Business Commons^™

New Approaches To Risk Management And Scenario Approximation In Financial Optimization, Maksym Bychkov

Doctoral Dissertations

The first part of the thesis addresses the problem of risk management in financial optimization modeling. Motivation for constructing a new concept of risk measurement is given through the history of development: utility theory, risk/return tradeoff, and coherent risk measures. The process of describing investor's preferences is presented through the proposed collection of Rational Level Sets (RLS). Based on RLS, a new concept termed Rational Risk Measures (RRM) for nancial optimization models is defined. The advantages of RRM over coherent risk measures are discussed. Approximation of a given set of scenarios using tail information is addressed in the second part …

Teaching Strategic Environmental Analysis Using Numbers 13 & 14: The First 2x2 Strategy Matrix In Scripture?, Michael E. Cafferky

Faculty Works

The author provides a summary of the literature on the use of the 2X2 matrix in strategic management especially environmental scanning, explore the historical context of Numbers 13, 14 and Deuteronomy 1, consider passages relevant to strategic environmental analysis, examine two of the 2X2 matrices that can be constructed from the passage along with the strategic implications of each. Finally, some of the teaching potential of this passage from both theological and strategic management points of view is explored.

The Porter Five-Forces Industry Analysis Framework For Religious Nonprofits: A Conceptual Analysis, Michael E. Cafferky

Faculty Works

Goold (1997) has argued that the Porter (1980) five-forces framework for industry analysis is not applicable to nonprofits. In light of recent essays (e.g. Miller, 2002) as well as literature from the world of religious nonprofit organizations and organization theory, the Porter framework is analyzed through a review of representative literature. The religious nonprofit arena was chosen for this conceptual analysis based on an assumed key difference between religious nonprofits and for-profit firms: the stronger influence that mission has in strategy formulation compared with the influence of the external environment. Implications for further research are suggested.

Nurturing The Spirit At Work: Impact On Work Unit Performance, Dennis Duchon, Donde Ashmos Plowman

Department of Management: Faculty Publications

Workplace spirituality is defined as a workplace that recognizes that employees have an inner life that nourishes and is nourished by meaningful work that takes place in the context of community. This definition, based on three fundamental spiritual needs, has implications for how leaders can enhance work unit performance by nurturing the spirit at work. In an exploratory study of six work units in a large hospital system we used an instrument that measures workplace spirituality. The results led to propositions concerning the effect of work unit spirituality on work unit performance and the relationship between work unit spirituality and …

The Impact Of Motivation And Conflict Escalation On The Five Zone Model For Preferred Conflict Handling And Managerial Decision Making, Dewey Wilson Todd

Managerial Sciences Dissertations

ABSTRACT THE IMPACT OF MOTIVATION AND CONFLICT ESCALATION ON THE FIVE ZONE MODEL FOR PREFERRED CONFLICT HANDLING AND MANAGERIAL DECISION MAKING BY DEWEY WILSON TODD JULY 2005 Committee Chairmen: Dr. Peter Zhang and Dr. Craig Hill Major Department: Managerial Sciences (Decision Sciences) The Todd-Cambridge Preferred Conflict-Handling Mode (PCHM) Instrument is an example of a two-dimensional, five zone model, similar to the Thomas-Kilmann Conflict Mode Instrument, used to explain how individuals deal with situations in which their desires are in conflict with another individual or group. The instrument, developed for this research, was based on the Managerial Grid (Van de Vliert …

Testing First: Emphasizing Testing In Early Programming Courses, Will Marrero, Amber Settle

Amber Settle

Impact Of A Multifaceted Quality Improvement Initiative To Implement Jcaho Core Measures For Ami And Chf, Michael A. Rossi Md, Zubina M. Mawji Md, Mph, Patricia Parker Rn, Joshua B. Skibba Md, Katrina A. Fritz Bsn, Tamara Masiado Ma, Thomas E. Wasser Phd

Administration & Leadership

No abstract provided.

Effectiveness Of A Progress Note On Quality Care Indicators In A Get With The Guidelines Hospital, Michael A. Rossi Md, Zubina M. Mawji Md, Mph, Patricia Parker Rn, Joshua B. Skibba Md, Katrina A. Fritz Bsn, Tamara Masiado Ma, Thomas E. Wasser Phd

Administration & Leadership

No abstract provided.

The Tale Of Two Cultures: Attitudes Towards Affirmative Action In The United States And India, Gwendolyn Combs, Sucheta Nadkarni

Department of Management: Faculty Publications

This study seeks to inform multinational corporations as they integrate domestic and international affirmative action policies and strategies. Improvement of these abilities can have important implications for human resource management and organizational productivity outcomes. To increase our understanding of the international perspectives of affirmative action, we examine employee perceptions of the structure of affirmative action plans in the United States and India. The differences in affirmative action plans implemented in these countries as well as country cultural differences offer interesting backdrops for examining cross-country differences in employee perceptions of affirmative action.

Additivity Of Information Value In Two-Act Linear Loss Decisions With Normal Priors, Jeffrey Keisler

Management Science and Information Systems Faculty Publication Series

For the two-act linear loss decision problem with normal priors, conditions are derived for which the expected value of perfect information about two independent risks is super-additive in value. Several applications show how a variety of decision problems can reduce to the canonical problem, and how the general results obtained here can be translated simply to prescriptions for specific situations.

Revisiting Brown V. Board Of Education: A Cultural, Historical-Legal, And Political Perspective, Michael W. Combs, Gwendolyn Combs

Department of Management: Faculty Publications

This Article explores how Brown v. Board of Education and subsequent Court decisions have impacted the structure of society and racial cultural tradition of America. Brown ranks among the first instances in which a modern American institution actually tackled the cultural basis of racism and discrimination. More directly, during oral arguments to consider the separate but equal doctrine of Plessy v. Ferguson, the Justices seemed to have understood the political and cultural importance of possibly overturning the doctrine that shaped race relations for more than fifty years. The Warren Court’s strategy to treat severally the constitutional pronouncement and the remedial …

Additivity Of Information Value In Two-Act Linear Loss Decisions With Normal Priors, Jeffrey Keisler

Jeffrey Keisler

For the two-act linear loss decision problem with normal priors, conditions are derived for which the expected value of perfect information about two independent risks is super-additive in value. Several applications show how a variety of decision problems can reduce to the canonical problem, and how the general results obtained here can be translated simply to prescriptions for specific situations.

A Multiple-Case Analysis Of Lean Six Sigma Deployment And Implementation Strategies, Peter M. O'Rourke

Theses and Dissertations

Lean and Six Sigma are recent developments in continuous improvement methodology that have been popularized by several high-profile companies. The success and complementary nature of these methodologies has led to their combination into a single methodology, commonly called Lean Six Sigma or Lean Sigma. Although there is considerable literature available and many consultants involved with Lean Six Sigma, very little published research addresses the practical experiences of companies that have implemented Lean Six Sigma. The research question for this research is: How and why are certain private sector implementations of Lean Six Sigma successful or unsuccessful? The investigative questions further …

The Characteristics Of “Necessity” In A Work Place: A Replication Study, Chong W. Kim, Andrew Sikula Sr.

Management Faculty Research

As defined in our previous paper (Kim and Sikula, 2003), there could be three types of person and roles they play in the workplace: Necessity, Common and Parasite. A Necessity is the one who is an irreplaceable person. A Common is a worker of average ability and talent, and a Parasite is an employee free-loader who is a moocher more than a contributor.

The purpose of this paper is to replicate the first paper, and compare the results of two data sets. The data for the first paper collected from 34 undergraduate senior students in an Organizational Behavior (OB) class, …

Behavioral Factors In Strategic Alliances, Purnendu Mandal, Dale H. Shao, Chong W. Kim

Management Faculty Research

Recently, there has been a growing trend among information technology (IT) organizations to form strategic alliances to increase competitive advantages in the marketplace. For an organization to exploit the benefits of alliances, human factors and IT factors must be among the basic components of any strategic plan (Kemeny & Yanowitz, 2000). Despite the obvious need to consider human and IT factors when developing a long-term plan, many strategic plans developed in the past that led to alliances have failed to consider human aspects. Examples of failure in the implementation of IT systems due to the lack of consideration of human …

Journal Of Actuarial Practice - Volume 12 (2005) - Contents And Masthead

Journal of Actuarial Practice (1993-2006)

Contents

Editorial Policy: Topics suitable for this journal include AIDS, annuity products, asset-liability matching, cash-flow testing, casualty rate making, credibility theory, credit insurance, disability insurance, expense analysis, experience studies, FASB issues, financial reporting, group insurance, health insurance, individual risk taking, insurance regulations, international issues, investments, liability insurance, loss reserves, marketing, pensions, pricing issues, product development, reinsurance, reserving issues, risk-based capital, risk theory, social insurance, solvency issues, taxation, valuation issues, and workers' compensation

Review Process

Editor - Colin Ramsay, University of Nebraska

Associate Editors: Robert Brown, University of Waterloo ○ Cecil Bykerk, Mutual of Omaha ○ Ruy Cardoso, Actuarial Frameworks ○ …

Journal Of Actuarial Practice, Volume 12, 2005, Colin Ramsay , Editor

Journal of Actuarial Practice (1993-2006)

ARTICLES

Risk-Based Regulatory Capital for Insurers: A Case Study • Christian Sutherland-Wong and Michael Sherris 5

A New Hybrid Defined Benefit Plan Design • Wayne E. Dydo . 47

A Primer on Duration, Convexity, and Immunization • Leslaw Gajek, Krzysztof Ostaszewski, and Hans-Joachim Zwiesler 59

Modeling Clusters of Extreme Losses • Beatriz Vaz de Melo Mendes and Juliana Sa Freire de Lima 83

Modeling Insurance Loss Data: The Log-EIG Distribution • Uditha Balasooriya, Chan Kee Low, and Adrian Y W Wong 101

A Modern Approach to Modeling Insurances on Two Lives • Maria Bilikova and Graham Luffrum 127

On the …

A Modern Approach To Modeling Insurances On Two Lives, Maria Bilikova, Graham Luffrum

Journal of Actuarial Practice (1993-2006)

The analysis of life insurance contracts on two lives using the traditional deterministic approach has been an important part of actuarial education for the past fifty years or more. Recently there has been a shift from this deterministic approach to one using a more modern stochastic approach involving the future lifetime random variable. In this paper we will look at the problem using multiple-state models. In our view this approach allows a deeper analysis than either the traditional or the random future lifetime ones.

A New Hybrid Defined Benefit Plan Design, Wayne E. Dydo

Journal of Actuarial Practice (1993-2006)

Traditional defined benefit plans can be difficult to understand and complex to administer. Hybrid plans (cash balance and pension equity) arose in part to address the former issue, but at a price of greater administrative and litigation risk. I introduce a design for defined benefit pension plans that is easy to communicate to participants, allows for accrual patterns that closely replicate those of the two most common forms of hybrid pension plans, and avoids the controversial nondiscrimination issues that currently trouble sponsors of hybrid plans. The design defines the benefit as a fixed percentage of pay payable over a period …

Optimal Dividend Strategies: Some Economic Interpretations For The Constant Barrier Case, Maite Marmol, M. Merce Claramunt, Antonio Alegre

Journal of Actuarial Practice (1993-2006)

We consider the surplus process of a non-life insurance portfolio with a dividend component represented by a constant dividend barrier strategy. The optimal dividend barrier is known when individual claim amounts follow an exponential distribution. This result for the optimal dividend barrier is used to develop combinations of the levels of the insurer's initial surplus and of the barrier which, under certain economic and financial criteria, can be regarded as optimal.

Risk-Based Regulatory Capital For Insurers: A Case Study, Christian Sutherland-Wong, Michael Sherris

Journal of Actuarial Practice (1993-2006)

We study the issues in determining regulatory capital requirements using advanced modeling by assessing and comparing capital requirements under the two alternative approaches. A dynamic financial analysis (DFA) model is used for this case study. These issues are of current international interest as regulators, insurers, and actuaries face the significant issues involved with the introduction of risk-based capital for insurers.

On The Pricing Of Top And Drop Excess Of Loss Covers, Jean-Francois Walhin, Michel Denuit

Journal of Actuarial Practice (1993-2006)

A top and drop cover is a treaty that can be found on the retrocession market. It offers capacity that can be used either to protect a top layer or a working layer. The former is called a "top" and the latter is called a "drop." Using the traditional collective risk model, we demonstrate the use of a multivariate version of Panjer's algorithm to price this cover. We also compare the premium obtained within the exact model with the premiums obtained either with the Frechet bounds or with the wrong assumption of independence.

Ultimate Ruin Probability For A Time-Series Risk Model With Dependent Classes Of Insurance Business, Lai Mei Wan, Kam Chuen Yuen, Wai Keung Li

Journal of Actuarial Practice (1993-2006)

We consider a discrete-time risk model with m (m ~ 2) dependent classes of insurance business. The claim processes of these m classes are assumed to follow a multivariate autoregressive time-series model of order 1. Given this claims model, we explore the probability of ultimate ruin assuming exponentially bounded claims. As an example, we use simulations to study the case where there are two business and the underlying losses are of two types: bivariate exponential and bivariate gamma claim distributions.

Uml Activity Diagram Semantics And Automated Gui Prototyping, Nancy Winniford Ashley, Timothy E. Meehan, Norman Carr

Journal of International Technology and Information Management

Extended Activity Semantics (XAS) is a notation which can be used with Unified Modeling Language (UML) activity diagrams to specify user interactions with a system and to automatically generate a prototype of the graphical user interface (GUI) that would be used in these interactions. XAS has been incorporated in a CASE tool, Guibot, which has been developed as a plug-in for Rational Rose, a leading UML tool. The notation and tool address a specific gap in UML – the inability to model user interaction.

Internet Technology In 2010: The Issue Of Ipv6 Adoption In The U.S.A., Garry L. White, Jaymeen R. Shah, James R. Cook

Journal of International Technology and Information Management

Computer industry literature suggests that IPv4 Internet addresses are likely to have been depleted by the year 2010, and at least Asia and Europe will be using the new IPv6 Internet addresses. Literature also suggests that the U.S.A. is lagging behind Asia and Europe with the implementation of IPv6. Empirical data supporting the fact that the U.S.A. is lagging behind is not available in the literature. This paper presents the issues regarding IPv6, reasons why Asia and Europe are implementing IPv6, and why the U.S.A. is lagging behind. Empirical data is presented to support the literature’s suggestion that the U.S.A. …

A Primer On Duration, Convexity, And Immunization, Leslaw Gajek, Krzysztof Ostaszewski, Hans-Joachim Zwiesler

Journal of Actuarial Practice (1993-2006)

The concepts of duration, convexity, and immunization are fundamental tools of asset-liability management. This paper provides a theoretical and practical overview of the concepts, largely missing in the existing literature on the subject, and fills some holes in the body of research on the subject. We not present new research, but rather we provide a new presentation of the underlying theory, which we believe to be of value in the new North American actuarial education system.

Modeling Clusters Of Extreme Losses, Beatriz Vaz De Melo Mendes, Juliana Sa Freire De Lima

Journal of Actuarial Practice (1993-2006)

We model extreme losses from an excess of loss reinsurance contract under the assumption of the existence of a subordinated process generating sequences of large claims. We characterize clusters of extreme losses and aggregate the excess losses within clusters. The number of clusters is modeled using the usual discrete probability models, and the severity of the sum of excesses within clusters is modeled using a flexible extension of the generalized Pareto distribution. We illustrate the methodology using a Danish fire insurance claims data set. Maximum likelihood point estimates and bootstrap confidence intervals are obtained for the parameters and statistical premium. …

Modeling Insurance Loss Data: The Log-Eig Distribution, Uditha Balasooriya, Chan Kee Low, Adrian Y.W. Wong

Journal of Actuarial Practice (1993-2006)

The log-EIG distribution was recently introduced to the probability literature. It has positive support and a moderately long tail, and is closer to the lognormal than to the gamma or Weibull distributions. Our simulations show that data generated from a log-EIG distribution cannot be adequately described by lognormal, gamma, or Weibull distributions. The log-EIG distribution is a worthwhile candidate for modeling insurance claims (loss) data or lifetime data. Examples of fitting the log-EIG to published insurance claims data are given.

Reputation Pricing: A Model For Valuing Future Life Insurance Policies, Rami Yosef

Journal of Actuarial Practice (1993-2006)

The reputation of a life insurer is used to develop a model for determining the value of future life insurance policies. An M / G / 00 process is used to describe the sales and terminations (due to death or maturity) of future policies. The intensity of the arrival process is assumed to depend on the company's reputation. Explicit expressions are derived for the actuarial reserves and expected profits of these future policies.

An Application Of Control Theory To The Individual Aggregate Cost Method, Alexandros A. Zimbidis, Steven Haberman

Journal of Actuarial Practice (1993-2006)

The paper investigates the individual aggregate cost method (also known as the individual spread-gain method), which is normally applicable in small pension funds or fully contributory schemes, using a control theoretical framework. We construct the difference equations describing the mechanisms of the respective funding method and then calculate the optimal control path of the contribution rate assuming (first) a stochastic and (second) a deterministic pattern for the future investment rates of return. For the first case, the optimal solution is achieved through a linear approximation and using stochastic optimization techniques. It is proved that the contribution rate is (optimally) controlled …