Ruin probabilities in classical risk models with gamma claims

In this paper, we provide three equivalent expressions for ruin probabilities in a Cramér–Lundberg model with gamma distributed claims. The results are solutions of integro-differential equations, derived by means of (inverse) Laplace transforms. All the three formulas have infinite series forms, two involving Mittag–Leffler functions and the third one involving moments of the claims distribution. This last result applies to any other claim size distributions that exhibits finite moments.     

Township and Village Enterprises,Openness and Regional Economic Growth in China

The authors argue that under the current political and economic conditions the restructuring of Russian enterprises on a mass scale is impossible, because the aims and methods of the restructuring programme often get in the way of the interests of different groups who in fact prosper on the inefficiency of private enterprise. These groups pay lip service to the restructuring process but do everything possible to slow down and block the process when their interests are threatened. The only group which is truly interested in restructuring of an enterprise is the middle managers. However, they are the least influential and least organised to affect enterprise restructuring. The article also addresses the legislation and especially the new law on bankruptcy, which potentially could speed up the restructuring process to a considerable extent. However, owing to the activities of some of the interest groups analysed, the law is failing to achieve its original aim. The occasional success stories have a very limited impact on Russian industries and in fact confirm the argument.     

Fat tails,VaR and subadditivity

Financial institutions rely heavily on Value-at-Risk (VaR) as a risk measure, even though it is not globally subadditive. First, we theoretically show that the VaR portfolio measure is subadditive in the relevant tail region if asset returns are multivariate regularly varying, thus allowing for dependent returns. Second, we note that VaR estimated from historical simulations may lead to violations of subadditivity. This upset of the theoretical VaR subadditivity in the tail arises because the coarseness of the empirical distribution can affect the apparent fatness of the tails. Finally, we document a dramatic reduction in the frequency of subadditivity violations, by using semi-parametric extreme value techniques for VaR estimation instead of historical simulations.     

Calculation of ruin probabilities for a dense class of heavy tailed distributions

In this paper, we propose a class of infinite-dimensional phase-type distributions with finitely many parameters as models for heavy tailed distributions. The class of finite-dimensional phase-type distributions is dense in the class of distributions on the positive reals and may hence approximate any such distribution. We prove that formulas from renewal theory, and with a particular attention to ruin probabilities, which are true for common phase-type distributions also hold true for the infinite-dimensional case. We provide algorithms for calculating functionals of interest such as the renewal density and the ruin probability. It might be of interest to approximate a given heavy tailed distribution of some other type by a distribution from the class of infinite-dimensional phase-type distributions and to this end we provide a calibration procedure which works for the approximation of distributions with a slowly varying tail. An example from risk theory, comparing ruin probabilities for a classical risk process with Pareto distributed claim sizes, is presented and exact known ruin probabilities for the Pareto case are compared to the ones obtained by approximating by an infinite-dimensional hyper-exponential distribution.     

Systems assessment of new technology for decision-making in government and industry. Part I: The model

Since the autumn of 1976, IIASA's Management and Technology Area has been working on the task, “Dynamics and Management of Technological Change.” As an exploratory task, the feasibility of this new field of research in IIASA had to be defined, together with the possibilities for application and international cooperation in the field. In this paper (Part I), Technology is analyzed as (1) a specific system consisting of Hardware, Software, and Orgware; (2) a man-made environment; (3) a holistic object of management and a type of organized activity. The concept of Systems Assessment of New Technology (SANT) is proposed and methods and models of SANT are reviewed. Experiences and case studies will be described in Part II.     

Small business in the Russian provinces: Case study evidence from Volgograd

During the 1990s Slovenia has moved toward a more market-based economy with a greater role for the private sector in asset ownership, production and price determination. The Slovenian food industry comprises a small number of producers operating in a comparatively modest market. Primary and secondary data analysis indicates that firms are largely oriented to a domestic market that is significantly protected. This has augmented profitability in the sector, albeit with substantial variations between branches. Profit levels (measured as cash flow as a percentage of turnover) are relatively high. If Slovenia joins the EU, food manufacturers operating in an enlarged European Single Market will not be afforded the degree of protection they currently receive and this heralds a substantial challenge to enterprise managers.     

Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows

We study the exceedance probability of a high threshold (ruin probability) for a random walk with a negative linear drift, where the steps of the walk (claim sizes) constitute a stationary ergodic symmetric α-stable process. We casually use the language of insurance, although this is a popular problem in many other fields of applied probability as well. We refer to ergodic theory to split the step process into two independent processes. We focus on the processes generated by dissipative flows, which are known to have a mixed moving average representation, and we restrict our attention to regular moving averages with non-negative kernels. We give results for the order of magnitude of the exceedance probability as the threshold goes to infinity in the cases of discrete-time and continuous-time claim processes.     

A strategy for organized technology

The aims of the paper are: (1) To define the concept of Organized Technology as a specific object of applied systems analysis; and (2) to explore some mutual needs in science-based strategies for organized technology as a specific objective of social management.