Finance and Financial Management Commons^™

Crummer Suntrust Investment Strategy 1999, Charles Donald Boudreaux, Atanas Dobrev, Christian Daniel Dragos, Rhoda Lee, Jodi Timmons

Crummer Truist Portfolios

No abstract provided.

Portfolio Investment Strategy 1999, Angel Belokapov, Minjai Choi, Paul Kelso, Ron Piccolo

Crummer Truist Portfolios

No abstract provided.

The Value Of Open Market Repurchases Of Closed-End Fund Shares, Gary E. Porter, Rodney L. Roenfeldt, Neil W. Sicherman

Faculty Publications

The authors illustrate the value to shareholders when closed-end funds repurchase shares at a discount from net asset value. Repurchases increase share price even when there is no asymmetric information concerning the value of the underlying assets and the percentage discount remains unchanged following the repurchase. Expected gains to shareholders are derived from capturing the discount on the assets associated with the shares repurchased. In an analysis of 27 open market repurchase announcements by closed-end funds, the regression coefficient estimate that measures the association between the actual excess return and the expected increase in share price is essentially 1.0.

Optimum Capital/Asset Ratios In The Credit Union Industry: A Managerial Perspective, Hubert J. Dywer, James S. Gould, Raymond H. Lopez

Faculty Working Papers and Articles

This study provides a statistical tool for assisting credit union managers in planning capital/asset ratio strategies for optimum operating efficiency. Focus groups, personal interviews, and survey data from randomly selected responses form the basis of our model. Two multiple regression equations allow operating managers to set target goals for their gross and net capital/asset ratios.

Pyramid Schemes, Barbara Rowe

All Current Publications

No abstract provided.

1998-1999 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

1998-1999 Financial Summary of Morehead State University.

Retirement Planning: How To Best Prepare For Your Future, Jennifer Sommerville

Capstone Research Projects

No abstract provided.

Indiana State University Financial Report 1999, Indiana State University

Financial Reports

No abstract provided.

A Study Note On The Actuarial Evaluation Of Premium Liabilities, Claudette Cantin, Philippe Trahan

Journal of Actuarial Practice (1993–2006)

Several approaches have been used to estimate premium liabilities. The emphasis of these approaches has been on unearned premium and deferred policy acquisition expenses (DPAE), as such items represent the largest components of premium liabilities. The purpose of this paper is to provide a framework for the evaluation of premium liabilities and to augment the actuarial literature. We define and review the individual components of premium liabilities as well as the regulatory requirements and Canadian Institute of Actuaries recommendations and standards of practices related to premium liabilities. We also present an actuarial approach for estimating equity in the unearned premium, …

Commissioners Annuity Reserve Valuation Method (Carvm), Keith P. Sharp

Journal of Actuarial Practice (1993–2006)

This paper describes the commissioners annuity reserve valuation method (CARVM) and highlights the fundamental contrast with insurance valuation. Numerical examples illustrate methods of applying CARVM to particular annuity designs. The application of NAIC Actuarial Guideline 13 on bailouts is given particular attention.

Credibility Calculations Using Analysis Of Variance Computer Routines, Dennis H. Tolley, Michael D. Nielsen, Robert Bachler

Journal of Actuarial Practice (1993–2006)

In this paper we present a method of calculating Buhlmann-Straub credibility factors using standard statistical techniques developed for the analysis of variance. Emphasis is placed on using readily available statistical packages such as SAS and SPSS. Additionally many other computational tools such as EXCEL can be programmed to make such calculations. An example and some sample SAS programs are provided.

Determination Of Optimal Premiums As A Constrained Optimization Problem, Farrokh Guiahi

Journal of Actuarial Practice (1993–2006)

A simple stochastic model of an insurer's underwriting and related investment operations is used to determine the optimal amounts of written premiums for one period for the insurer's book of business. The written premium for each class is determined by the solution of a constrained optimization problem. The insurer's objective function is the expected profit on a book of business over the period. The insurer has a safety constraint where a certain portion of capital and surplus can be depleted with a small probability. This paper provides an explicit solution for optimum expected profit and corresponding written premiums by classes. …

A Fuzzy Approach To Grouping By Policyholder Age In General Insurance, Richard J. Verrall, Yakoub H. Yakoubov

Journal of Actuarial Practice (1993–2006)

In general insurance, policyholder age is often treated as a factor with the number of levels requiring that the individual ages of the policyholders be grouped. Although the groups are usually defined by the existing underwriting structure, it should be investigated as part of any premium rating exercise that uses a model to assess past claims experience. It is possible that an incorrect grouping by policyholder age could bias the results of the risk premium estimation. On the other hand, it may not be computationally feasible to use separate ages in the premium model, making some form of grouping necessary. …

Multilife Premium Calculation With Dependent Future Lifetimes, Michel Denuit, Anne Cornet

Journal of Actuarial Practice (1993–2006)

Actuaries traditionally have calculated multi-life (joint life) premiums by assuming the independence of the future lifetimes of insured persons. Recent studies, however, demonstrate dependence of the future lifetimes of couples (such as husbands and wives). This dependence materially affects the values of multi-life annuities and insurances. Using the Frechet-Hoeffding bounds and Norberg's Markov model, we determine the effect of this dependence in lifetimes on the actuarial present values of a widow's pension benefit.

Recognizing Actuarial Assumptions, Victoria Stachowski, Alice Underwood

Journal of Actuarial Practice (1993–2006)

As assumptions underlie every aspect of actuarial calculations, actuaries must be aware of the assumptions they are using and understand their importance and the possible effects of changing assumptions on the results of their calculations. This paper explores the nature of assumptions in: (i) mathematical models, (ii) data selection, (iii) actuarial methods, and (iv) the business environment. We examine reasons for making assumptions such as convenience, tradition, indications in the data, or lack of data. In addition, we discuss (i) how actuaries can judge whether these reasons are sufficient; (ii) methods that can help actuaries quantify the impact of their …

Carvm And Naic Actuarial Guidelines 33 & 34, Keith P. Sharp

Journal of Actuarial Practice (1993–2006)

Annuity valuation under the NAIC Standard Valuation Law is determined according to methods different from those methods used for life insurance. The CARVM assumption of efficient policyholder selection is clarified under NAIC Actuarial Guidelines 33 and 34 to allow for non-elective (e.g., death) benefits. In particular, Actuarial Guideline 34 is oriented toward variable annuities and prescribes methods to be used in the presence of a minimum guaranteed death benefit. In this paper these methods are examined and illustrated with examples.

Positively Influencing Physicians: The Levers Of Influence, William Martin

College of Business Faculty and Staff Works

No abstract provided.

Characteristics Of A Full Disclosure, Transaction-Based Index Of Commercial Real Estate, David H. Downs, Barrett A. Slade

Faculty Publications

This study addresses the characteristics of a transaction-based index of commercial real estate as reported in a full-disclosure market. Prior research on transaction-based indices has enumerated various shortcomings for commercial real estate markets. This study circumvents many of these problems by using a large data set of commercial property transactions obtained for the Phoenix, Arizona metropolitan statistical area. The empirical analysis demonstrates that investors stand to gain considerable insight by comparing fulldisclosure, transaction-based indices with voluntarydisclosure, appraisal-based indices. The results suggest that full-disclosure indices avoid some of the institutional biases associated with other benchmarks of commercial real estate performance. In …

Journal Of Actuarial Practice, Volume 7, Nos. 1 And 2, 1999, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

A Study Note on the Actuarial Evaluation of Premium Liabilities • Claudette Cantin and Philippe Trahan (First Prize)

Recognizing Actuarial Assumptions • Victoria Stachowski and Alice Underwood (Second Prize)

Commissioners Annuity Reserve Valuation Method (CARVM) • Keith P. Sharp (Third Prize)

CARVM and NAIC Actuarial Guidelines 33 & 34 • Keith P. Sharp

Multilife Premium Calculation with Dependent Future Lifetimes • Michel Denuit and Anne Cornet

A Fuzzy Approach to Grouping by Policyholder Age In General Insurance • Richard J. Verrall and Yakoub H. Yakoubov

Determination of Optimal Premiums as a Constrained Optimization Problem • Farrokh Guiahi

Credibility Calculations …

The Crummer Suntrust Investment Portfolio 1999, Marty Bruce, Tim Wu, Nick Dolya, Matt Williams, Robert High

Crummer Truist Portfolios

No abstract provided.

Health, Health Insurance And The Labor Market, Janet Currie, Brigitte C. Madrian

Faculty Publications

This chapter provides an overview of the literature linking health, health insurance and labor market outcomes such as wages, earnings, employment, hours, occupational choice, job turnover, retirement, and the structure of employment. The ®rst part of the paper focuses on the relationship between health and labor market outcomes. The empirical literature surveyed suggests that poor health reduces the capacity to work and has substantive effects on wages, labor force participation and job choice. The exact magnitudes, however, are sensitive to both the choice of health measures and to identi®cation assumptions. The second part of the paper considers the link between …

Revisiting The Stock Price Impact Of Quality Awards, Gregory L. Adams, Grant Mcqueen, Kristie Seawright

Faculty Publications

In an event study, Hendricks and Singhal [Hendricks KB, Singhal VR. Quality awards and the market value of the firm: an empirical investigation. Management Sci 1996;42:415±36.] find evidence that firms that win quality awards are further rewarded with a stock price increase on the day of the award announcement. We revisit Hendricks and Singhal (1996), extend their research and find four reasons why management, owners and analysts should be cautious about expecting an abnormal return when a firm wins a quality award. First, in our sample of Baldrige Award winners, the evidence of a stock price response on the announcement …

The Delisting Bias In Crsp’S Nasdaq Data And Its Implications For The Size Effect, Tyler Shumway, Vincent A. Warther

Faculty Publications

We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are large and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of −55 percent for missing performance-related delisting returns corrects the bias. We revisit previous work which finds a size effect among Nasdaq stocks. After correcting for the delisting bias, there is no evidence that there ever was a size effect on Nasdaq. Our results are inconsistent with most risk-based explanations of the size effect.

Long Memory And Asia Crisis: Implication For Capital Controls And Management, Kuo Chuen David Lee

Research Collection Lee Kong Chian School Of Business

“Financial markets are given to excesses and if a boom/bust sequence progresses beyond a certain point, it will never revert to where it came from. Instead of acting like a pendulum, financial markets have recently acted more like a wrecking ball, knocking over one economy after another.” - A testimony before the US House Banking Committee, Sep, 1998. There are three parts to this paper. The first part examines the time series behaviour of the equity indices of ten countries. Using Robinson (1995a)’s modified GPH estimator and Robinson (1994a)’s average periodogram estimator for the differencing parameter, we have detected that …

An Empirical Comparison Using Both The Term Structure Of Interest Rates And Alternative Models In Pricing Options On 90-Day Bab Futures, Irene Chau

Theses: Doctorates and Masters

The use of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies on the formulation of theoretical pricing models. Yet limited empirical research has been done in the area of actually testing the models. In this thesis we report the results of a set of tests of the models indicated below. This paper involves analysis of the pricing errors of the Black model …

The Disclosure Of Cash Flow And Financial Risk In Shipping In China, Jianfang Tian

World Maritime University Dissertations

No abstract provided.

Bond Rating Agencies And Stock Analysts: Who Knows What When?, Louis H. Ederington, Jeremy C. Goh

Research Collection Lee Kong Chian School Of Business

Both bond ratings agencies and stock analysts evaluate publicly traded companies and communicate their opinions to investors. Comparing the timelines of each, it is found that Granger causality flows both ways. While most bond downgrades are preceded by declines in actual and forecasting earnings, both actual earnings and forecasts of future earnings tend to fall following downgrades. Although part of this post-downgrade forecast revision can be attributed to negative news regarding actual earnings, most appears to be reaction to the downgrade itself. Little change is found in actual earnings following upgrades. Analysts, however, tend to increase their forecasts of future …

Measuring The Degree Of International Harmony In Selected Accounting Measurement Practices, Emmanuel N. Emenyonu, Ajay Adhikari

WCBT Faculty Publications

The I-index developed by Van der Tas and chi square tests suggested by Tay and Parker are used to quantify and assess the degree of harmony in selected accounting measurement practices of large companies from France, Germany, Japan, the UK, and the US. The results indicate significant differences in accounting for inventory, fixed assets, and investments among the countries. The 3 sub-topics that exhibited a high degree of harmony were the treatment of gains or losses on the disposal of fixed assets, short-term investments and long-term investments, a reflection of the preference of regulators and companies in the different countries …

1999-2000 Budget Request, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

Southern University System Administration & Board of Supervisors Budget Request Fiscal Year Ending June 30, 2000

1998-1999 Revised Operating Budget, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University and A & M College, Revised Operating Budget for the Fiscal Year 1998-1999.