Management Sciences and Quantitative Methods Commons^™

Ultimate Ruin Probability For A Time-Series Risk Model With Dependent Classes Of Insurance Business, Lai Mei Wan, Kam Chuen Yuen, Wai Keung Li

Journal of Actuarial Practice (1993–2006)

We consider a discrete-time risk model with m (m ~ 2) dependent classes of insurance business. The claim processes of these m classes are assumed to follow a multivariate autoregressive time-series model of order 1. Given this claims model, we explore the probability of ultimate ruin assuming exponentially bounded claims. As an example, we use simulations to study the case where there are two business and the underlying losses are of two types: bivariate exponential and bivariate gamma claim distributions.

Journal Of Actuarial Practice, Volume 12, 2005, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

Risk-Based Regulatory Capital for Insurers: A Case Study • Christian Sutherland-Wong and Michael Sherris 5

A New Hybrid Defined Benefit Plan Design • Wayne E. Dydo . 47

A Primer on Duration, Convexity, and Immunization • Leslaw Gajek, Krzysztof Ostaszewski, and Hans-Joachim Zwiesler 59

Modeling Clusters of Extreme Losses • Beatriz Vaz de Melo Mendes and Juliana Sa Freire de Lima 83

Modeling Insurance Loss Data: The Log-EIG Distribution • Uditha Balasooriya, Chan Kee Low, and Adrian Y W Wong 101

A Modern Approach to Modeling Insurances on Two Lives • Maria Bilikova and Graham Luffrum 127

On the …

Production Research In China, S. Chaudhry, S. Feng, H. Li, H. Sui, J. L. Zhang, Z Zhang, Li Xu

Information Technology & Decision Sciences Faculty Publications

(First paragraph) China is the world’s largest emerging economy. In recent years, China has moved to an increasingly market-oriented economy that opens to international trade and investment. At the same time, the popularity of China as a manufacturing base, assembling goods for sale worldwide is growing. In addition to global manufacturers who have built their own plants in China, many manufacturing companies are outsourcing production to Chinese subcontractors and branding the products with their own logos. In today’s China, production research is becoming more and more important; advanced production research becomes an important enabler to make its manufacturing industry competitive. …

Minimizing Game Score Violations In College Football Rankings, B. Jay Coleman

Management Faculty Publications

One metric used to evaluate the myriad ranking systems in college football is retrodictive accuracy. Maximizing retrodictive accuracy is equivalent to minimizing game score violations: the number of times a past game’s winner is ranked behind its loser. None of the roughly 100 current ranking systems achieves this objective. Using a model for minimizing violations that exploits problem characteristics found in college football, I found that all previous ranking systems generated violations that were at least 38 percent higher than the minimum. A minimum-violations criterion commonly would have affected the consensus top five and changed participants in the designated national …

The New Silver Bullets Of Leadership: The Importance Of Self- And Shared Leadership In Knowledge Work, Craig L. Pearce, Charles C. Manz

Department of Management: Faculty Publications

How are the capabilities of knowledge workers best harnessed? Traditionally, organizations have focused on a top-heavy, heroic model of leadership in order to extract work-product from their employees. We believe this model is a myth. It is becoming ever more difficult for any one person to be an expert on all aspects of the work that needs to be done, and this is true in a wide variety of contexts ranging from the research and development (R&D) lab to the executive suite. Recent research indicates that two alternative sources of leadership—self leadership and shared leadership—hold considerable promise for enhancing the …

Information View Of Organization, Bob Travica

Journal of International Technology and Information Management

This article proposes an information view of organization that brings the information systems field closer to organization theory. Although voluminous bodies of literature have been developed within each of these disciplines and links between them do exist, their mutual informing is still insufficient. The proposed view of organization is intended to help convey results of information systems research to organizational scholars, while broadening theoretical horizons of the former. This article discusses the premises, conceptual framework, examples, and preliminary evidence of the information view of organization.

Time Dimension For Business News In The Knowledge Warehouse, Pawel J. Kalczynski

Journal of International Technology and Information Management

This paper proposes a data structure to support the integration of business news and data in the knowledge warehouse using the Temporal Document Retrieval Model (TDRM). Temporal document retrieval takes into account the time context expressed as temporal phrases in the document content. The maintenance and scalability of the proposed data cluster is discussed. The results of temporal document retrieval experiments based on typical and ad-hoc time constraints, performed on a large corpus of business news are reported. The experiments showed that the instantaneous TDRM-based retrieval using the proposed cluster is possible with the currently available database technology and confirmed …

A Framework For Describing And Classifying Multicriteria Portfolio Selection Problems: An Object-Oriented Approach, Heinz Roland Weistroffer, Charles H. Smith

Journal of International Technology and Information Management

Many decisions require not a single solution alternative, but a set or portfolio of alternatives. For example, a business generally produces not a single product, but a portfolio of products, and a project is tackled not by a single individual, but by a team of individuals. Unfortunately, the portfolio selection problem has been largely neglected in the literature. Though many specific problem environments have been discussed using heuristic, ad hoc methods, no general methodology or theory has been developed. This paper proposes an object-oriented framework to provide a theoretical foundation for future research on the portfolio selection problem.

Uml Activity Diagram Semantics And Automated Gui Prototyping, Nancy Winniford Ashley, Timothy E. Meehan, Norman Carr

Journal of International Technology and Information Management

Extended Activity Semantics (XAS) is a notation which can be used with Unified Modeling Language (UML) activity diagrams to specify user interactions with a system and to automatically generate a prototype of the graphical user interface (GUI) that would be used in these interactions. XAS has been incorporated in a CASE tool, Guibot, which has been developed as a plug-in for Rational Rose, a leading UML tool. The notation and tool address a specific gap in UML – the inability to model user interaction.

Internet Technology In 2010: The Issue Of Ipv6 Adoption In The U.S.A., Garry L. White, Jaymeen R. Shah, James R. Cook

Journal of International Technology and Information Management

Computer industry literature suggests that IPv4 Internet addresses are likely to have been depleted by the year 2010, and at least Asia and Europe will be using the new IPv6 Internet addresses. Literature also suggests that the U.S.A. is lagging behind Asia and Europe with the implementation of IPv6. Empirical data supporting the fact that the U.S.A. is lagging behind is not available in the literature. This paper presents the issues regarding IPv6, reasons why Asia and Europe are implementing IPv6, and why the U.S.A. is lagging behind. Empirical data is presented to support the literature’s suggestion that the U.S.A. …

A Critical Time For Ultra-Wide Band, Gary F. Templeton, Mark B. Schmidt

Journal of International Technology and Information Management

Ultra-wideband (UWB) is a promising class of high-speed wireless communications applications that is projected to significantly change local and wide area network architectures. This article describes the technology, its probable application areas, the environmental forces that are constraining and enabling commercialization, and the prospects for short-term growth for UWB services. Commercial sale and distribution of UWB products has been approved, and widespread sale is expected by 2007.

The Psychological Capital Of Chinese Workers: Exploring The Relationship With Performance, Fred Luthans, Bruce Avolio, Fred Walumbwa, Weixing Li

Department of Management: Faculty Publications

Everyone knows about China’s huge population and the fast-growing economy. Although macro-level sociological and economic analyses have given some attention to the linkage between the two, at the micro level, the relationship between human resources and, more specifically, psychological capital of Chinese workers and their performance has been largely ignored. Within the context of three factories (two private and one state-owned) in the People’s Republic of China, this exploratory study examined the relationship of a sample (n=422) of Chinese workers’ positive psychological capital states and their performance. Results indicated the workers’ positive states of hope, optimism, and resiliency, separately and …

Modeling Insurance Loss Data: The Log-Eig Distribution, Uditha Balasooriya, Chan Kee Low, Adrian Y.W. Wong

Journal of Actuarial Practice (1993–2006)

The log-EIG distribution was recently introduced to the probability literature. It has positive support and a moderately long tail, and is closer to the lognormal than to the gamma or Weibull distributions. Our simulations show that data generated from a log-EIG distribution cannot be adequately described by lognormal, gamma, or Weibull distributions. The log-EIG distribution is a worthwhile candidate for modeling insurance claims (loss) data or lifetime data. Examples of fitting the log-EIG to published insurance claims data are given.

A New Hybrid Defined Benefit Plan Design, Wayne E. Dydo

Journal of Actuarial Practice (1993–2006)

Traditional defined benefit plans can be difficult to understand and complex to administer. Hybrid plans (cash balance and pension equity) arose in part to address the former issue, but at a price of greater administrative and litigation risk. I introduce a design for defined benefit pension plans that is easy to communicate to participants, allows for accrual patterns that closely replicate those of the two most common forms of hybrid pension plans, and avoids the controversial nondiscrimination issues that currently trouble sponsors of hybrid plans. The design defines the benefit as a fixed percentage of pay payable over a period …

On The Pricing Of Top And Drop Excess Of Loss Covers, Jean-Francois Walhin, Michel Denuit

Journal of Actuarial Practice (1993–2006)

A top and drop cover is a treaty that can be found on the retrocession market. It offers capacity that can be used either to protect a top layer or a working layer. The former is called a "top" and the latter is called a "drop." Using the traditional collective risk model, we demonstrate the use of a multivariate version of Panjer's algorithm to price this cover. We also compare the premium obtained within the exact model with the premiums obtained either with the Frechet bounds or with the wrong assumption of independence.

“Can You See The Real Me?” A Self-Based Model Of Authentic Leader And Follower Development, William L. Gardner, Bruce J. Avolio, Fred Luthans, Douglas R. May, Fred Walumbwa

Department of Management: Faculty Publications

To address present and future leadership needs, a model of authentic leader and follower development is proposed and examined with respect to its relationship to veritable, sustainable follower performance. The developmental processes of leader and follower self-awareness and self-regulation are emphasized. The influence of the leader’s and followers’ personal histories and trigger events are considered as antecedents of authentic leadership and followership, as well as the reciprocal effects with an inclusive, ethical, caring and strength-based organizational climate. Positive modeling is viewed as a primary means whereby leaders develop authentic followers. Posited outcomes of authentic leader–follower relationships include heightened levels of …

Residual Life Distributions From Component Degradation Signals: A Bayesian Approach, Nagi Gebraeel, Mark Lawley, Rong Li, Jennifer Ryan

Research Collection Lee Kong Chian School Of Business

No abstract provided.