Business Commons^™

Predicting A Currency Crisis Alternative Approaches And Applications To The Philippines, Fernando Antonio Iv Castillo

Dissertations and Theses Collection (Open Access)

An arrival of a currency crisis can be anticipated through a comprehensive and properly specified Early Warning System (“EWS”). The costs that entail with experiencing a currency crisis far exceed the costs of spending a considerable amount of time to developing an EWS. In a report done by the IMF(1998), they estimated that emerging economies suffer an 8% cumulative loss in real output during a severe currency crisis. Likewise, evidence suggests that a simple look at traditional market indicators of currency and default risks will not provide much advance warning of an impending currency crisis. In a study done by …

Harnessing Innovative Technologies In Higher Education: Access, Equity, Policy & Instruction, Kathleen P. King, Joan K. Griggs

Department of Leadership, Policy, and Lifelong Learning

This publication is an attempt to capture the evolution of distributed higher education over the last decade by tracing the applications of new technologies funded by the Fund for the Improvement of Postsecondary Education (FIPSE). As FIPSE surveyed the current state of distance/distributed education, there existed an opportunity to help post econdary education make the transition to this new generation of distance education made possible by the explosive growth of the Internet and other new technologies. These technologies created the potential for students to access learning that was interactive, customized, and self-paced; to more easily merge lifelong learning with the …

Re-Evaluating Hedging Performance, Jim Hanly, John Cotter

Articles

Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using traditional variance based approaches together with modern risk management techniques including Value at Risk, Conditional Value at Risk and approaches based on Downside Risk. Our findings indicate that using these metrics to evaluate hedging performance, yields differences in terms of best hedging strategy as compared with the traditional variance measure. We also find significant differences in performance between short …

A Note On The Instability Of The Unprojected Individual Level Premium Cost Method, Pierre Devolder, Valerie Goffin

Journal of Actuarial Practice (1993–2006)

We compare the unit credit and the unprojected individual level premium cost methods in a continuous time environment and show that the latter may produce unstable contribution rates in a dynamic environment. Specifically, assuming there are no unfunded liabilities, we prove that the unprojected individual premium cost method may produce non-bounded contributions if benefits change too close to the normal retirement age.

Journal Of Actuarial Practice - Volume 13 (2006) - 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 ○ …

Estimation Of Large Insurance Losses: A Case Study, Tine Buch-Kromann

Journal of Actuarial Practice (1993–2006)

This paper demonstrates an approach to analyzing liability data recently developed by a Danish insurance company. The approach is based on a Champernowne distribution, which is corrected with a non-parametric estimator. The correction estimator is obtained by transforming the data set with the estimated modified Champernowne cdf and then estimating the density of the transformed data set by using the classical kernel density estimator. Our approach is illustrated by applying it to an actual data set.

Solvency Of Life Insurance Companies: Methodological Issues, Rosa Cocozza, Emilia Di Lorenzo

Journal of Actuarial Practice (1993–2006)

The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. The formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.

On Some Risk-Adjusted Tail-Based Premium Calculation Principles, Edward Furman, Zinoviy Landsman

Journal of Actuarial Practice (1993–2006)

This paper explores two tail-based premium calculation principles, the tail standard deviation (TSD) premium and the tail conditional expectation (TCE) premium, in their risk-adjusted and unadjusted forms. They are risk-adjusted using so-called distortion functions. We prove that the proportional hazard (PH) risk-adjusted TCE premium is larger than the unadjusted TCE premium. Additionally, given a risk distribution with location and scale parameters, we prove that the PH risk-adjusted TCE premium reduces to the unadjusted TSD premium.

Bayesian Analysis Of A Health Insurance Model, Helio S. Migon, Edison M.O. Penna

Journal of Actuarial Practice (1993–2006)

We consider the problem of determining health insurance premiums based on past information on size of loss, number of losses, and size of population at risk. The size of loss and the number of losses are treated as mutually independent random variables. The number of losses is assumed to follow a Poisson process, and the loss sizes are independent and identically distributed non-negative random variables, and the population at risk is assumed to follow a non-linear growth model. An expression for the premium is obtained through maximization of the insurer's expected utility under a Bayesian model. The parameter estimation process …

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.

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 …

Entrepreneurial Financing—Alternatives For Raising Capital, Paul Broude, Joseph E. Levangie

New England Journal of Entrepreneurship

Most entrepreneurs are continually concerned about their finances. Their companies perhaps not yet profitable, they may have a fear of “running out of dry powder.” These entrepreneurs often have fallen in love with their company’s technologies, products, and potential markets, but they require more resources. Invariably these emerging ventures shroud their fear of the grueling capital raising marathon by presenting voluminous business plans to potential investors. They often flaunt their “optimized business models.” Investors, however, typically want to know why the potential investment is such a good deal. The entrepreneur often wants guidance regarding what to say to whom in …

Institutions And Concentration, Todd Mitton

Faculty Publications

In a new dataset of 1.3 million firms in 155 countries, I establish a number of regularities in cross-country differences in economic concentration. Concentration of sales and employment is substantially higher in smaller countries and in less-developed countries; these two factors alone explain roughly half the cross-country variation in concentration. Nevertheless, a number of institutional factors offer additional explanatory power for concentration. Concentration is higher in countries with higher entry costs for new firms, in countries with weaker antitrust policy, in countries with less control of corruption, in countries with weaker rule of law, and in countries with more burdensome …

States Fight Predatory Lending Laws In Different Ways, Giang Ho, Anthony Pennington-Cross

Finance Faculty Research and Publications

To restrict predatory lending in the subprime (high cost) mortgage market, Congress enacted in 1994 the Home Ownership and Equity Protection Act (HOEPA). This law restricts some types of lending and requires lenders to disclose additional information about loans that have predatory features. Following the lead of federal regulations, at least 23 states, beginning with North Carolina in 1999, have introduced their own predatory lending laws, using HOEPA as a template.1

Perhaps not surprisingly, research focusing on the impact of the North Carolina law found that the rate of applications and originations for subprime loans declined after the law took …

The Effect Of Instructional Technologies On The Finance Classroom, Steven D. Dolvin, J. Michael Morgan, Mark Pyles

Scholarship and Professional Work - Business

Using a survey technique, we evaluate the effect of PowerPoint, online lecture notes, financial calculators, and machine readable forms (MRF) on students' assessment of the quality of instruction, perceived knowledge level, satisfaction, post-course interest in the subject, and average grade in introductory finance courses. We also examine these opinions on a relative basis by comparing the responses of Finance majors versus non-Finance majors. The results suggest that certain technologies are received better than others and further, that the perceived quality of instructional techniques is largely contingent on the student's choice of major.

Transparency In Financial Markets And Institutions: A Catholic Social Thought Perspecitve, Bridget Lyons, Lucjan T. Orlowski

Presidential Seminar on the Catholic Intellectual Tradition

We argue that transparency, or information disclosure by public and private sector institutions should be viewed as an important component of the Catholic Social Thought process. A higher degree of transparency by a single institution denotes revealing a greater magnitude of truthful information that leads to optimization of actions by other individuals and institutions, thus ultimately, to maximization of social welfare. Based on the precepts of Catholic Social Thought, more detailed and unbiased information allows individuals to make more truthful observations of reality that subsequently rationalize their judgment and actions. This is particularly relevant for financial markets and institutions that …

Spatial Diversification, Dividend Policy, And Credit Scoring In Real Estate, Darren Keith Hayunga

LSU Doctoral Dissertations

Built on the foundation of economic principles, real estate offers many pursuits of academic discovery within the realm of finance. This dissertation examines three areas of real estate finance. In the first chapter, I use the unique real estate characteristics of heterogeneity, immobility, and localized markets to examine the spatial aspects of large-scale commercial real estate portfolios. The results demonstrate a clear need for portfolio managers to diversify properties based upon distances between properties. The second chapter examines another large-scale real estate portfolio, the real estate investment trust, which is held by investors seeking dividend income. Despite the importance of …

Corporate Governance, Public Accounting Firm And Multinational Corporation: The Us Sox Act Perspective, Marc Massoud, Eunsup Daniel Shim

WCBT Faculty Publications

The purpose of this paper is to review US corporate governance systems and to highlight the mandated roles of audit committee and external auditor within the SOX Act. In addition, it discusses requirements and implications of the SOX Act for the foreign accounting firms and multinational corporations. Finally this paper provides a perspective on improvement of corporate governance and financial integrity. In order to regain trust from the financial market, the SOX Act mandates (1) to improve auditor’s independence by reducing conflicts of interest; (2) to increase corporate financial reporting responsibility by requiring a CEO or a CFO certify accuracy …

Three Essays On Corporate Acquisitions, Bidders' Liquidity, And Monitoring, Huihua Li

LSU Doctoral Dissertations

This dissertation consists of three essays on corporate acquisitions, bidders’ liquidity and monitoring. In the first essay, “Acquisitions and Bidders’ Liquidity: Evidence from Successful and Unsuccessful Takeovers”, I examine the impact of corporate acquisitions on bidders’ liquidity. I find that liquidity improves for bidders that complete the takeovers but remains unchanged or decreases for unsuccessful bidders. Takeovers of public firms result in similar liquidity improvements as do takeovers of private firms. Takeovers that use stock as the method of payment have significantly more improvement in liquidity than takeovers that use cash as the payment method. These results suggest that changes …

Essays On Mutual Fund Governance And The Advisory Fee Contracts, Yaman Erzurum

Electronic Theses and Dissertations

This dissertation consists of three studies related to corporate governance of equity mutual funds in a framework of relations between the three closely interrelated actors of mutual fund industry. The mutual fund advisers, the shareholders and the mutual fund board being the advocate of shareholders rights. The first study analyzes the advisory fee, using a survivorship bias free data set of 176 equity funds managed by 125 different advisers. The price of professional portfolio management provided by the mutual fund adviser depends not only on the fund characteristics but also on the fund objective, the adviser's portfolio related and management …

Financial Efficiency In The Nonprofit Sector: An Analysis Of Factors Affecting Expense Ratios Of Kentucky Nonprofits, Emily A. Lane

MPA/MPP/MPFM Capstone Projects

Statement of Problem

Recent events in both the public and private sectors have lead to an environment of mistrust and caution surrounding the way organizations are managed and funds are handled. For the nonprofit sector, this has led to an emergence of charity rating or watchdog organizations and increased scrutiny of finances. Individual donors, charity rating agencies, and funding institutions have begun using expense ratios as a measure of financial efficiency. Decisions on the financial efficiency of organizations are being made without a good understanding of what factors affect these ratios.

Research Questions

The purpose of this paper is to …

Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting

Research Collection School Of Economics

We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.

Empirical Evidence On Jurisdictions That Adopt Ifrs, Ole-Kristian Hope, Justin Jin, Tony Kang

Research Collection School Of Accountancy

International Financial Reporting Standards (IFRS) have recently been adopted in a number of jurisdictions, including the European Union. Despite the importance of IFRS in the context of global accounting standards harmonization, little is known regarding what institutional factors influence countries' decisions to voluntarily adopt IFRS. This issue is relevant to standard-setters because a better understanding of the motivations for adoption will enable them to promote IFRS more effectively to countries that currently do not employ IFRS. Consistent with bonding theory, we find that countries with weaker investor protection mechanisms are more likely to adopt IFRS. Our evidence also shows that …

Information Value Of Credit Ratings In Asia Ex-Japan Markets, Chen Zhou

Dissertations and Theses Collection (Open Access)

This study investigates the information value of credit ratings by exploring the relationship between ratings and security price. Unlike previous studies, we concentrate on the major markets ex-Japan in Asia. We begin with an investigation of rating reclassification as well as credit watch placement events by three leading international rating agencies. We show that markets with differing level of sophistication behave differently. Specifically, South Korea and Hong Kong are found to respond in a similar manner. Indonesia shows possible ign of information leakage. In the cases of Malaysia and Thailand, significant and positive equity price responses exist for upgrades, suggesting …

Horizontal Inequity In The Property Taxation Of Apartment, Industrial , Office, And Retail Properties, Gary C. Cornia, Barrett A. Slade

Faculty Publications

Researchers have carefully examined assessment unifor- mity in ad valorem taxation for single-family residential properties and they have frequently reported nonuniform outcomes in the appraisal of these properties. This study analyzes the uniformity of assessed valuations across apartment, industrial, office, and retail properties in Maricopa County (Metropolitan Phoenix), Arizona. Specifically, we investigate horizontal equity, which results when the assessment ratio (assessed value/sales price) is uniform across properties with similar market values. We examine horizontal equity over a five-and-one-half-year period (January 1998-June 2003). After applying both parametric and nonparametric tests, we find statistically significant evidence of horizontal inequity. We find that …