Bounds for Actuarial Present Values Under the Fractional Independence Assumption

We consider the fractional independence (FI) survival model, studied by Willmot (1997), for which the curtate future lifetime and the fractional part of it satisfy the statistical independence assumption, called the fractional independence assumption.

The ordering of risks of the FI survival model is analyzed, and its consequences for the evaluation of actuarial present values in life insurance is discussed. Our main fractional reduction (FR) theorem states that two FI future lifetime random variables with identical distributed curtate future lifetime are stochastically ordered (stop-loss ordered) if, and only if, their fractional parts are stochastically ordered (stop-loss ordered).

The well-known properties of these stochastic orders allow to find lower and upper bounds for different types of actuarial present values, for example when the random payoff functions of the considered continuous life insurances are convex (concave), or decreasing (increasing), or convex not decreasing (concave not increasing) in the future lifetime as argument. These bounds are obtained under the assumption that some information concerning the moments of the fractional part is given. A distinction is made according to whether the fractional remaining lifetime has a fixed mean or a fixed mean and variance. In the former case, simple unique optimal bounds are obtained in case of a convex (concave) present value function.

The obtained results are illustrated at the most important life insurance quantities in a continuous random environment, which include bounds for net single premiums, net level annual premiums and prospective net reserves.     

Forecasting Social Security Actuarial Assumptions

Abstract

This paper presents a forecasting model of economic assumptions that are inputs to projections of the Social Security system. Social Security projections are made to help policy-makers understand the financial stability of the system. Because system income and expenditures are subject to changes in law, they are controllable and not readily amenable to forecasting techniques. Hence, we focus directly on the four major economic assumptions to the system: inflation rate, investment returns, wage rate, and unemployment rate. Population models, the other major input to Social Security projections, require special demographic techniques and are not addressed here.

Our approach to developing a forecasting model emphasizes exploring characteristics of the data. That is, we use graphical techniques and diagnostic statistics to display patterns that are evident in the data. These patterns include (1) serial correlation, (2) conditional heteroscedasticity, (3) contemporaneous correlations, and (4) cross-correlations among the four economic series. To represent patterns in the four series, we use multivariate autoregressive, moving average (ARMA) models with generalized autoregressive, conditionally heteroscedastic (GARCH) errors.

The outputs of the fitted models are the forecasts. Because the forecasts can be used for nonlinear functions such as discounting present values of future obligations, we present a computer-intensive method for computing forecast distributions. The computer-intensive approach also allows us to compare alternative models via out-of-sample validation and to compute exact multivariate forecast intervals, in lieu of approximate simultaneous univariate forecast intervals. We show how to use the forecasts of economic assumptions to forecast a simplified version of a fund used to protect the Social Security system from adverse deviations. We recommend the use of the multivariate model because it establishes important lead and lag relationships among the series, accounts for information in the contemporaneous correlations, and provides useful forecasts of a fund that is analogous to the one used by the Social Security system.     

Board Independence and CEO Turnover

This paper analyzes how board independence affects the CEO's ability to extract rents from the firm. The CEO is assumed to possess private information about his ability, which the board needs in order to decide whether to replace him. If the board is more active in removing low quality CEOs, the incumbent is better able to use his information advantage to extract rents. Since the board cannot commit not to renegotiate the contract, a board that is fully independent from the CEO is more active than is efficient ex ante. For this reason, shareholders are better off if the board of directors lacks some independence. The model predicts that a trend toward greater board independence is associated with subsequent trends toward higher CEO turnover, more generous severance packages, and larger stock option grants.     

Board and Monitoring Committee Independence

This study focuses on the composition of boards of directors and their monitoring committees (audit and compensation) for large Australian companies. For firms whose boards use a committee structure, much of the monitoring responsibility of the board is expected to rest with the independent committee members. We document a positive association between the proportion of independent directors on the full board and its monitoring committees, and a greater proportion of independent directors on both audit and compensation committees than the full board. Our hypotheses tests involve an examination of the impact of other mechanisms used to control agency conflicts on full board and committee independence, and the association between this independence and firm value. We find that full board independence is associated with low management ownership and an absence of substantial shareholders. Audit committee independence is associated with reduced monitoring by debtholders when leverage is low. While we predict a positive relationship between board and monitoring committee independence and firm value, our results do not support this conjecture.     

制度环境与审计独立性

制度环境就审计师而言,是指审计师执业过程所面临的正式和非正式制度。正式制度是指人们有意识创造的一系列政策法则,包括政治规则、经济规则和契约以及由一系列的规则构成的一种等级结构,如从宪法到成文法和不成文法到特殊的细则,最后到个别契约,它们共同约束人们的行为。非正     

Analyst Forecast Accuracy and Media Independence

Using a large international sample of 47,307 firm‐years from 52 countries, we investigate the impact of media independence on the forecast quality of financial analysts. We find that analyst forecast errors are positively associated with the extent of a country's state media ownership and its lack of freedom of the press. We also find that financial analysts with more inaccurate forecasts disappear from the institutional broker's estimate system more quickly in countries with more independent media.     

审计独立性与会计信息质量

审计独立性对会计信息质量的影响间接却又十分重要。本文从独立性的界说出发,分别从代理理论、会计规则制定权合约安排以及国内外的相关案例分析了独立性与会计信息质量的关系,并结合我国现阶段的具体情况,提出了提高审计独立性的两点对策强化注册会计师民事法律责任的制度约束;逐步取消有限责任的事务所组织形式。     

Board Independence and Mutual Fund Manager Turnover

This paper studies the relationship between board independence and manager turnover in the mutual fund industry. Using the Lipper 2003 mutual fund board data, we find that manager turnover is more likely to happen to funds with poor prior performance and more independent boards. Consistent with previous studies such as Tufano and Sevick (1997), our research provides new evidence in support of the Securities and Exchange Commission's approach of improving fund governance by promoting board independence.     

Underwriting Relationships and Analyst Independence in Europe

This paper examines the accuracy of security analysts’ earnings forecasts and stock recommendations for firms in 13 European countries. We document at least three key findings. First, we find strong evidence that lead and co‐lead underwriter analysts’ earnings estimates and stock recommendations are significantly more optimistic than those provided by unaffiliated analysts. Second, we find that lead and co‐lead underwriter analysts’ earnings forecast and stock recommendations are significantly more optimistic for underwriter stocks than for those they provide for other stocks. Third, we also find evidence that these biases found within earnings forecasts and stock recommendations are not driven by one particular country. In short, these findings suggest that affiliated analysts are more optimistic perhaps to maintain investment banking relations.     

盈余管理 审计师变更与审计师独立性

盈余管理与审计师变更存在一定的相关性。本文检验了审计师变更公司在新任审计师的第一年、前任审计师最后一年、倒数第二年的可操控性应计利润及其在不同年份之间的变化。检验结果表明 ,虽然前任审计师在其最后一年聘期内采取了比其他审计师更为稳健的会计处理方法 ,以致被公司变更 ;但新任审计师在第一年并未完全配合公司。这在一定程度上表明 ,公司变更审计师并未达到预期的目的 ;前任审计师、后任审计师的独立性均很强。这可能要归功于事务所脱钩改制 ,以及有关部门有效的监管措施     

独立性的含义与经济性质

独立性是注册会计师职业存在的基石,是注册会计师的灵魂。本文在描述独立性一般含义的基础上,提出了关于独立性经济性质的三种认识,期待对独立性概念有一个更加深刻的理解,以期对完善行业管理有些许启示。     

Fractional cointegration and real exchange rates

This paper uses fractional integration and cointegration to model the DM-US dollar and the yen-US dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be integrated of order 1, their long-run relationship might have a fractionally cointegrated structure. This means that mean reversion occurs, consistently with the findings of other studies. However, it also indicates, in contrast to such studies, that the cointegrating relationship possesses long memory. In other words, the error correction term responds slowly to shocks, implying that deviations from equilibrium are long-lived. It appears that only a combination of real and monetary variables can accurately track down the movements of real exchange rates.     

审计独立性的逆向思考

长期以来,审计独立性一直被奉为注册会计师独立审计的基石和核心价值,是审计质量的根本保证。但大多审计失败的案例又告诉我们,审计独立性是一个非常难以琢磨的概念,在应用中也很难找到一个客观的评价标准,