Business Commons^™

Linear Empirical Bayes Estimation Of Survival Probabilities With Partial Data, Mostafa Mashayekhi

Journal of Actuarial Practice (1993–2006)

In this paper we consider linear empirical Bayes estimation of survival probabilities with partial data from right-censored and possibly left-truncated observations. Such data are produced by studies in which the exact times of death are not recorded and the length of time that each subject may be under observation cannot exceed one unit of time. We obtain asymptotically optimal linear empirical Bayes estimators, with respect to the squared error loss function, under the assumption that the probability of death under observation in a unit time interval is proportional to the length of observation. This assumption is sometimes implied by Balducci's …

A Sensitivity Analysis Of The Premiums For A Permanent Health Insurance (Phi) Model, Ben D. Rickayzen

Journal of Actuarial Practice (1993–2006)

This paper presents an analysis of the parameters used in a multi-state model for permanent health insurance (PHI). The model is a simplification of that used in the United Kingdom. To avoid using duration dependent probabilities, the model splits the sick state into several sub-states to act as a proxy for duration spent in a particular state. This enables a Markov approach to be adopted. Lapses are incorporated within the model, and the net premium for a particular policy is tested for sensitivity to the various parameters used, including their interaction with the lapse rate. One of our conclusions is …

Controlling The Solvency Interaction Among A Group Of Insurance Companies, Alexandros Zimbidis, Steven Haberman

Journal of Actuarial Practice (1993–2006)

Pooling of risks is an efficient risk management technique used by large employee benefit schemes of multinational companies to self-insure their retirement and other benefit obligations. This technique forms a basis for formulating a general control theoretic model for the interaction between insurance companies within a pooling network. The objective of these insurance companies is to avoid insolvency yet maintain stable premium and surplus processes. A general control system of equations that is used as a model for the interaction of m insurance companies within the network is first analyzed. An analytic solution is provided. Questions concerning the stability and …

Exponential Bonus-Malus Systems Integrating A Priori Risk Classification, Llufs Bermudez, Michel Denuit, Jan Dhaene

Journal of Actuarial Practice (1993–2006)

This paper examines an integrated ratemaking scheme including a priori risk classification and a posteriori experience rating. In order to avoid the high penalties implied by the quadratic loss function, the symmetry between the overcharges and the undercharges is broken by introducing parametric loss functions of exponential type.

Premium Earning Patterns For Multi-Year Policies With Aggregate Deductibles, Thomas Struppeck

Journal of Actuarial Practice (1993–2006)

MUlti-year policies with large aggregate deductibles or multiple triggers raise some interesting issues about the correct amount of unearned premium reserve that a company should carry. Examples in this paper illustrate some of the difficulties that arise when trying to establish such reserves. The basic approach taken here is that the pure premium portion of the unearned premium reserve should always be adequate to cover the remaining risk. This approach, however, can lead to some unusual and controversial earning patterns; there are even situations where a negative premium is earned. In addition, the earning pattern for a particular loss scenario …

Analyzing Management Fees Of Pension Funds: A Case Study Of Mexico, Tapen Sinha

Journal of Actuarial Practice (1993–2006)

Though the rates of return for public pension funds have been high over the past two decades, one critical aspect of the financing of this type of fund is often overlooked: high management fees. As a result, the rates of return for workers who have invested in these funds have not necessarily been high. Management fees charged on pension funds in Mexico result in a leakage of funds in the order of 20-30% of the fund. That is, the amount at retirement would have been 20-30% higher had there been no fees. A model is developed that includes all the …

Journal Of Actuarial Practice, Volume 9 (2001), Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

(The complete issue, including) ARTICLES

Analyzing Management Fees of Pension Funds: A Case Study of Mexico • Tapen Sinha 5

Premium Earning Patterns for Multi-Year Policies with Aggregate Deductibles • Thomas Struppeck 45

Exponential Bonus-Malus Systems Integrating A Priori Risk Classification • Lluis Benmidez, Michel Denuit, and Jan Dhaene 67

Fitting Loss Distributions in the Presence of Rating Variables • Farrokh Guiahi 97

Linear Empirical Bayes Estimation of Survival Probabilities with Partial Data • Mostafa Mashayekhi 131

Controlling the Solvency Interaction Among a Group of Insurance Companies • Alexandros Zimbidis and Steven Haberman 151

A Sensitivity Analysis of the Premiums …

A Study Of Financial Analysis Expectations And Practices In The Engineering Management Workplace, Paul Kauffmann, Resit Unal, Andres Sousa-Poza, William Peterson

Engineering Management & Systems Engineering Faculty Publications

This paper describes an on-going study of Master of Engineering Management (MEM) students and the financial analysis related job expectations and environment they face. The objective of this effort is to provide enhanced understanding of these requirements so that instructional content in the related courses can be focused to meet these needs. To achieve this goal, the study segments findings based on a range of organizational and job level characteristics to identify critical differences in the financial work environment and the financial tools that are employed. Preliminary findings are discussed in this paper and contrasts between public and private sector …

The Impact Of Domestic Political Events On An Emerging Stock Market : The Case Of Indonesia, Herry Suhardjo

Student Works (2000-2009)

This paper provides information regarding the effects of domestic political events on the Jakarta Stock Exchange. An event methodology is employed, and the results suggest that the market as a whole and the overall industries do not seem to respond to all political events. The results also indicate that there is no difference between the means of abnormal returns before and after the event. In general, the market as a whole and the overall industries behave in a similar manner. The change in signs (positive-negative) of abnormal returns suggests that the political condition in Indonesia was still unstable. The results …

Olg (Overlapping Generations Model) Simulations Of Social Security In Malaysia, Bee Bee Ong

Student Works (2000-2009)

This paper develops and simulates an Overlapping Generations Model (OLG) to investigate the macroeconomic impact of social security. We compare the simulation results of the OLG model with and without social security. Calibrated simulations of both the OLG models with and without social security yield steady states path for macroeconomic variables such as capital stock, productivity output, savings, wages, real interest rates and consumption. When social security contribution rates increase, the path of macroeconomic variables will also change accordingly. Thus, employee social security tax reductions will have an impact on the economy. When the rate of population growth changes continuously, …

International Portfolio Diversification With Special Reference To Emerging Markets, Joseline Chimhini

Theses: Doctorates and Masters

This study evaluates the potential benefits that investors obtain from diversifying their portfolios into emerging markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing in these markets using cross section and time series data. An international capital asset pricing model (ICAPM) with time varying moments developed by Harvey (1991) is adopted. The conditional asset-pricing model, which takes into account prevailing world economic factors, was used. The …

Investigating The Effect Of The International Stock Indexes On The United States Stock Index Futures, Zehlha Illhan Ertuna

Theses and Dissertations in Business Administration

The futures market is used extensively for price discovery, arbitrage, and hedging. Since their introduction in the 1980's, the stock index futures have also become an active market and a very important research area. Any additional knowledge to understand the underlying effects on the index will help both investors and researchers. In this study, I examine the role of informational flow from the world's major stock markets (British, French, German, Japanese) to the U.S. futures market in terms of forming expectations, and offer new insights regarding the informational efficiency of the futures markets in an intenational perspective. State space modeling …

The Implementation Of Strategic Planning In Irish Hotel Groups., Frances Alexandra Keys

Masters

The primary objective of this research was to examine the relative importance and success of forty factors over the past five years (1994-1999) that have facilitated and/or impeded the implementation of strategic plans within Irish hotel groups. This research studied twenty-four hotel groups, which consisted of ninety-five strategic business units. An extensive review of strategic management literature by theorists such as Andrews(1971); Ansoff (1990); Chandler (1962); Cole (1997); Day (1984); Drucker (1969); Greenley (1986, 1989); Gupta (1986); Hayes (1985); Hofer (1973, 1976); Mintzberg (1978, 1987, 1990, 1994); Ohmae (1988); Porter (1980, 1985, 1991); Schaffer (1984); Schendel and Hatten (1972); Thompson …

Market Interdependence; Gold Bullion, S&P500, Mining Company Adr’S And Underlying Security Markets, Roberto Curci, Robert A. Clark, Cynthia J. Brown

Scholarship and Professional Work - Business

The internationalization of equity markets appears to be associated with a level of interdependence and transmission of stock price movements across national markets. This study examines the responses of international and ADR securities common stimulus. The study analyzes the equity price behavior of companies engaged in the production of such companies which are cross-listed in U.S. equity markets through ADRs and in underlying economic markets.

Returns On Bank Deposits In Latin America, (Is There A Free Lunch?), Robert Grosse, Evan Tanner, Roberto Roberto Curci

Scholarship and Professional Work - Business

No abstract provided.

Why Pecking Order Theory Should Be Included In Introductory Finance Courses, Thomas J. Liesz

Mountain Plains Journal of Business and Technology

The majority of students majoring in various business administration emphases take only one finance course (Introductory Financial Management) while completing the requirements of their degrees. A primary topic commonly covered in most introductory finance courses is capital structure, with a discussion that often culminates with a discussion of optimal capital structure. Invariably the leading textbooks present optimal capital structure within the framework of the agency cost/tax shield trade-off model that evolved from Modigliani and Miller’s capital structure irrelevance hypothesis. While this approach has solid grounding in value maximization arguments and capital market equilibrium theory, it nonetheless fails to explain several …

The Structure Of Debt And Active Equity Investors: The Case Of The Buyout Specialist, James F. Cotter, Sarah Peck

Finance Faculty Research and Publications

This paper examines the role buyout specialists play in structuring the debt used to finance the LBO and in monitoring management in the post-LBO firm. We find that when buyout specialists control the majority of the post-LBO equity, the LBO transaction is likely to be financed with less short-term and/or senior debt and less likely to experience financial distress. We also find that buyout specialists have greater board representation on smaller boards, suggesting that they actively monitor managers, and that for these transactions, using debt with tighter terms does not significantly increase the firm's performance. In contrast, in all other …

The Evolution Of Real Estate In The Economy, Dapeng Hu, Anthony Pennington-Cross

Finance Faculty Research and Publications

While the economy as a whole has been rapidly changing in response to technological innovation, real estate has evolved from a depository of wealth for households and assets for corporations into a major force in the debt and equity markets. In contrast, the role of real estate as a contributor to the nation's output and income has remained steady at approximately 11% of gross domestic product.

Strategic Asset Allocation For Individual Investors: The Impact Of The Present Value Of Social Security Benefits, Steve Fraser, William Jennings, David King

Management Faculty Research and Publications

This paper demonstrates the dramatic effect of social security wealth on individuals’ asset allocation. We first discuss why social security wealth should be included in portfolio asset-mix decisions. We then draw parallels between social security benefits and inflation-indexed treasury bonds to help quantify the present value of social security benefits. Finally, we show the portfolio impact of including social security wealth under several asset-mix decision rules. Excluding social security wealth from the asset mix decision results in sub-optimal portfolios. Including social security wealth provides an incentive for including more stock in the asset mix.

Sun Trust Endowment Portfolio Management 2001, Yan Liu, Alex Gonzalez, Edward De Nijs

Crummer Truist Portfolios

No abstract provided.

Sistem Tuntutan Kewangan Staf, Abdullah Sajat Muhaini

Student Works (2000-2009)

Sistem tuntutan kewangan bagi staff di fakulti Sains Komputer dan teknologi maklumat merupakan satu slstem yang bersandarkan aplikasi Intranet. Objektif daripada projek ini adalah untuk mengurangkan masa bagi proses penerimaan wang yang dituntut oleh kakitangan, meningkatkan cara yang konservatif dalam memohon tuntutan kewangan dan mengurangkan penggunaan kertas, Dalam proposal ini juga dicadangkan beberapa rekabentuk untuk memudahkan lagi pemahaman pembaca.

Sistem Perbankan Bersepada (Islam), Abu Bakar Nurainah

Student Works (2000-2009)

Sistem perbankan adalah merupakan satu perkara yang amat penting dalam pengurusan kewangan. Dari sini bolehlah dianalisis kedudukan kewangan sesuatu syarikat atau perbadanan adakah ia stabil atau sebaliknya. Di samping itu, ia dapat membantu pihak pengurusan syarikat atau perbadanan tersebut dalam membuat keputusan serta pengawalan. Disebabkan menyedari kepentingan ini maka Sistem Perbankan Bersepadu (Secara Islam) dibina. Secara amnya, Sistem Perbankan Bersepadu (Secara Islam) ini merupakan satu sistem yang digunakan bagi menganalisis penyata kewangan yang se1alunya digunakan di bank-bank atau institusi perniagaan bagi menentukan kedudukan kewangan mereka di samping memudahkan kerja-kerja yang dilakukan secara manual. Sistem ini menawarkan beberapa kemudahan seperti pengiraan …

Streamlining The Regulatory Procedures For Small And Medium Enterprises, Manal Hussein

Archived Theses and Dissertations

No abstract provided.

Empirical Tests Of The Fundamental-Value Hypothesis In Land Markets, Angeline M. Lavin, Thomas S. Zorn

Department of Finance: Faculty Publications

The land-price boom of the 1970s followed by the bust of the 1980s generated considerable interest in the determination of land prices and the study of whether those prices reflect fundamental value. In this article, three techniques are used to examine the fundamental- value hypothesis in Iowa and Nebraska agricultural land markets. Duration dependence tests indicate that land markets are not affected by rational expectations bubbles. Conversely, Markov chain and time-reversibility tests suggest that land prices depart from fundamental value due to the existence of nonrandom price changes and asymmetric land price patterns. The results of this research should be …

Effectiveness And Efficiency Of Investment Strategies: A Simulation Model, Ellen Denise Bruno Ramsey

Graduate Student Dissertations, Theses, Capstones, and Portfolios

This dissertation, through an historical study, attempts to give the reader a clear depiction of different types of investment strategies. The four diverse investment strategies, as compared to the Optimal Strategy, were tested from December 1, 1997, through January 30, 2001 Three years of daily closing price data was obtained and utilized within a simulated model. Ten stocks, from ten diverse sectors, listed on the S&P 500 as well as the National Association of Investment Clubs (NAIC) 1999 Individual Investor's Top 100 Index, were analyzed and evaluated for each investment strategy over the duration of the study. By using Standard …

The Power Of Suggestion: Inertia In 401k Participation And Savings Behavior, Brigitte C. Madrian, Dennis F. Shea

Faculty Publications

In this paper, we analyze the 401(k) savings behavior of employees in a large U.S. corporation before and after an interesting change in the company 401(k) plan. Before the plan change, employees were required to affirmatively elect participation in the 401(k) plan. After the plan change, employees were automatically and immediately enrolled in the 401(k) plan unless they made a negative election to opt out of the plan. Although none of the economic features of the plan changed, this switch to automatic enrollment dramatically changed the savings behavior of employees. We have two key findings. First, 401(k) participation is significantly …

The Bullet Gic As An Example, David F. Babbel, Jeremy Gold, Craig B. Merrill

Faculty Publications

There has been considerable discussion of a variety of issues related to fair value in the actuarial literature, in conferences, and among individuals interested in this topic. Unfortunately, we seem to be failing to communicate due, in part, to inconsistent use of terminology. The goal of this discussion paper is to present a few concepts that we hope will be of use in the broader discussion of fair value of liabilities.

Good Day Sunshine: Stock Returns And The Weather, David Hirshleifer, Tyler Shumway

Faculty Publications

Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relationship between morning sunshine in the city of a country's leading stock exchange and daily market index returns across 26 countries from 1982 to 1997. Sunshine is strongly significantly correlated with stock returns. After controlling for sunshine, rain and snow are unrelated to returns. Substantial use of weatherbased strategies was optimal for a trader with very low transactions costs. However, because these strategies involve frequent trades, fairly modest costs eliminate the gains. These findings are difficult to reconcile with fully rational price …

Do Behavioral Biases Affect Prices?, Joshua D. Coval, Tyler Shumway

Faculty Publications

This paper documents strong evidence of behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss-averse. Traders who experience morning losses are about 16 percent more likely to assume above-average afternoon risk than traders with morning gains. This behavior has important short-term consequences for afternoon prices, as losing traders are prepared to purchase contracts at higher prices and sell contracts at lower prices than those that prevailed previously. However, during the ten minutes that follow these trades, prices revert strongly to their earlier levels. Consistent with these …

An Empirical Examination Of Sba Guaranteed Loans: Rates, Collateral, Agency Costs, And The Time To Obtain The Loan, James C. Brau, Jerome S. Osteryoung

Faculty Publications

We empirically examine a sample of over 350 entrepreneurial firms that successfully receive an SBA guaranteed loan. The first portion of the paper contains descriptive statistics that lend anecdotal evidence concerning the organization type of borrowers, the incidence of collateral, the reasons for choosing the financial institution in which the SBA loan is secured, the main purpose for the SBA loan, and alternative actions that would have been undertaken had the SBA guaranteed loan not been obtained. The second portion of the paper poses theoretical predictions and tests them via multivariate models. Issues that are considered include the number of …