Business Commons^™

Analysis Of An Insurance Risk Model With Thinning Dependence And Common Shock, Lai Mei Wan, Kam Chuen Yuen, Wai Keung Li

Journal of Actuarial Practice (1993–2006)

We consider a continuous-time insurance risk model with m dependent classes of business with dependent claim number processes due to thinning dependence and a common shock. The impact of the dependence is studied via the adjustment coefficient. The case m = 2 is investigated analytically for exponential claim distributions and via simulation for non-exponential claim distributions.

Pricing Insurance Policies With A Distribution-Free Financial Pricing Model, Min-Ming Wen

Journal of Actuarial Practice (1993–2006)

The highly skewed and heavy tailed distributions used to model insurance losses (claims) raise a concern about the validity of the applications of the capital asset pricing model (CAPM) to insurance pricing when market risks are essential. This paper provides an alternative pricing model, called the Rubinstein-Leland model, which can be used to price insurance contracts. The Rubinstein-Leland model has a distribution-free feature that can fully capture the asymmetry embedded in insurance losses. Thus, this model is better able to derive fair prices for insurance policies than is the CAPM.

Bivariate Archimedean Copula Models For Censored Data In Non-Life Insurance, Michel Denuit, Oana Purcaru, Ingrid Van Keilegom

Journal of Actuarial Practice (1993–2006)

We describe a methodology based on Archimedean copulas for analyzing nonlife insurance data with censoring present. Specifically, we propose a graphical selection procedure for the nonparametric estimation of the generator. An actual loss-ALAE data set is used for the numerical illustrations and for comparisons of our approach to a few others.

Consistent Assumptions For Modeling Credit Loss Correlations, Jan Dhaene, Marc J. Goovaerts, Robert Koch, Ruben Olieslagers, Olivier Romijn, Steven Vanduffel

Journal of Actuarial Practice (1993–2006)

We consider a single period portfolio of n dependent credit risks that are subject to default during the period. We show that using stochastic loss given default random variables in conjunction with default correlations can give rise to an inconsistent set of assumptions for estimating the variance of the portfolio loss. Two sets of consistent assumptions are provided, which it turns out, also provide bounds on the variance of the portfolio's loss. An example of an inconsistent set of assumptions is given.

Bayesian Analysis Of Insurance Losses Using The Buhlmann-Straub Credibility Model, Abraham J. Van Der Merwe, Kobus N. Bekker

Journal of Actuarial Practice (1993–2006)

We propose a Bayesian analysis to develop credibility estimates of the well known Biihlmann-Straub model. We describe simple numerical methods to obtain exact posterior distributions and predictive densities under this model. These distributions are obtained through Monte Carlo simulations that generate independent samples from the joint posterior distribution. Our methods are therefore preferable to methods such as Gibbs sampling, which generates dependent samples from the joint distribution. The methods discussed also can be extended to more complicated credibility models.

Spatial Distribution Of Frequency And Severity Of Water Claims In California, Gurbhag Singh, Max Tang, Don Mcneill, Lyn Hunstad

Journal of Actuarial Practice (1993–2006)

We examine the frequency and severity of water loss claims for homeowners insurance across the state of California for the experience years 2000, 2001, and 2002. The spatial distribution patterns of frequencies and severities are mapped and analyzed at the zip code level. The maps reveal the pockets of high frequencies and severities. The information provided in this paper will assist actuaries and policy makers in their quest to set accurate rates for homeowners insurance.

Analyzing Faulty Knowledge Systems In Project-Based Environments: An Empirical Investigation In A R&D Organization, Rafael E. Landaeta, Cesar Ariel Pinto, Timothy G. Kotnour, William R. Peterson

Engineering Management & Systems Engineering Faculty Publications

This investigation contributes a framework of the relationships among the faulty elements of a knowledge system in a project-based organization. The framework was developed during an applied research project at a R&D organization. A knowledge system can be defined as a series of inputs, processes, and outputs that interact with each other with the purpose of enhance the performance and capabilities of an organization or work unit through knowledge. The framework was developed using literature, our experience as applied researchers, and data collected from members of a R&D organization. Data was collected through a survey, interviews, and group meetings. The …

Journal Of Actuarial Practice, Volume 13, 2006, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

Bivariate Archimedean Copula Models for Censored Data in Non-Life Insurance • Michel Denuit, Dana Purcaru, and Ingrid Van Keilegom 5

Bayesian Analysis of Insurance Losses Using the Biihlmann-Straub Credibility Model • Abraham J. van der Merwe and Kobus N Bekker . 33

Bayesian Analysis of a Health Insurance Model • Helio S. Migon and Edison M. O. Penna 61

Solvency of Life Insurance Companies: Methodological Issues • Rosa Cocozza and Emilia Di Lorenzo . 81

Pricing Insurance Policies with a Distribution-Free Financial Pricing Model • Min-Ming Wen . 103

A Note on the Instability of the Unprojected Individual Level …

The Impact Of Efficacy On Work Attitudes Across Cultures, Fred Luthans, Weichun Zhu, Bruce Avolio

Department of Management: Faculty Publications

To answer the call for more cross-cultural research, this study analyzed the efficacy and work attitudes of employee samples from the U.S. and Southeast Asia (Indonesia, Malaysia, and Thailand). The results showed that across these two samples, general efficacy had a significant positive relationship with organizational commitment and a significant negative relationship with intention to turnover. Further analysis also indicated that job satisfaction mediated the relationship between general efficacy and organizational commitment and intention to quit in the U.S. sample. The relationship between general efficacy and organizational commitment was stronger in the U.S. than in the three combined countries sampled …

Management And Market Reactions To Litigation: Do Shareholders Win When The Company Loses?, Terence Lau

Management and Marketing Faculty Publications

This research brief summarizes a study on how markets react to settlements and judgments. Prior research suggests that when companies refuse to settle and instead take on litigation, they are rewarded by markets even when they lose the case. Why this occurs has tremendously important significance for senior management.

Distinguishing Fiction From Reality: The Asean Free Trade Area And Implications For The Global Auto Industry, Terence Lau

Management and Marketing Faculty Publications

This Article explores the ASEAN Free Trade Agreement ("AFTA") and its implications for the regional and global auto industry. Section I of this article provides a brief history of ASEAN and its attempts to integrate regionally. It outlines the reasons for regional economic integration, and traces the current literature in this area. Section II provides an overview of the current auto industry in each of the major auto-producing countries in ASEAN: Thailand, Philippines, Indonesia, Vietnam, and Malaysia. It will also explain Malaysia's protected auto industry and Malaysia's attempts to delay implementation of AFTA, and its neighboring countries' reactions. Section III …

Observations On The Folly Of Using Student Evaluations Of College Teaching For Faculty Evaluation, Pay, And Retention Decisions And Its Implications For Academic Freedom, Terence Lau, William Wines

Management and Marketing Faculty Publications

Research on student teaching evaluations is vast. An examination of this research demonstrates wide disagreements but also substantial consensus of authority for the proposition that student evaluations should be used only with extreme care, if at all, in making personnel decisions. A number of reasons cause administrators to use teaching evaluations for personnel decisions. The literature, however, is virtually unanimous in its condemnation of norming student evaluations in order to rank classroom performances. Current cases on academic freedom indicate some retrenchment by the Circuits from broader pronouncements in earlier Supreme Court cases. This paper concludes that the use of non-validated …

Fisheries Occasional Publication No. 33 - Department Of Fisheries Community Survey 2005, Tara Baharthah

Fisheries Occasional Publications

A telephone survey of the Western Australian public was conducted to assess the level of success of programs implemented by the Department of Fisheries. The sample comprised of 700 interviews, 422 in the metropolitan area and 278 in regional areas throughout the State.

This community survey was used to determine the level of recall and awareness of the Department of Fisheries, the understanding and support of the community for the Department of Fisheries' management strategies and to examine key aspects of community participation in recreational fishing.

It is estimated that the overall participation rate for recreational fishing in Western Australia …

The Quandary Of Serving Multiple Masters: An Institutional Exploratory Analysis Of Publishing In Business Law, James Belohlav

College of Business Faculty and Staff Works

No abstract provided.

Managing Supply Chain Management Improvement Programs, Edward Sweeney

Practitioner Journals

No abstract provided.

B2b E-Marketplaces In The Airline Industry: A Study On Process Drivers And Performance Indicators, Claudia-Maria Wagner, Bernd Huber, Edward Sweeney

Practitioner Journals

No abstract provided.

Market Performance And Technical Efficiency Of Domestic And Foreign-Invested Service Industries In China = 中外資服務業的比較分析, Yue Ma

Centre for Public Policy Studies : CPPS Working Paper Series

Although the Chinese manufacturing industry has attracted a vast amount of foreign direct investment (FDI) and has made rapid development, the Chinese service sector is still heftily-protected and has absorbed little FDI since the open door policy adopted in 1978. As a result, the share of the service output is just around 41% of China’s GDP. This is clearly unsatisfactory as the service sector has been able to create more jobs proportionally in many other developed and less developed countries than that in China. This paper is the first attempt in the literature to conduct an empirical comparative study of …

Developing The Psychological Capital Of Resiliency, Fred Luthans, Gretchen R Vogelgesang, Paul B. Lester

Department of Management: Faculty Publications

In these turbulent times, we propose the importance of developing the psychological capital dimension of resiliency. After providing the theoretical background and meaning of psychological capital in general and resiliency in particular, the authors present proactive and reactive human resource development (HRD) strategies for its development. The proactive HRD includes increasing psychological assets, decreasing risk factors, and facilitating processes that allow human resources to enhance their resilience. The reactive HRD largely draws from a broaden-and-build model of positive emotions and self-enhancement, external attribution, and hardiness. The article includes specific guidelines for HRD applications and an agenda for future needed research.

Promoting Investments In Intangible Organizational Assets Through Aligned Incentive Compensation Plans, Susan B. Hughes, Craig B. Caldwell, Kathy A. Paulson Gjerde

Scholarship and Professional Work - Business

In order for large companies to continue to compete and expand in the global business world, it is important that the performance and compensation of strategic business unit managers are aligned with the organization’s overall long-term goals and strategies.

Understanding Employees' Behavioral Reactions To Aggression In Organizations, Marie Mitchell

Electronic Theses and Dissertations

The purpose of this dissertation is to explore employees' behavioral reactions to the perceived aggression of others. Perceived aggression is defined as behavior that is perceived to be intentionally harmful by the intended target. A typology is developed that identifies two primary dimensions of behavioral reaction: (1) the form of the behavior (aggression/non-aggression) and (2) the direction of the behavior (toward the source of the harm/not toward the source of the harm). Based on these dimensions, the typology produces four categories of behavioral reactions: retaliatory aggression, displaced aggression, constructive problem-solving, and withdrawal. A model is then presented, which identifies various …

The American Aircraft Industrial Base: On The Brink, David R. King

Management Faculty Research and Publications

An article reviewing the decline in the American aircraft industrial base.

R&D Investment Level And Environment As Predictors Of Firm Acquisition, Michael Heeley, David R. King, Jeffrey Covin

Management Faculty Research and Publications

R&D investments contribute to the development of firm technology resources, and the possession of such resources often increases a firm’s attractiveness as a potential acquisition target. However, the value ascribed to a firm’s technology resources by would-be acquirers may be moderated by its industry’s environmental characteristics. Using data from 2886 firms, we find that investments in R&D predict acquisition likelihood and that R&D investments are most strongly associated with acquisition of firms under conditions of high environmental munificence and dynamism. Theoretical and managerial implications are discussed.

Institutional Characteristics And Gender Choice In It, Mary Malliaris, Linda Salchenberger

Management Faculty Research and Publications

No abstract provided.

The Contribution Of Couple Leisure Involvement, Leisure Time, And Leisure Satisfaction To Marital Satisfaction, Heather A. Johnson, Ramon Zabriskie, Brian Hill

Faculty Publications

The purpose of this study was to further clarify the relationship between couple leisure patterns and marital satisfaction by examining the contribution of joint couple leisure involvement, leisure time, and leisure satisfaction to couples’ satisfaction with married life. The sample consisted of 48 married couples (N = 96). The Marital Activity Profile (MAP), a modified version of the Family Leisure Activity Profile (FLAP) was used to determine couple leisure involvement in core and balance leisure activities and leisure satisfaction. The Satisfaction With Married Life (SWML), a modified version of the Satisfaction With Life Scale (SWLS) was used to measure marital …

Dynamical Volatilities For Yen-Dollar Exchange Rates, Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee, Myung-Kul Yum

All Faculty Scholarship for the College of the Sciences

We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponent κ = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.

Conceptual Issues Of Global Counterfeiting On Products And Services, D. Bosworth, Deli Yang

School of Business Faculty Research

Counterfeiting is a global problem of enormous magnitude. Despite its obvious importance, relatively little attention has been paid to the management of counterfeiting. This paper considers the difficulties of measuring counterfeiting and provides evidence of the magnitude of the problem worldwide. The focus is on counterfeiting of privately produced goods and services, rather than the issue of the counterfeiting of currency per se, which is a somewhat different though related issue. A conceptual framework of the private and social costs and benefits of anti-counterfeiting measures is also provided. The framework highlights a number of key driving forces of counterfeiting, including …

Developing An Empirical Basis For Selecting A Strategic-Planning Team From Among Likely Candidates Based On Desired Emotional Intelligence Competencies, Robert Allen Reindel

Dissertations

Problem. Corporate teams are often established to complete assigned tasks as they would relate to planning, product development, process improvements, etc. There seems to be a lack of effective means for selecting team members based on objective criteria. Team-member selection is typically a process based only on the selector's judgment. While testing is a typical way to make hiring decisions, the same process is not used for creating teams.

Purpose of the Study. The purpose of this study was to explore a way of using identified competencies of emotional intelligence to objectively select team members for a strategic-planning initiative.

Method. …

Visit Bulgaria So That Bulgaria Can Visit You!, Milena Dimitrova

Whittier Scholars Program

This project is split into four chapters with the introductory chapter serving as a situation analysis manual. It first introduces the reader to the main terminology needed for the further development of the thesis. It also offers historical context of tourism as a social phenomenon and sets parameters of comparison within analyzing the state of the French and Bulgarian markets. The second chapter examines customer behavior in the principal tourist generating markets and focuses on data analysis from a single country to obtain information on how Bulgaria is positioned in the global tourist market. The third chapter analyzes the transition …

Matching A Publishing Model To Board Values: A Decision Analysis For The American Society Of Missiology, Betsy A. Northrup

MPA/MPP/MPFM Capstone Projects

Statement of the Problem

Faced with declining revenue, increasing print costs, and an increasingly electronic world, The American Society of Missiology (ASM) has to make a decision and can choose between three alternatives: 1) Continue to publish its quarterly journal, Missiology: An International Review, using its current print-only model and contracting out on-line availability to the American Theological Library Association (ATLA); 2) Accept the offer of a commercial firm in the United Kingdom to manage, publish, and distribute Missiology in return for immediate on-line availability, increased exposure through marketing, and a guaranteed modest income for the Society; or 3) …

A New Theory And Measure Of Ethical Work Climate: The Psychological Process Model (Ppm) And The Ethical Climate Index (Eci), Anke Arnaud

Electronic Theses and Dissertations

With this dissertation I developed a new theory and measure of ethical work climate (EWC). Currently, there exists one dominant theory and measure of EWC developed by Victor and Cullen (1988, 1987). Even though researchers have identified problems with this theory, such as inconsistencies with regard to its limited theoretical scope and troubling psychometric properties, it is the most widely utilized framework for conceptualizing and testing EWC. Therefore, I propose to develop an improved theory and measure of EWC, one capable of addressing some of the principle shortcomings of earlier efforts. Building on Rest's (1986, 1979) "Four-Component" model of individual-level …