“Economic Capital Allocation Derived from Risk Measures”, Eddy Van den Borre,January 2003

Abstract

The sustained reduction in mortality rates and its systematic underestimation has been attracting the significant interest of researchers in recent times because of its potential impact on population size and structure, social security systems, and (from an actuarial perspective) the life insurance and pensions industry worldwide. Despite the number of papers published in recent years, a comprehensive review has not yet been developed.

This paper attempts to be the starting point for that review, highlighting the importance of recently published research—most of the references cited span the last 10 years—and covering the main methodologies that have been applied to the projection of mortality rates in the United Kingdom and the United States. A comparative review of techniques used in official population projections, actuarial applications, and the most influential scientific approaches is provided. In the course of the review an attempt is made to identify common themes and similarities in methods and results.

In both official projections and actuarial applications there is some evidence of systematic overestimation of mortality rates. Models developed by academic researchers seem to reveal a trade-off between the plausibility of the projected age pattern and the ease of measuring the uncertainty involved. The Lee-Carter model is one approach that appears to solve this apparent dilemma.

There is a broad consensus across the resulting projections: (1) an approximately log-linear relationship between mortality rates and time, (2) decreasing improvements according to age, and (3) an increasing trend in the relative rate of mortality change over age. In addition, evidence suggests that excessive reliance on expert opinion—present to some extent in all methods—has led to systematic underestimation of mortality improvements.     

How a Reduction of Standard Working Hours Affects Employment Dynamics

December 1, 1996 a new law was implemented in Portugal to gradually reduce the standard workweek from 44 to 40 h. We study how this mandatory reduction affected employment through job creation and job destruction. There was considerable regional, sectoral and firm-size variation in the share of workers who were affected by the working hours reduction. We exploit this variation to assess the impact of the workweek reduction. We find evidence that the working hours reduction had a positive effect on employment through a fall in job destruction.     

Fiscal deficits,monetary reform and inflation stabilization in romania

Developing countries have witnessed an increase in foreign bank participation during the last decade. Using bank level data for the period 1991–2001, we examine the influence of foreign banks on the financing of small firms in Tanzania. Despite dominating the banking sector, results suggest that the financing of small firms by foreign banks is insignificant compared to domestic banks. Clearly, there is a need for a new approach to policy that will encourage significant foreign bank lending to small firms.     

The Non-Trivial Choice between Innovation Indicators

We discuss the strengths and weaknesses of five alternative innovation indicators: R&D, patent applications, total innovation expenditure and shares in sales taken by imitative and by innovative products as they were measured in the 1992 Community Innovation Survey (CIS) in the Netherlands. We conclude that the two most commonly used indicators (R&D and patent applications) have more (and more severe) weaknesses than is often assumed. Moreover, our factor analysis suggests that there is little correlation between the various indicators. This underlines the empirical relevance of various sources of bias of innovation indicators as discussed in this paper.     

The impact of coding time on the estimation of school effects

Multilevel growth curve models are becoming invaluable in educational research because they model changes in student outcomes efficiently. The coding of the time variable in these models plays a crucial role as illustrated in this study for the case of a three-level quadratic growth curve model. This paper shows clearly how the choice of a time coding affects school effects estimates and their interpretation. A new definition for school effects for growth curve models with random intercepts and slopes is proposed. This study recommends that the choice of a time coding should not only be based on the ease of interpretation and model convergence but also on its consequences on the student status and growth parameter estimates. The current application illustrates that in general the school effects for student growth in well-being and language achievement in secondary school, are greater for student growth than for student status.     

Raising offtake from cattle grazed on natural rangelands in sub-Saharan Africa: a transaction cost economics approach

Farmers in sub‐Saharan Africa are constrained by large transaction costs associated with marketing of their livestock. However, transaction costs are often not taken into account in the analysis of factors hampering the development of livestock marketing in this region. This article empirically measures the influence of transaction costs on the offtake from cattle grazed on natural rangelands in Uganda. The study is based on the monitoring of 696 cattle transactions in three districts of Uganda from August 2004 to August 2005. The estimated models suggest that proportional transaction costs represented by the state of roads, distance to markets, and time taken to reach the market are important variables constraining market participation. In order to raise offtake from the national herd, it is essential to explicitly address these costs. One potential solution is collective action in marketing of livestock in which proportional and fixed transaction costs are reduced and shared among the group members.     

Aligning Knowledge Strategy and Knowledge Capabilities

This paper outlines a framework that links knowledge strategy and knowledge capabilities in a similar way as prior studies for the more generic concepts of strategy and capabilities. Existing theory in knowledge strategy is fragmented and focused on competitive positioning. We utilize concepts of good strategic management and the theory of the firm to place knowledge strategy on a more theoretically sound basis. This expands knowledge strategy beyond competitive positioning to include internal organization and the boundaries of the firm. This expanded view of knowledge strategy is compared to a conceptualization of knowledge capabilities that focuses on different capabilities for internal, collaborative and competitive situations. Using this perspective highlights the interconnection between knowledge capabilities and knowledge strategy—they are often jointly determined. It also provides a basis for integrating competence- and knowledge-based views of the firm in an empirically testable model. Suggestions for further research are proposed.     

The scheduling and organization of periodic associative computation: Essential networks

This paper defines and characterizes essential decentralized networks for calculating the associative aggregate of one or more cohorts of data. A network is essential if it is not possible to eliminate an instruction or manager and still calulate the aggregate of each cohort. We show that for essential networks, the graphs that depict the operations and data dependencies are trees or forests. These results assist in the characterization of efficient networks. Received: 15 October 1994 / Accepted: 6 March 1997