Determining accurate capital requirements is a central activity across the life insurance industry. This is computationally challenging and often involves the acceptance of proxy errors that directly impact capital requirements. Within simulation-based capital models, where proxies are being used, capital estimates are approximations that contain both statistical and proxy errors. Here, we show how basic error analysis combined with targeted exact computation can entirely eliminate proxy errors from the capital estimate. Consideration of the possible ordering of losses, combined with knowledge of their error bounds, identifies an important subset of scenarios. When these scenarios are calculated exactly, the resulting capital estimate can be made devoid of proxy errors. Advances in the handling of proxy errors improve the accuracy of capital requirements.

Following the EU Gender Directive, that obliges insurance companies to charge the same premium to policyholders of different genders, we address the issue of calculating solvency capital requirements (SCRs) for pure endowments and annuities issued to mixed portfolios. The main theoretical result is that, if the unisex fairness principle is adopted for the unisex premium, the SCR at issuing time of the mixed portfolio calculated with unisex survival probabilities is greater than the sum of the SCRs of the gender-based subportfolios. Numerical results show that for pure endowments the gap between the two is negligible, but for lifetime annuities the gap can be as high as 3–4%. We also analyze some conservative pricing procedures that deviate from the unisex fairness principle, and find that they lead to SCRs that are lower than the sum of the gender-based SCRs because the policyholders are overcharged at issuing time.

Skin conductance is a psychophysiological parameter that reflects fundamental processes such as attention and arousal. The present study explored whether deviations in skin conductance activity are associated with severity of schizophrenic symptoms. For this purpose, Skin Conductance Responses (SCRs) to discrete stimuli (80 dB noises) and Skin Conductance Levels (SCLs) of 37 schizophrenic patients and 31 healthy volunteers were recorded. In accordance with previous studies, schizophrenic patients were found to be hyporesponsive compared to healthy controls. More specifically, almost half of the patients (46%) did not react with any SCR to the first 3 stimuli, whereas only 10% of the control group exhibited such a non-responding. Accordingly, the mean amplitude of the first 3 SCRs – as measured in u Siemens – was found to be significantly lower in patients compared to controls. As well, mean SCL was found to be (marginally) elevated in the patient group. This was especially the case for patients who did exhibit SCRs. In the patient group, a negative correlation was found between amplitude of SCRs and symptom severity. This association was mainly carried by a significant correlation between positive symptoms and reduced SCRs. The clinical relevance of these findings is discussed in detail.

A. Öhman and J.J.F. Soares (1994) demonstrated that masked presentation of phobic pictures produces increased skin conductance responses (SCRs) in phobic subjects. A. Öhman (1993) explained this phenomenon in terms of a hypothetical “feature detector” that identifies physical characteristics of stimuli and activates the arousal system without involving significance evaluation or consciousness. By exposing spider phobics to spider words, general threat words, and neutral words instead of pictures, this explanation was tested. Words were presented both masked and unmasked while electrodermal activity was measured. Under unmasked conditions, SCRs were largest for spider words followed by general threat words, then neutral words. When masked, the difference between spider words and general threat words disappeared but SCRs remained significantly smaller for neutral words. It is concluded that activation of the arousal system by masked threat cues does not necessarily depend on their perceptual characteristics.

Studies of concurrent central, and autonomic activity using a conventional event-related potential (ERP) oddball paradigms, are considered useful in elucidating the relationship between central and autonomic responses, but the autonomic response tends to overlap. A new method was used to decompose and score overlapping skin conductance responses (SCR). This method enabled examination of dynamic relationships of phasic SCR, prestimulus electroencephalogram (EEG), and ERP to auditory target stimuli in 50 normal adults. SCR amplitude was negatively correlated to EEG and N200 amplitude. The SCR amplitude changes over time exhibited an exponential decline opposite to those of N200, alpha, and beta. All the fitted exponential functions had a time constant of 1–2 min. The findings suggest that a N200 component, active in the auditory sensory discrimination, is concomitant with the SCR. The narrow range of the time constant may provide a clue to the conjoint processes underlying central and autonomic adaptive functions.