
    A recently European Commission regulation requires insurance companies to determine the maximum value of insured fire risk policies of all buildings that are partly or fully located within circle of a radius of 200 m. In this work, we present the multi-start local search meta-heuristics that has been developed to solve the real case of an insurance company having more than 400 thousand insured buildings in mainland Portugal. A random sample of the data set was used and the solutions of the meta-heuristic were compared with the optimal solution of a MILP model based on the Maximal Covering Location Problem. The results show the proposed approach to be very efficient and effective in solving the problem.
  • Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance
    Lourdes B. Afonso, Rui M. R. Cardoso, Alfredo D. Egídio dos Reis, Gracinda Rita Guerreiro
    Astin Bulletin, 2017
    Motor insurance is a very competitive business where insurers operate with quite large portfolios, often decisions must be taken under short horizons and therefore ruin probabilities should be calculated in finite time. The probability of ruin, in continuous and finite time, is numerically evaluated under the classical Cramér–Lundberg risk process framework for a large motor insurance portfolio, where we allow for a posteriori premium adjustments, according to the claim record of each individual policyholder. Focusing on the classical model for bonus-malus systems, we propose that the probability of ruin can be interpreted as a measure to decide between different bonus-malus scales or even between different bonus-malus rules. In our work, the required initial surplus can also be evaluated. We consider an application of a bonus-malus system for motor insurance to study the impact of experience rating in ruin probabilities. For that, we used a real commercial scale of an insurer operating in the Portuguese market, and we also work on various well-known optimal bonus-malus scales estimated with real data from that insurer. Results involving these scales are discussed.
  • Using weighted distributions to model operational risk
    Lourdes B. Afonso, Pedro Corte Real
    Astin Bulletin, 2016
    The quantification of operational risk has to deal with various concerns regarding data, much more than other types of risk which banks and insurers are obliged to manage. One of the main questions that worries both researchers and practitioners is the bias in the data on the operational losses amounts recorded. We support the assertions made by several authors and defend that this concern is serious when modeling operational losses data and, typically, is presented in all the databases. We show that it's possible, based on mild assumptions on the internal procedures put in place to manage operational losses, to make parametric inference using loss data statistics, that is, to estimate the parameters for the losses amounts, taking in consideration the bias that, not being considered, generates a two fold error in the estimators for the mean loss amount and the total loss amount, the former being overvalued and the last undervalued. In this paper, we do not consider the existence of a threshold for which, all losses above, are reported and available for analysis and estimation procedures. In this sense, we follow a different approach to the parametric inference. Here, we consider that the probability that a loss is reported and ends up recorded for analysis, increases with the size of the loss, what causes the bias in the database but, at the same time, we do not consider the existence of a threshold, above which, all losses are recorded. Hence, no loss has probability one of being recorded, in what we defend is a realist framework. We deduce the general formulae, present simulations for common theoretical distributions used to model (operational reported) losses amounts, estimate the impact for not considering the bias factor when estimating the value at risk and estimate the true total operational losses the bank incurred.
  • Dividend problems in the dual risk model
    Lourdes B. Afonso, Rui M.R. Cardoso, Alfredo D. Egídio dos Reis
    Insurance Mathematics and Economics, 2013
    We consider the compound Poisson dual risk model, dual to the well known classical risk model for insurance applications, where premiums are regarded as costs and claims are viewed as profits. The surplus can be interpreted as a venture capital like the capital of an economic activity involved in research and development. Like most authors, we consider an upper dividend barrier so that we model the gains of the capital and its return to the capital holders.
  • Numerical evaluation of continuous time ruin probabilities for a portfolio with credibility updated premiums
    Lourdes B. Afonso, Alfredo D. Egídio dos Reis, Howard R. Waters
    Astin Bulletin, 2010
    The probability of ruin in continuous and finite time is numerically evaluated in a classical risk process where the premium can be updated according to credibility models and therefore change from year to year. A major consideration in the development of this approach is that it should be easily applicable to large portfolios. Our method uses as a first tool the model developed by Afonso et al. (2009), which is quite flexible and allows premiums to change annually. We extend that model by introducing a credibility approach to experience rating.We consider a portfolio of risks which satisfy the assumptions of the Bühlmann (1967, 1969) or Bühlmann and Straub (1970) credibility models. We compute finite time ruin probabilities for different scenarios and compare with those when a fixed premium is considered.
  • Calculating continuous time ruin probabilities for a large portfolio with varying premiums
    Lourdes B. Afonso, Alfredo D. Egídio dos Reis, Howard R. Waters
    Astin Bulletin, 2009
    In this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios. Our method is based on the simulation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year. We calculate the within-year ruin probability assuming a translated gamma distribution approximation for aggregate claim amounts.We illustrate our method by studying the case where the premium at the start of each year is a function of the surplus level at that time or at an earlier time.

RECENT SCHOLAR PUBLICATIONS

  • Teaching courses to STEM students–Lessons learned from the Pandemics
    N Chibeles-Martins, LB Afonso
    Computer Aided Chemical Engineering 52, 3507-3512 , 2023
    2023.0
  • Teaching courses heavily dependent on computational resources to STEM students during Pandemics
    N Chibeles-Martins, LB Afonso
    Computer Aided Chemical Engineering 51, 1687-1692 , 2022
    2022.0
    Citations: 1
  • Ruin Probabilities And Capital Requirement for Open Automobile Portfolios With a Bonus‐Malus System Based on Claim Counts
    LB Afonso, RMR Cardoso, ADE dos Reis, GR Guerreiro
    Journal of Risk and Insurance , 2019
    2019.0
    Citations: 15
  • Multi-start local search procedure for the maximum fire risk insured capital problem
    MI Gomes, LB Afonso, N Chibeles-Martins, JM Fradinho
    International Symposium on Combinatorial Optimization, 219-227 , 2018
    2018.0
    Citations: 2
  • Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance
    LB Afonso, RMR Cardoso, ADE Dos Reis, GR Guerreiro
    ASTIN Bulletin: The Journal of the IAA 47 (2), 417-435 , 2017
    2017.0
    Citations: 17
  • Using weighted distributions to model operational risk
    LB Afonso, PC Real
    ASTIN Bulletin: The Journal of the IAA 46 (2), 469-485 , 2016
    2016.0
    Citations: 4
  • Bonus malus systems and finite and continuous time ruin probabilities in motor insurance
    G Guerreiro, L Afonso, R Cardoso
    2015.0
  • Avaliação Actuarial do Sistema Previdencial da Segurança Social e Prestação Única da Segurança Social
    JM Bravo, LB Afonso, G Guerreiro
    GEP-Ministério da Solidariedade, Emprego e Segurança Social, Lisboa, Dezembro , 2014
    2014.0
    Citations: 17
  • Dividend problems in the dual risk model
    LB Afonso, RMR Cardoso, ADE dos Reis
    Insurance: Mathematics and Economics 53 (3), 906-918 , 2013
    2013.0
    Citations: 46
  • Using Weighted Distributions to Model Operational Risk
    PC Real, LB Afonso
    2013.0
  • Avaliação Actuarial do Regime de Pensões da Caixa Geral de Aposentações: formulação actual e impacto das medidas legislativas
    JM Bravo, LB Afonso, G Guerreiro
    Estudo para o Ministério das Finanças, Novembro , 2013
    2013.0
    Citations: 22
  • Numerical evaluation of continuous time ruin probabilities for a portfolio with credibility updated premiums
    LB Afonso, ADE Dos Reis, HR Waters
    ASTIN Bulletin: The Journal of the IAA 40 (1), 399-414 , 2010
    2010.0
    Citations: 14
  • Calculating continuous time ruin probabilities for a large portfolio with varying premiums
    LB Afonso, ADE Dos Reis, HR Waters
    ASTIN Bulletin: The Journal of the IAA 39 (1), 117-136 , 2009
    2009.0
    Citations: 16
  • Evaluation of ruin probabilities for surplus processes with credibility and surplus dependent premiums
    BL Afonso
    Instituto Superior de Economia e Gestão - Universidade Técnica de Lisboa , 2008
    2008.0
    Citations: 11
  • Numerical evaluation of continuous time ruin probabilities for a risk process with annually varying premiums
    LB Afonso, AD Egıdio dos Reis, HR Waters
    Preprint 10 , 2007
    2007.0
    Citations: 4
  • A model for numerical evaluation of continuous time ruin probabilities with a variable premium rate
    LB Afonso, ADE dos Reis, HR Waters
    2007.0
    Citations: 1
  • Numerical evaluation of continuous time ruin probabilities for a risk process with credibility based premiums
    LB Afonso, AD Egıdio dos Reis, HR Waters
    preparation , 2007
    2007.0
    Citations: 1
  • Like this
    A Afonso, LB Afonso, AD Egídio dos Reis, HR Waters
    Journal de Genève , 1980
    1980.0
  • Intervalos de confiança para rendas vitalıcias: aplicaçao a fundos de pensoes
    LB Afonso, P Corte Real, C Tomás
  • Avaliação de Responsabilidades em Fundos de Pensões
    L AFONSO

MOST CITED SCHOLAR PUBLICATIONS

  • Dividend problems in the dual risk model
    LB Afonso, RMR Cardoso, ADE dos Reis
    Insurance: Mathematics and Economics 53 (3), 906-918 , 2013
    2013.0
    Citations: 46
  • Avaliação Actuarial do Regime de Pensões da Caixa Geral de Aposentações: formulação actual e impacto das medidas legislativas
    JM Bravo, LB Afonso, G Guerreiro
    Estudo para o Ministério das Finanças, Novembro , 2013
    2013.0
    Citations: 22
  • Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance
    LB Afonso, RMR Cardoso, ADE Dos Reis, GR Guerreiro
    ASTIN Bulletin: The Journal of the IAA 47 (2), 417-435 , 2017
    2017.0
    Citations: 17
  • Avaliação Actuarial do Sistema Previdencial da Segurança Social e Prestação Única da Segurança Social
    JM Bravo, LB Afonso, G Guerreiro
    GEP-Ministério da Solidariedade, Emprego e Segurança Social, Lisboa, Dezembro , 2014
    2014.0
    Citations: 17
  • Calculating continuous time ruin probabilities for a large portfolio with varying premiums
    LB Afonso, ADE Dos Reis, HR Waters
    ASTIN Bulletin: The Journal of the IAA 39 (1), 117-136 , 2009
    2009.0
    Citations: 16
  • Ruin Probabilities And Capital Requirement for Open Automobile Portfolios With a Bonus‐Malus System Based on Claim Counts
    LB Afonso, RMR Cardoso, ADE dos Reis, GR Guerreiro
    Journal of Risk and Insurance , 2019
    2019.0
    Citations: 15
  • Numerical evaluation of continuous time ruin probabilities for a portfolio with credibility updated premiums
    LB Afonso, ADE Dos Reis, HR Waters
    ASTIN Bulletin: The Journal of the IAA 40 (1), 399-414 , 2010
    2010.0
    Citations: 14
  • Evaluation of ruin probabilities for surplus processes with credibility and surplus dependent premiums
    BL Afonso
    Instituto Superior de Economia e Gestão - Universidade Técnica de Lisboa , 2008
    2008.0
    Citations: 11
  • Using weighted distributions to model operational risk
    LB Afonso, PC Real
    ASTIN Bulletin: The Journal of the IAA 46 (2), 469-485 , 2016
    2016.0
    Citations: 4
  • Numerical evaluation of continuous time ruin probabilities for a risk process with annually varying premiums
    LB Afonso, AD Egıdio dos Reis, HR Waters
    Preprint 10 , 2007
    2007.0
    Citations: 4
  • Multi-start local search procedure for the maximum fire risk insured capital problem
    MI Gomes, LB Afonso, N Chibeles-Martins, JM Fradinho
    International Symposium on Combinatorial Optimization, 219-227 , 2018
    2018.0
    Citations: 2
  • Teaching courses heavily dependent on computational resources to STEM students during Pandemics
    N Chibeles-Martins, LB Afonso
    Computer Aided Chemical Engineering 51, 1687-1692 , 2022
    2022.0
    Citations: 1
  • A model for numerical evaluation of continuous time ruin probabilities with a variable premium rate
    LB Afonso, ADE dos Reis, HR Waters
    2007.0
    Citations: 1
  • Numerical evaluation of continuous time ruin probabilities for a risk process with credibility based premiums
    LB Afonso, AD Egıdio dos Reis, HR Waters
    preparation , 2007
    2007.0
    Citations: 1
  • Teaching courses to STEM students–Lessons learned from the Pandemics
    N Chibeles-Martins, LB Afonso
    Computer Aided Chemical Engineering 52, 3507-3512 , 2023
    2023.0
  • Bonus malus systems and finite and continuous time ruin probabilities in motor insurance
    G Guerreiro, L Afonso, R Cardoso
    2015.0
  • Using Weighted Distributions to Model Operational Risk
    PC Real, LB Afonso
    2013.0
  • Like this
    A Afonso, LB Afonso, AD Egídio dos Reis, HR Waters
    Journal de Genève , 1980
    1980.0
  • Intervalos de confiança para rendas vitalıcias: aplicaçao a fundos de pensoes
    LB Afonso, P Corte Real, C Tomás
  • Avaliação de Responsabilidades em Fundos de Pensões
    L AFONSO