Browsing by Author "Corubolo, D."

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    Changes in mortality of people living with HIV in South Africa and their potential implications for life assurers
    (Actuarial Society of South Africa, 2016) Strydom, M. L.; Corubolo, D.; Nel, C.
    This research investigates the impact of improved (and improving) mortality experience in South Africa as a result of the increased (and increasing) access to antiretroviral treatment on South African life assurers, the entry-level insurance market and the wider South African economy. The research focuses on various potential impacts on the entry-level insurance market, including new business profitability, product development and pricing, market penetration and the potential for increased savings. This research has been done with the assistance of four of the main South African life offices and also draws on the new THEMBISA AIDS model on which a working paper has been produced. The research is based on the THEMBISA model in order to investigate the potential impact of alternative mortality scenarios on typical entry-level products within the industry where the scenarios have been based on actual current and proposed antiretroviral roll-out strategies by the Department of Health. Potential improvements to profitability, premium reductions, benefit enhancements and cashback benefits are quantified using a profit test model for entry-level market products.
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    The sources of South African equity fund performance
    (Portfolio management -- South Africa, 2015-11) Lester, N.; Corubolo, D.
    ENGLISH SUMMARY : This paper aims to quantify some of the sources of South African equity fund performance. In particular, it aims to provide insights into the relative importance of sector allocation and stock selection as factors to consider in constructing actively managed portfolios. This analysis is done considering the constraint of a concentrated South African market environment. To partially account for this constraint, an assumption of three equity “super sectors”—financial, industrial and resources—is made. To quantify the sources of equity fund returns, a geometric attribution analysis was conducted on the returns of seven South African equity unit trust funds. An attribution decomposition of the seven funds’ tracking error and volatility was also performed to enable a risk adjustment to be made. The results of these attribution analyses indicated that it is possible to source excess returns through both selection and allocation efforts. Furthermore, the attribution analysis also revealed different levels of success at earning excess returns per sector. South African equity fund managers also demonstrated skill in reducing risk over the sample period, as the majority of the managers were able to reduce portfolio risk relative to the benchmark portfolio, but still source excess returns. It is, however, important to note that these results are influenced by market structure and manager practices.