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We apply Moulin's notion of egalitarian equivalent cost sharing of a public good to the problem of insurance capitalization and capital allocation where the liability portfolio is fixed. We show that this approach yields overall capitalization and cost allocations that are Pareto efficient, individually rational, and, unlike other mechanisms, stable in the sense of adhering to cost monotonicity. 相似文献
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KAZUHIRO KOHARA TSUTOMU ISHIKAWA YOSHIMI FUKUHARA YUKIHIRO NAKAMURA 《International Journal of Intelligent Systems in Accounting, Finance & Management》1997,6(1):11-22
In this paper we investigate ways to use prior knowledge and neural networks to improve multivariate prediction ability. Daily stock prices are predicted as a complicated real-world problem, taking non-numerical factors such as political and international events are into account. We have studied types of prior knowledge which are difficult to insert into initial network structures or to represent in the form of error measurements. We make use of prior knowledge of stock price predictions and newspaper information on domestic and foreign events. Event-knowledge is extracted from newspaper headlines according to prior knowledge. We choose several economic indicators, also according to prior knowledge, and input them together with event-knowledge into neural networks. The use of event-knowledge and neural networks is shown to be effective experimentally: the prediction error of our approach is smaller than that of multiple regression analysis on the 5% level of significance. © 1997 by John Wiley & Sons, Ltd. 相似文献
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Atsuyuki Kogure Jackie Li Shinichi Kamiya 《North American actuarial journal : NAAJ》2014,18(1):242-257
In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and house prices). Our method is a multivariate extension of the Bayesian risk-neutral method developed by Kogure and Kurachi. We apply the proposed method to Japanese data to examine the possibility for a successful introduction of reverse mortgages into Japan. The results suggest a promising future for this new market. 相似文献
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HIDEKI NAKAMURA 《The Japanese Economic Review》2010,61(2):266-281
This paper tries to explain the polarization of economic growth through mechanization. We derive a complementary relationship between capital accumulation and mechanization. While we assume an external effect that occurs as a result of mechanization, given the external effect, mechanization yields a constant‐elasticity‐of‐substitution production function in which the elasticity‐of‐substitution is greater than unity as the envelope of Cobb–Douglas production functions. When mechanization is difficult, which implies a low value for the elasticity‐of‐substitution, and the external effect is weak, there is potential for multiple steady states to exist. 相似文献
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Aims: This study assessed the cost-effectiveness of the orexin receptor antagonist suvorexant against zolpidem, the most widely used hypnotic benzodiazepine receptor agonist in Japan. To this end, a model was used that factored in insomnia and the risk for hip fractures, which have devastating effects on the elderly.Methods: Data were derived from published papers. The target population was a virtual cohort of elderly patients (≥65 years) with insomnia residing in Japan. Cost-effectiveness was evaluated using quality-adjusted life years (QALYs) and the incremental cost-effectiveness ratio as effectiveness measures. The investigators assumed the perspective of healthcare payers.Results: In the base-case analysis, suvorexant was cost-saving (suvorexant: $252.3, zolpidem: $328.7) and had higher QALYs gained (suvorexant: 0.0641, zolpidem: 0.0635) for elderly Japanese patients with insomnia compared with zolpidem, indicating that suvorexant was dominant. In the sensitivity analysis, the outcome changed from dominant to dominated due to the relative risk for hip fractures associated with suvorexant. However, when the other parameters were varied from the lower to the upper limits of their ranges, suvorexant remained dominant compared to zolpidem.Limitations: The relative risk for hip fractures for suvorexant used in the model was based on data from pre-approval clinical trials. More precise data may be needed.Conclusions: Suvorexant seemed to be more cost-effective than the alternative zolpidem. The findings suggested that suvorexant might be a viable alternative to zolpidem for elderly patients with insomnia. A sensitivity analysis showed that outcome varied depending on the relative risk for hip fractures associated with suvorexant. Further investigations may be needed for more precise results. 相似文献
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Tao Chen Shinichi Kamiya Pingyi Lou Andreas Milidonis 《The Journal of risk and insurance》2023,90(4):899-939
Using an exogenous drop in analyst coverage introduced by broker closures and mergers, we test for the causal impact of analyst coverage on corporate risk-taking, in an opaque industry. We document an increase in risk using several book-based and market-based risk measures, including tail and default risk measures. Results are driven by firms with stronger managerial risk-taking compensation incentives. The increase in risk is stronger in more opaque firms, and firms with weaker policyholder monitoring. Firm risk increases through at least one risk-taking action, such as investing firm assets in higher-risk bonds. Our study highlights the importance of stock analysts in affecting corporate risk-taking, especially in the presence of stronger managerial, compensation risk-taking incentives. 相似文献