Zur Modellierung von Rückversicherungsverträgen in der dynamischen Finanzanalyse

In this paper we study the influence of Gaussian dependencies on the payoff of reinsurance contracts and the resulting effects on a non-life insurer's risk and return profile. To achieve this, we integrate different Gaussian dependencies and reinsurance contracts in a dynamic financial analysis (DFA) framework and conduct numerical tests within a simulation study. Depending on the reinsurance contract and the dependency employed, we find substantial differences in risk assessment for the ruin probability and for the expected policyholder deficit. The results have important implications for regulators and rating agencies that use these risk measures as a foundation for capital standards and ratings. Our results extend the findings of a recent working paper by Eling and Toplek (2008) with a detailed analysis of Gaussian dependencies under different reinsurance contracts.     

CONSISTENT VARIANCE OF THE LAPLACE‐TYPE ESTIMATORS: APPLICATION TO DSGE MODELS

The Laplace‐type estimator has become popular in applied macroeconomics, in particular for estimation of dynamic stochastic general equilibrium (DSGE) models. It is often obtained as the mean and variance of a parameter's quasi‐posterior distribution, which is defined using a classical estimation objective. We demonstrate that the objective must be properly scaled; otherwise, arbitrarily small confidence intervals can be obtained if calculated directly from the quasi‐posterior distribution. We estimate a standard DSGE model and find that scaling up the objective may be useful in estimation with problematic parameter identification. It this case, however, it is important to adjust the quasi‐posterior variance to obtain valid confidence intervals.     

Converging technologies at the nanoscale: The making of a new world?

The design of artefacts commonly involves the convergence of many technologies and this remains true for artefacts being created at the nanoscale. However, since 2000 the phrase 'converging technologies' has acquired a special interpretation related to the convergence of nanotechnology, biotechnology, information technology and cognitive science (acronym NBIC) for the improvement of 'human performance', raising the visibility of what has colloquially been called 'nanotechnology'. Exaggerated forecasts soon followed for the value of innovatory markets for nano-artefacts or artefacts highly dependent on the various emergent nanoscale technologies. Many of these activities have resulted from a creative collision between chemistry and biology, and engineering and physics, especially where the latter have been related to micromechanical devices and electronics. The outcome has been rising expectations that the field, now designated as converging technologies, may be the beginnings of a 'new world' within a notional time horizon of 2030. The paper considers the possibility, feasibility and desirability of nanoscale artefacts (nano-artefacts) in contributing to a 'new world'. By distinguishing between nano-artefacts and nanotechnology, some of the more unrealistic expectations surrounding the possibilities can be discouraged, facilitating investment decisions by business and informed debate by stakeholders regarding the future development and diffusion of nano-artefacts. The paper concludes that nano-artefacts are likely to have pervasive, radical effects by 2030, particularly in the fields that underpin life on the planet, including energy and food and the possibility of improving human performance. However, the effects are unlikely to be on the scale seen in the industrial revolution.     

Nano-worlds as Schumpeterian emergence and Polanyian double-movements

The overarching question raised in this special issue is whether societies can, do or indeed should steer new and emergent science and technological development and its management on to trajectories construed as more or less 'desirable'. It therefore sits at the interface of two arenas. These are governance: processes of shaping/steering emergent technologies and markets; and sustainability: normative agendas incorporating a range of potentially competing conjectures and internally inconsistent desires such as to facilitate rather than stifle innovation, to enable economic development, to anticipate or deploy strategies to cope with risk and uncertainty, and to encourage technological developments that benefit rather than harm humans, their quality of life and the natural environment. Despite the potential for apparent empirical inconsistencies and contradictions that manifest as outcomes of the negotiation of these aims, there is (pace Karl Polanyi) a normative entry point to all of the articles and the material they draw upon, which is the idea that markets and technologies should be the handmaiden of societies, not vice versa.

It is now widely recognized that 'nanotechnology' is a diverse set of feasible procedures emerging from scientific possibilities to enable the production of artefacts at the nanoscale creating new products, processes and services. Attention has to be paid to the desirability of these artefacts, which involve social, economic, ecologic, political and ethical matters that surround their emergence. The purpose of this special issue is to set out the current and future prospects for the widespread use (or innovation) of technological convergence at the nanoscale to create nano-artefacts, and the needs for governance and regulation that will accompany these innovations.     

Private equity benchmarks and portfolio optimization

Portfolio optimization using private equity is typically based on one of three indices: listed private equity, transaction-based private equity, or appraisal value-based private equity indices. However, we show that none of these indices is fully suitable for portfolio optimization. We introduce here a new benchmark index for venture capital and buyouts, which is updated monthly, adjusted for autocorrelation (de-smoothing), and available contemporaneously. We illustrate how our benchmark enables superior quantitative portfolio optimization.     

Spectral calibration of exponential Lévy models

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of the option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.     

Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach

We consider a new method of semiparametric statistical estimation for the continuous‐time moving‐average Lévy processes. We derive the convergence rates of the proposed estimators and show that these rates are optimal in minimax sense.     

WACC and free cash flows: A simple adjustment for capitalized interest costs

This paper shows how to value investment projects involving capitalization of interest costs by using the standard WACC method. Whenever capitalized interest costs do not immediately generate proportionate tax shields, one of the assumptions that justify the use of the after-tax weighted average cost-of-capital formula is violated. As an offset to this violation, the project's free cash flows have to be adjusted. We here derive and interpret a simple adjustment formula. A numerical illustration is provided.     

Managerial career success in Canadian organizations: is gender a determinant?

The purpose of this research is to examine which of the following approaches - human capital, family context, socio-economic origin, work investment and reward expectations and structural factors - can eliminate the influence of gender on career success of 3,060 Canadian managers. Taken individually, these different approaches did not counter the effect of gender on career success of managers. However, the use of an overall regression model containing all the approaches countered the effect of gender on the number and speed of promotion, but not on salary and hierarchical level. Finally, the results suggest that the career success of male and female managers is predicted by different variables.