A unified approach to ruin probabilities with delays for spectrally negative Lévy processes

ABSTRACT

In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes both deterministic delays and exponentially distributed delays: ruin is declared the first time an excursion in the red zone lasts longer than an implementation delay with a deterministic and a stochastic component. For this Parisian ruin with mixed delays, we identify the joint distribution of the time of ruin and the deficit at ruin, therefore providing generalizations of many results previously obtained, such as in Baurdoux et al. (2016) and Loeffen et al. (in press) for the case of an exponential delay and that of a deterministic delay, respectively.     

Bank market power, economic growth and financial stability: Evidence from Asian banks

This paper examines whether Asian banks are still prone to moral hazard in the aftermath of the 1997 Asian crisis. Using a sample of commercial banks from 12 Asian countries during the 2001–2007 period, our empirical findings highlight that greater market power in the banking market results in higher instability. Although banks are better capitalized in less competitive markets their default risk remains higher. A deeper investigation however shows that such behaviour is dependent on the economic environment. Higher economic growth contributes to neutralize greater risk taking and higher instability in less competitive markets.     

Country-of-origin, animosity and consumer response: Marketing implications of anti-Americanism and Francophobia

Anti-Americanism and Francophobia express a consistent hostility toward the government, culture, history or people of the US and France or the Francophonie (the global community of French-speaking peoples). This study explores interactions between country-of-origin (COO) effects and animosity expressed through anti-Americanism and Francophobia through analysis of scholarly studies, several decades of articles from the general and online press in the US and France, and ethnographic fieldwork in France and the US results reveal interesting inconsistencies and variability in national expressions of consumer animosity and response to COO cues over the time of the study, underlining the need for further longitudinal study of animosity, COO effects and consumer response. Implications of findings are examined with reference to theory development, marketing practice, and public policy.     

ISLAMIC BANKING AND FINANCE: RECENT EMPIRICAL LITERATURE AND DIRECTIONS FOR FUTURE RESEARCH

This paper examines the recent empirical literature in Islamic banking and finance, highlights the main findings and provides a guide for future research. Early studies focus on the efficiency, production technology and general performance features of Islamic versus conventional banks, whereas more recent work looks at profit‐sharing and loss‐bearing behaviour, competition, risks as well as other dimensions such as small business lending and financial inclusion. Apart from key exceptions, the empirical literature suggests no major differences between Islamic and conventional banks in terms of their efficiency, competition and risk features (although small Islamic banks are found to be less risky than their conventional counterparts). There is some evidence that Islamic finance aids inclusion and financial sector development. Results from the empirical finance literature, dominated by studies that focus on the risk/return features of mutual funds, finds that Islamic funds perform as well, if not better, than conventional funds – there is little evidence that they perform worse than standard industry benchmarks.     

Investment banking in the gulf: A case study of investcorp in bahrain

Investcorp is a low-profile investment banking company that was originally founded on the tiny island of Bahrain in the Arabian Gulf. Although little known to the general public, the company is a major player in North American and European investment markets. This case study presents a profile of the company, its founder, Nemir Kirdar, and his three “founding friends.” It relates details of the company's successes and explores how these were achieved. As most of the original Management Committee members are preparing to retire, efforts are being made to ensure the continuing prosperity of the company. This requires the risky step of appointing an almost completely new management team. Readers are invited to reflect on the likely success of this strategy and whether Investcorp's focus on North America and Europe remains appropriate in a global marketplace.     

Marketing supplementary food products in LDCs: A case study in Morocco

Developing country governments as well as a number of international agencies have become directly involved in the past two decades in the production and marketing of supplementary food products. This article discusses the Moroccan government's involvement in introducing a weaning food targeted for elaborates on the factors which contributed contributedm to the failure of this and other similar ventures, while drawing attention to the important low-income Moroccan children. It role that marketing plays in launching socially desirable food products in developing country environments.     

Women entrepreneurs in sub-Saharan Africa: An institutional theory analysis from a social marketing point of view

This paper takes an international marketing (IM) approach to the study of women entrepreneurs (WEs) in sub-Saharan Africa by examining factors in the environments in which WEs operate. The goal is to understand better how environmental barriers of many types impact the efforts of WEs. Using institutional theory-driven analysis, findings from a wide range of literature are integrated, with special attention to issues of the social legitimacy of women as entrepreneurs. Results of this study demonstrate that WEs in sub-Saharan Africa face a daunting array of challenges arising from the socio-cultural, economic, legal, political, and technological environments in which they live. Moreover, unfavourable conditions in local regulatory, normative, and cognitive systems place additional burdens on women who desire to become entrepreneurs or to expand an entrepreneurial business. In order to address these gender-specific problems, social marketing is recommended with the goals of (1) changing social beliefs, attitudes and behaviours that negatively affect Wes, and (2) improving conditions in institutional systems and market environments. Recommendations in the paper suggest how to bring about changes in attitudes towards women, work and their independent enterprise. In conclusion, directions for future scholarly research are identified.     

Predicting rating changes for banks: how accurate are accounting and stock market indicators?

We aim to assess how accurately accounting and stock market indicators predict rating changes for Asian banks. We conduct a stepwise process to determine the optimal set of early indicators by tracing upgrades and downgrades from rating agencies, as well as other relevant factors. Our results indicate that both accounting and market indicators are useful leading indicators but are more effective in predicting upgrades than downgrades, especially for large banks. Moreover, early indicators are only significant in predicting rating changes for banks that are more focused on traditional banking activities such as deposit and loan activities. Finally, a higher reliance of banks on subordinated debt is associated with better accuracy of early indicators.     

Estimation and evaluation of core inflation measures

This article estimates and evaluates different measures of core inflation for India by employing statistical and econometric approaches. We estimate Wholesale Price Index (WPI) ex-food, WPI ex-food and energy, 20% asymmetric trimmed mean, 63rd percentile and Structural Vector Autoregression (SVAR) measures of core inflation. The trimmed mean, 63rd percentile and SVAR measures are unbiased, less volatile and highly correlated to headline inflation. The predictive accuracy of the different core inflation measures used in this article is assessed. The overall result suggests that a 20% asymmetric trimmed mean and SVAR measures of core inflation can be useful for the policy purposes.