Information Structure and the Tragedy of the Commons in Resource Extraction

Synopsis This paper considers the well-known Levhari-Mirman discrete-time model of resource extraction, and investigates the effects of the information structure of the dynamic game – open-loop, Markovian or history-dependent – on the equilibrium consumption path and the overall utility of the agents. Due to the special structure of the model, the open-loop regime yields a Pareto-optimal outcome. The Markovian regime leads to the most pronounced version of the tragedy of the commons. History-dependent behavior yields an outcome set that is intermediate between the other two cases, and that may include the Pareto-optimal outcome in some cases. The level of efficiency of equilibrium behaviour is thus U-shaped as a function of the level of information the agents’ extraction strategies are based on. The analysis suggests that in environments characterized by a dynamic (and no market) externality, forcing agents to commit to open-loop behavior would constitute welfare-improving regulation.     

欧盟碳交易市场收益率厚尾特征与极端风险度量研究

选取欧盟碳金融市场收益率数据作为研究对象,基于极值理论通过对数据建立区组极大值模型(BMM)和超阈值模型(POT)来拟合收益率数据的尾部。结果表明:正态分布不能很好地描述欧盟碳金融市场收益率数据特征,而基于极值理论地的BMM和POT模型可以较好地拟合数据尾部;基于正态性假定下计算的风险度量指标,在高置信水平下会低估尾部数据的风险水平;基于极值理论的模型可以更好地拟合碳金融市场收益率数据,由此得到的风险度量指标可以更好地帮助风险管理者们监控和应对风险。     

Bayesian estimators of the lognormal–Pareto composite distribution

In this paper, Bayesian methods with both Jeffreys and conjugate priors for estimating parameters of the lognormal–Pareto composite (LPC) distribution are considered. With Jeffreys prior, the posterior distributions for parameters of interest are derived and their properties are described. The conjugate priors are proposed and the conditional posterior distributions are provided. In addition, simulation studies are performed to obtain the upper percentage points of Kolmogorov–Smirnov and Anderson–Darling test statistics. Furthermore, these statistics are used to compare Bayesian and likelihood estimators. In order to clarify and advance the validity of Bayesian and likelihood estimators of the LPC distribution, well-known Danish fire insurance data-set is reanalyzed.     

Improved estimation of extreme quantiles in the multivariate Lomax (Pareto II) distribution

Estimation of a quantile of the common marginal distribution in a multivariate Lomax (Pareto II) distribution with unknown location and scale parameters is considered. For quadratic loss and specified extreme quantiles, it is established that the best affine equivariant procedure is inadmissible by constructing a better estimator.     

Eksamen i Forsikringsvidenskab og Statistik ved Köbenhavns Universitet. 2. Del. Den skriftlige Pröve

Abstract

This paper develops a Pareto scale-inflated outlier model. This model is intended for use when data from some standard Pareto distribution of interest is suspected to have been contaminated with a relatively small number of outliers from a Pareto distribution with the same shape parameter but with an inflated scale parameter. The Bayesian analysis of this Pareto scale-inflated outlier model is considered and its implementation using the Gibbs sampler is discussed. The paper contains three worked illustrative examples, two of which feature actual insurance claims data.     

A supply chain coordination mechanism with suppliers’ effort performance level and fairness concern

The interest conflict is an important factor affecting the supply chain (SC) performance, so it is very important to set up a reasonable coordination mechanism to eliminate the SC conflicts. Considering the fact that suppliers' effort performance level and fairness concern behavior are important factors affecting SC performance, we can develop SC models to analyze and compare SC decisions under the centralized decision and decentralized decision, and then we design a SC coordination mechanism through cost sharing. The results show that the designed coordination mechanism can effectively solve the conflict problem of SC, mobilize SC members’ motivation and initiative without damaging their profits, and realize the long-term cooperation between the retailer and multi-suppliers. It also can achieve the Pareto improvement and the sustainable development of SC.