Business Commons^™

Actuarial Analysis Of Retirement Income Replacement Ratios, Robert Keng Heong Lian, Emiliano A. Valdez, Chan Kee Low

Journal of Actuarial Practice (1993–2006)

A measure of level of post-retirement standard of living is the replacement ratio, i.e., percentage of final salary received as annual retirement income derived from savings. The replacement ratio depends on many factors including salary, salary increases, investment returns, and post-retirement mortality. Elementary life contingencies techniques are used to develop a replacement ratio formula and analyze its sensitivity to these factors.

Life Contingencies With Stochastic Discounting Using Moving Average Models, Steven Haberman, Russell Gerrard, Dimitrios Velmachos

Journal of Actuarial Practice (1993–2006)

This paper offers simplified procedures for calculating moments of functions in life contingencies when the random force of interest is modeled using an unconditional moving average process of order q, MA(q). It extends the MA(l) model that has been used for stochastic discounting. Using the more general MA(q) model allows actuaries to better capture the auto correlation between successive interest rates in a time series.

Independent Claim Report Lags And Bias In Forecasts Using Age-To-Age Factor Methodology, Stewart Gleason

Journal of Actuarial Practice (1993–2006)

This paper finds that when report lags are assumed to be independent, the age-to-age factor method produces biased estimates when applied to claim count development data. Two distributions are considered as models for the ultimate number of claims for an accident period: (0 a Poisson distribution, and (ii) a negative binomial distribution. In the Poisson case, the assumption of independent report lags implies the independence of the total number of claims reported in any two periods. In the negative binomial case, however, assuming that report lags are independent does not imply that increments are independent, and a somewhat different argument …

Concentration In The Property And Liability Insurance Market By Line Of Insurance, Edward Nissan, Regina Caveny

Journal of Actuarial Practice (1993–2006)

This paper uses an National Association of Insurance Commissioners (NAIC) 1995 data set to examine the concentration of property and liability insurance by line of insurance in the U.S. The primary measure of concentration used is the Herfindahl index. The largest 100 affiliates are divided into three largest sets of 20, 30, and 50. We find that the homeowners line is the most concentrated line and commercial auto physical damage is the least concentrated line, with the top 20 affiliates commanding the largest between-set and within-set contributions.

Risk Sources In A Life Annuity Portfolio: Decomposition And Measurement Tools, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo

Journal of Actuarial Practice (1993–2006)

The paper considers a model for a homogeneous portfolio of whole life annuities immediate. The aim is to study two risk factors: the investment risk and the insurance risk. A stochastic model of the rate of return is used to study these risk factors. Measures of the insurance risk and the investment risk for the entire portfolio are suggested. The problem of the longevity risk is presented, and its consequences with different projections of the mortality tables are analyzed. The model is applied to some concrete cases, and several illustrations show the importance of the two components of the riskiness …

A Comparative Study Of The Performance Of Loss Reserving Methods Through Simulation, Prakash Narayan, Thomas Warthen

Journal of Actuarial Practice (1993–2006)

Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate. Traditional methods of loss reserving do not provide an estimate of the variance of the estimated reserve, and actuaries use various ad hoc methods to derive a range for the indicated reserve. We use a Monte Carlo simulation method to compare various loss reserve estimation methods, including traditional methods and regression-based methods of loss reserving.

Safe-Side Requirements In Life Insurance: A Corporate Perspective, Annamaria Olivieri, Ermanno Pitacco

Journal of Actuarial Practice (1993–2006)

Safe-side requirements concern the assumptions used to calculate premiums in relation to a set of more realistic assumptions. Roughly, safe-side requirements express the capability of premiums to generate positive margins. In a strictly actuarial framework, safe-side requirements are given in terms of some notion of expected profit, calling for assumptions that let such profit be non-negative. An expected profit of zero, however, is not a realistic aim for the insurer. We investigate the notion of conservative assumptions by adopting a unconventional approach. Our focus is the management of the financial resources coming both from premiums and from shareholders' capital. This …

Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang

Journal of Actuarial Practice (1993–2006)

The process funding pension plans is viewed as a dynamic control process. Two performance measures are introduced to evaluate the effectiveness of plan contributions: the cost-induced performance measure (CIPM) and the ratio-induced performance measure (RIPM). A dynamic programming approach is used to determining the optimal contributions with the objective of minimizing the performance measure. The methodology developed is applied to a sample of members of Taiwan's Public Employees Pension Plan (Tai-PERS). We show that RIPM produces more stable results than those using CIPM.

At The Interface Of Law And Accounting: An Examination Of A Trend Toward A Reduction In The Scope Of Auditor Liability To Third Parties In The Common Law Countries, Carl J. Pacini, Mary Jill Martin, Lynda Hamilton

USF St. Petersburg Campus Faculty Publications

No abstract provided.

E-Business Industry Developments - 2000/01; Audit Risk Alerts, American Institute Of Certified Public Accountants

Industry Guides (AAGs), Risk Alerts, and Checklists

No abstract provided.

Securities Industry Developments - 2000/01; Audit Risk Alerts, American Institute Of Certified Public Accountants. Auditing Standards Division

Industry Guides (AAGs), Risk Alerts, and Checklists

No abstract provided.

An Intelligent Data Mining System To Detect Health Care Fraud, Guisseppi A. Forgionne, Aryya Gangopadhyay, Monica Adya

Management Faculty Research and Publications

The chapter begins with an overview of the types of healthcare fraud. Next, there is a brief discussion of issues with the current fraud detection approaches. The chapter then develops information technology based approaches and illustrates how these technologies can improve current practice. Finally, there is a summary of the major findings and the implications for healthcare practice.

Resource Allocation And Efficiency In Public Sector Audits, Kar M. Chong

Theses: Doctorates and Masters

In recent years, the push for reform in the Australian public sector audit has placed the Office of the Auditor-General (hereafter OAG) in a more contestable or market- like environment, where the OAG is accountable for an efficient and effective provision of public sector audit. The purpose of this study is to compare the cost efficiency of in-house and contract-out arrangements to deliver financial audits in the public sector. It empirically tests whether there are audit cost and audit fee differences between in-house providers (i.e., the OAG) and contractors (i.e., public accounting firms). The secondary aims of this study are …

A Study Of Stock Market Efficiency In Malaysia, Shook Chern Lee

Student Works (2000-2009)

This study examines the behaviour of the stock market in Malaysia and its implication on the weak form efficiency of the Efficient Market Hypothesis. Daily data of the number of stocks advancing, declining or remaining unchanged in price and the closing levels of the stock market indices of the Main Board, seven main sectors of the Main Board and the Second Board of the KLSE were used in this study. The period covered was from January 1994 to December 1998, a total of 1233 trading days. The results using the Theil-Leenders test indicates that there is some dependence in successive …

Seasonality Effects Of Finance Stocks On The Kuala Lumpur Exchange, Foon Lee Ng

Student Works (2000-2009)

The primary objective of this study is to investigate the seasonality effect or calendar anomalies of Finance stocks on the Kuala Lumpur Stock Exchange (KLSE) over the period of January 1992 to June 1999. Among the calendar anomalies investigated in this study are the day-of-the-week effect, the pre-holiday effect, the end-of-the-month effect and the firm size effect. Empirical results reveal that there is an existence of the day-of-the-week effect in the financial stocks for the entire sample period. The results are consistent with those previous studies in which Monday's returns are significantly negative whilst Friday's returns are positive. In particular, …

Relationship Between Risks And Return In The Kuala Lumpur Stock Exchange, Keat Chye Khoo

Student Works (2000-2009)

Results of empirical tests on the relationship between stock returns and arious risk factors of sixty stocks in the Kuala Lumpur Stock Exchange over the eriod 1979-1998 are presented in this study. Overall the applicability of the capital sset pricing model in Kuala Lumpur Stock Exchange using monthly data is absent. 1arket risk alone or with another risk factors are unable to explain the variation in verage returns. However, there is a significant non-linear relationship between verage returns of individual stocks and market risk in two test periods 1983-86 and 995-98. This study also finds that other risk factors are …

Forecasting Tea Production In Malaysia, Tamil Selvan. Krishnan

Student Works (2000-2009)

Forecasting is an inevitable part of production planning. Forecasting of future production is an essential Input to decision making as knowledge of this has always promised advantages and opportunities of many kinds. The forecaster's goal is to find a useful way to express a time-structured relationship so that predictions of future production can be incorporated into the decision making process. Fluctuations and variations in the production of tea in Malaysia is affected by uncontrollable and controllable factors. These factors cause fluctuations, trend, seasonality, cycles and irregular patterns in the yield series. These fluctuations create uncertainty and this makes decision making …

Children Influence In Family Decision-Making, Siew Ling Lim

Student Works (2000-2009)

This study has attempted to examine the distinct factors that may he said to characterize the children purchase decision-making style. Concentration is centered on an analysis of the influence of the children for various selected products in an attempt to determine whether there exists a particular pattern according to the different family background Children's income and saving patterns were also observed to investigate the relationship between financial resources and their influence pattern. The analysis had been carried out on the basis of a survey of 446 families in Peninsular Malaysia Respondents included "marketing housewives" and children who were asked to …

Behaviour Of Trading And Non-Trading Stock Returns In The Malaysian Stock Market, Lay Khong Tan

Student Works (2000-2009)

This study examines the stock returns and volatilities of trading and non­trading day for seven KLSE indices from January 3, 1994 to November 26, 1999. Six return series are computed. They are the overnight, open to close, morning, afternoon, close to close and open to open series. There is consistently positive overnight return throughout Monday to Friday. The weekend effect or Monday effect is significantly positive. The returns of the morning, open to close, close to close series are negative particularly on Monday, Tuesday and Thursday. Except for Monday, other weekdays have positive afternoon return. Mean and variance return are …

The Effectiveness Of Malaysian Personal Income Tax Policy (1977-1997), Saidatulakmal Mohd

Student Works (2000-2009)

This research aims to evaluate the effectiveness of the Malaysian Personal Income Tax Policy for the year 1977 - 1997. The areas of concentration are tax burden, poverty level, savings incentives, progressivity index and Inland Revenue Board's objectives. The methodologies to accomplish the mission are regression analysis, mathematical calculation, and index of progressivity. The research concludes that there is no significant relationship to explain any kind of relationship between the tax rates and the poverty level. Another finding shows that Malaysian personal income tax policy seems to be a good policy to induce private savings. Regression analysis, both under the …

Participation Of Female Hawkers In Economic And Family Activities, Yoke Yien Leong

Student Works (2000-2009)

This study focuses on time use study to analyse participation of women in the hawking communities in various types of activities. Time use study is able to account for the time female hawkers spent on their daily activities. lt has the added advantage of not requiring the women to interpret what constitutes economic and family activities. Generally, female hawkers are not highly educated. They are mostly involved with selling non-food items. It is found that female hawkers spend long hours on economic activities and family activities. Many of the female hawkers work seven days a week. Participation in interactive activities …

Long Run Determinants Of Malaysia Trade Balance : A Cointegration Study, Lok Sin Kuar

Student Works (2000-2009)

This paper aims to study the long run determinants of Malaysian trade balance the cointegration method by using quarterly data from 1973 1Q to 1998 4Q. In order to study the long run equilibrium relationship, trade balance is tested against other macroeconomic variables which resembles monetary policy, exchange rate policy and fiscal policy. The final results is that interest rate is the only variable found to be cointegrated with the trade balance. As such, it implies that interest rate may be an effective policy instrument to rectify the problem of trade imbalances in Malaysia. On the other hand, other policies …

Analysing Random Access Memory Chip Yield Performance, Choy Sar Kam

Student Works (2000-2009)

Despite advances in integrated circuits (IC) equipment and fabrication techniques, there still exist random fluctuations or statistical disturbances in any IC manufacturing facility. which can adversely affect the production yield. Actually devices and circuits are being designed with increasingly tighter parameter and performance margins. As a result, chip performance becomes even more sensitive to the statistical variations, and this may result in low production yield. One of the significant detractors of cost in a manufacturing line is yield loss due to contamination and the time required to increase the yield to profitable levels. Yield loss in a manufacturing line is …

Comparison Between The Economic Fundamentals Of Malaysia And Singapore Prior To The 1997 Southeast Asian Currency Crisis, Mun Chow Lai

Student Works (2000-2009)

This research paper makes a comparative study on the economic fundamentals of Malaysia and Singapore prior to the 1997 Southeast Asian Currency Crisis (SACC). The overriding objective here is to determine the structural economic characteristics of Malaysia and Singapore prior to the SACC and to explore the possibility that underlying fundamentals might have contributed towards or exacerbated the SACC. The analysis begins with an overview of the economics of Malaysia and Singapore using graphical and tabular analysis of broad indices. This is followed by the formulation of simultaneous equation models, one for Malaysia and another for Singapore. Besides service balance …

An Investigation Of Postmodern Influences In Advertising, Rose Leahy

Theses

This study investigates the influences of postmodernism in advertising. The postmodern culture is characterised by irony, paradox, playfulness and anarchy. Consequently advertisements that are influenced by postmodernism embrace the unusual, the unconventional, the abstract and the ambiguous. This thesis set out to determine if there is a consensus among advertisers as to the meaning of postmodernism, to identify the reasons for the evolution of postmodern advertising and to assess its effectiveness and future potential.

Indications of the impact of postmodern advertising can be derived through qualitative methods, but quantitative methods can also be employed. Primary research was undertaken in the …

Discovery: The Student Journal Of Dale Bumpers College Of Agricultural, Food And Life Sciences - Volume 1 2000, Several Authors

Discovery, The Student Journal of Dale Bumpers College of Agricultural, Food and Life Sciences

No abstract provided.

Contents, Discovery Editors

Discovery, The Student Journal of Dale Bumpers College of Agricultural, Food and Life Sciences

No abstract provided.

State Of The Fisheries Report 1999/2000, J. W. Penn, Fisheries Western Australia

Status Reports of the Fisheries and Aquatic Resources

The State of the Fisheries document is designed as an essential supplement to the Annual Report to Parliament and provides a more detailed level of information to support the agency's non-financial performance measures.

By summarising management changes, compliance activities and research data such as landings, effort, catch rates, stock assessment and breeding stock levels, this document provides a valuable reference point for Western Australian fisheries of major importance to the commercial, recreational and aquaculture sectors. Information relevant to Fisheries WA's Fish and Fish Habitat Protection Program is also provided.

The report indicates that overall the major fish stocks which support …

Irish Marketing Review, Vol.13, No. 2, 2000, Aidan O'Driscoll

Issues

The Irish Marketing Review deals with issues, developments, research and practise in marketing.

Determinants Of Share Price Movements In Emerging Equity Markets: Some Evidence From America's Past, Peter Z. Grossman

Scholarship and Professional Work - Business

Emerging equity markets are plagued by poor information, which is a barrier to outside shareholder participation. This paper examines the determinants of share prices of two United States companies over a 14-year period during the late 19th century, when America had an emerging equity market. These two companies withheld all information on profits and assets until the end of the period, yet traded regularly. Overall, the evidence suggests that outside investors received sufficient compensation for their ignorance, and that these outsiders set the market price. An event study shows that when information about company assets was revealed, market returns were …