Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure

Abstract

In this paper, we consider the optimal proportional reinsurance problem in a risk model with the thinning-dependence structure, and the criterion is to minimize the probability that the value of the surplus process drops below some fixed proportion of its maximum value to date which is known as the probability of drawdown. The thinning dependence assumes that stochastic sources related to claim occurrence are classified into different groups, and that each group may cause a claim in each insurance class with a certain probability. By the technique of stochastic control theory and the corresponding Hamilton–Jacobi–Bellman equation, the optimal reinsurance strategy and the corresponding minimum probability of drawdown are derived not only for the expected value principle but also for the variance premium principle. Finally, some numerical examples are presented to show the impact of model parameters on the optimal results.     

Authors’ Reply: Credit Standing and the Fair Value of Liabilities: A Critique - Discussion by Marsha Wallace

Abstract

As investment plays an increasingly important role in the insurance business, ruin analysis in the presence of stochastic interest (or stochastic return on investments) has become a key issue in modern risk theory, and the related results should be of interest to actuaries. Although the study of insurance risk models with stochastic interest has attracted a fair amount of attention in recent years, many significant ruin problems associated with these models remain to be investigated. In this paper we consider a risk process with stochastic interest in which the basic risk process is the classical risk process and the stochastic interest process (or the stochastic return-on-investmentgenerating process) is a compound Poisson process with positive drift. Within this framework, we first derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function, and then obtain an exact solution to the equation. We also obtain closed-form expressions for the expected discounted penalty function in some special cases. Finally, we examine a lower bound for the ruin probability of the risk process.     

Political Economy of Property Tax Reform: Hawaii's Experiment with Split‐Rate Property Taxation

Economic theory suggests that switching from a general property tax to a split‐rate tax increases land use efficiency and stimulates urban core development while preserving the environment and reducing urban sprawl. Under split‐rate property taxation, land is typically taxed at a significantly higher rate than improvements. Beginning in 1965 Hawaii experimented with a statewide split‐rate property tax system to encourage economic growth and effect land reform. The experiment was ended in 1977. Following the transfer of property taxing powers to the counties in 1978, some counties brought back the split‐rate property tax at times. Since 2006, Kauai County has adopted the unusual practice of taxing improvements at a higher rate than land for most property classes. This article chronicles and explains the rationale behind Hawaii's state and county experiments with split‐rate property taxation.     

The physical Properties of marine sediments as inferred from Wavelet Correlation Analysis

Seismic waves traveling in the water/sediment or sub-bottom sediment interface have been the subject of considerable interest in underwater acoustics in recent years. Some progress has been made in understanding the propagation and attenuation characteristics of interface waves in different geological environments. However, the generating mechanisms are poorly understood. In particular, what is the acoustic-seismic energy conversion process? As seismic waves involve both time and space parameters it should be able to relate directly the propagation characteristics of the ocean bottom interface waves to the shear properties of the sediments over the propagation area. To address these problems we have applied the wavelet correlation method (WCR) to examine the variations of bottom characteristics and their role in coupling waterborne sound into the sea bottom. To confirm the validity of the developed modeling technique, we applied the wavelet correlation analysis for synthetic seismograms and field data. In this discussion paper we present images of the first and second shear modes and the interface wave component as a function of arrival time and frequency. We also discuss the possibility of inverting phase and group velocity information directly from the wavelet cross-correlation function and propose the way of using the WCR method to predict physical dynamic parameters of marine sediments.     

Critical issues affecting the service quality and professionalism of the tour guides in Hong Kong and Macau

This study examines the critical issues affecting the service quality and professionalism of the tour guiding professions in Hong Kong and Macau. In-depth interviews were conducted with industry representatives in the two regions. The issues identified are classified into six categories: unhealthy business practices of outbound travel agencies in China, immaturity of the Chinese tourism market, exploitative measures by inbound tour operators, human resource issues, role conflict, and service quality assurance mechanism. A conceptual model is proposed to explain the role conflict faced by the guiding professions. The implications of the findings and recommendations for practice and future research are discussed. Given the growing importance of the Chinese tourism market, the findings will be of significant value to Hong Kong and Macau, and to other destinations targeting the Chinese market.     

Causal nexus between economic growth,banking sector development,stock market development,and other macroeconomic variables: The case of ASEAN countries

This paper examines the relationship between banking sector development, stock market development, economic growth, and four other macroeconomic variables in ASEAN countries for the period 1961–2012. Using principal component analysis for the construction of the development indices and a panel vector auto-regressive model for testing the Granger causalities, this study finds the presence of both unidirectional and bidirectional causality links between these variables. The study contributes to understanding the importance of the interrelationship between the variables and combines the different strands of the literature. It also contributes to the literature by focusing on a group of countries that have not been studied before. One particular policy recommendation is to make the banking sector more accessible for those country's inhabitants that do not have bank accounts. Another policy recommendation is to nurture stock market development, which will facilitate the increased raising of capital for investment purposes to enhance economic growth.     

Experimenting and learning with localized direct communication

We report an experiment in which subjects may learn from each other. Specifically, a “queue” of players who are identically informed ex ante make decisions in sequence over two lotteries. Every player except the first in the queue observes (only) his immediate predecessor’s choice and payoff before making his own decision. In equilibrium decisions are identical from the first or second player onwards in all experimental conditions. However, complete adherence to equilibrium play is seldom observed in our experiment. We further analyze our data using a quantal response equilibrium approach and test for behavioral regularities related to base rate fallacy/conservatism bias, social conformity/rebelliousness, and preference for experimentation (preferring the lottery with potentially more information spillover value). Our estimations reveal a consistent preference for experimentation across conditions, and further analysis offers some support to our surmise that this behavioral regularity is due, in part, to an attempt to influence others behind in the queue.     

Do changes in credit ratings of REITs affect their capital structure decisions?

Existing research has highlighted the high leverage ratio of Real Estate Investment Trusts (REITs). To the extent that credit rating is important to REITs when sourcing for capital from the public debt markets, our paper investigates the effect of changes in REIT credit ratings on capital structure decisions while controlling for endogeneity effects. Our results indicate that REITs that face the prospect of an imminent credit rating downgrade issue approximately 11% less debt net of equity as a percentage of total assets than other REITs. This effect is asymmetric in that positive rating outlooks do not have a significant impact on REIT capital structure activities.     

浅谈高校图书馆特色馆藏的形成

本文从读者需求入手,阐述了形成特色馆藏的几个"窗口"以及加强特色馆藏建设的重要性.