A saddlepoint approximation to the distribution of the sum of independent non‐identically uniform random variables

Calculating the probability of the corresponding significance point is important for finite sample sizes. However, it is difficult to evaluate this probability when the sample sizes are moderate to large. Under these circumstances, consideration of a more accurate approximation for the distribution function is extremely important. Herein, we performed a saddlepoint approximation in the upper tails for the distribution of the sum of independent non‐identically uniform random variables under finite sample sizes. Saddlepoint approximation results were compared with those for a normal approximation. Additionally, the order of errors of the saddlepoint approximation was derived. © 2014 The Authors. Statistica Neerlandica © 2014 VVS.     

ECONOMICS OF STOCK-PRICE VIBRATIONS: RIDING SPECULATIVE WAVES WITHOUT SPECULATION

Abstract.  When speculation causes share prices to fluctuate, even the best speculators may do 'hardly better than the comprehensive common-stock averages' (Samuelson). We further demonstrate in this paper that non-speculators can indeed benefit, in terms of both utility and wealth, from speculative price fluctuations by choosing their portfolio optimally. In particular, we show both how much and how fast non-speculators' wealth can accumulate, presumably at speculators' expenses, over periods of price fluctuations. We also show a seemingly paradoxical outcome where a rational individual would rejoice more when stock prices fall than when they rise by the same (absolute) amounts.     

Assessment of passenger benefits brought about by international airport projects

This study sets forth a method to calculate the passenger benefits of an international airport project and assesses the passenger benefits brought about by two international airport projects.An international airport project mainly increases the number of flights and the possibility of determining convenient timetables. It does not significantly decrease the flight time of international travel. Thus, the user benefits brought about by an international airport project cannot be expressed by the conventional concept of ‘traveling time’, which is the term generally used.In this study, the ‘Expected Value of Traveling Time’ and ‘Expected Value of Generalized Cost’ are presented as indexes to evaluate improvements in convenience brought about by international airport projects. The passenger benefits of two airport projects in Japan are measured by consumer surplus calculated from the demand function using these indexes.These indexes are accurately calculated taking into consideration factors such as scheduling connections between domestic and international transport, and so enable a grasp not only of reductions in flight time, but also of passenger benefits resulting from international airport projects, such as increases in the number of flights and reductions in the time required to make transfers during domestic travel.     

Inverse of the Berge maximum theorem

Summary We consider an inverse of the Berge maximum theorem. We also give an application of our result to fixed point theory.     

Economic burden,work, and school productivity in individuals with tuberous sclerosis and their families

Aims: Tuberous sclerosis complex (TSC) is a multi-organ autosomal-dominant, genetic disorder with incomplete penetrance. The multiple manifestations of TSC and impacts to numerous organ systems represent significant disease, healthcare, and treatment burden. The economic and employment burden of the disease on individuals and their families is poorly understood. This study assessed the cost of illness and work and school productivity burden associated with TSC in a cross-sectional web-survey sample.

Materials and methods: Eligible TSC individuals and caregivers were invited through the Tuberous Sclerosis Alliance advocacy group to complete a web-based survey about illness characteristics, treatment, disease burden, direct and indirect healthcare costs, work and school impairment.

Results: Data from 609 TSC adults or caregiver respondents with no cognitive impairments were analyzed. TSC adults (>18 years of age) had significantly higher direct out-of-pocket costs for ER visits, expenses for medical tests and procedures, alternative treatments, medications and lifetime cost of surgeries compared to TSC pediatric individuals. Both TSC adults and TSC caregivers reported work and school absenteeism and presenteeism; however, adults reported significantly higher absenteeism and presenteeism and overall activity impairment due to TSC, as might be expected, compared to TSC caregivers. TSC adults had significantly higher absenteeism and presenteeism rates compared to adults with moderate-to-severe plaque psoriasis and muscular sclerosis.

Conclusions: TSC results in considerable direct out-of-pocket medical costs and impairment to work productivity, especially for adults. Future studies should include the comparator group and examine direct cost burden in the US using electronic medical records and insurance databases.     

The Economic Impact of Herd Behavior in the Japanese Loan Market

This paper investigates whether inefficient herd behavior of Japanese financial institutions in the domestic loan market affected the real economy during the period between 1975 and 1999. By using Japanese loan data, arranged by geographical area, we show that loans stemming from inefficient herd behavior of Japanese financial institutions tended to have destabilizing effects on the GDP and land prices in the following years, while ordinary loans of those financial institutions had a more positive impact. Our results indicate that the deterioration of the real economy in the 1990s may have been attributable partly to the inefficient herd behavior in the Japanese loan market during the period of the economic bubble in the late 1980s.     

Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model

This paper investigates the pricing of Nikkei 225 Options using the Markov Switching GARCH (MSGARCH) model, and examines its practical usefulness in option markets. We assume that investors are risk-neutral and then compute option prices by using Monte Carlo simulation. The results reveal that, for call options, the MSGARCH model with Student’s t-distribution gives more accurate pricing results than GARCH models and the Black–Scholes model. However, this model does not have good performance for put options.     

ON SURRENDER AND DEFAULT RISKS

This paper examines certain types of saving institutions or insurance companies that are subject to surrender and default risks, in a stochastic interest rate context. In the setting under study, investors are endowed with an option to surrender. The goal of the paper is to study how this option impacts the default risk of the issuing company and the value of the contracts it issues. Surrender risk has been extensively studied in arbitrated markets, using trees or least‐squares Monte Carlo methods for valuations, although practitioners often rely on econometric methods. We deal with surrender risk in a third way, assuming policyholders have sets of information and preferences that differ from those of financial market agents, but without relying on econometric methods. In particular, policyholders are supposed to be only partially rational (at least in the financial sense). This is done by modeling surrender risk through a Cox process correlated to the assets and interest rate dynamics. The paper provides formulas for the dynamics of the assets of the issuing firm (these dynamics drive the default time of the company), and for the valuation of liabilities and equity. A numerical illustration is provided.     

Management Accounting Practices in the U.S. and Japan: Comparative Survey Findings and Research Implications*

In recent years, the success of Japanese firms in the global market has prompted efforts to understand the sources of their competitive advantage. It has been suggested that one such source is the Japanese firms' management accounting systems, and a number of articles have claimed that important differences do exist between U.S. and Japanese firms in this area. However, these claims have tended to be supported by anecdotal, rather than systematic, evidence. The objective of this article is to contribute further insights into similarities and differences between U.S. and Japanese firms' management accounting practices. Exhaustive searches of published surveys in the U.S. and Japanese literatures (much of which is in Japanese) provided the basis for U.S.-Japan comparisons on six aspects of management accounting practices. In turn, these comparisons were used for deriving implications for future research. Two major limitations of extant research and, thus, directions for future research are identified. First, future research needs to go beyond the simple use or non-use of techniques to investigate more detailed aspects of technique use. Second, since management accounting is only one component of a firm's total management system, attention also needs to be devoted to the organizational context, process, and goals of a firm's management accounting practices.