A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks

Abstract

This paper proposes a computationally efficient algorithm for quantifying the impact of interestrate risk and longevity risk on the distribution of annuity values in the distant future. The algorithm simulates the state variables out to the end of the horizon period and then uses a Taylor series approximation to compute approximate annuity values at the end of that period, thereby avoiding a computationally expensive “simulation-within-simulation” problem. Illustrative results suggest that annuity values are likely to rise considerably but are also quite uncertain. These findings have some unpleasant implications both for defined contribution pension plans and for defined benefit plan sponsors considering using annuities to hedge their exposure to these risks at some point in the future.     

Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy

Abstract

In this paper we propose a new method for approximating the price of arithmetic Asian options in a Variance-Gamma (VG) economy, which is then applied to the problem of pricing equityindexed annuity contracts. The proposed procedure is an extension to the case of a VG-based model of the moment-matching method developed by Turnbull and Wakeman and Levy for the pricing of this class of path-dependent options in the traditional Black-Scholes setting. The accuracy of the approximation is analyzed against RQMC estimates for the case of ratchet equityindexed annuities with index averaging.     

Lessons from the Snowy Slope: Vision and Politics in American Social Insurance

The enactment of social insurance, a fundamental departure from means‐tested welfare programs, was born out of the crisis of the Great Depression. Policy options to strengthen Social Security are mathematically simple, but ideologically contentious. Arguments against the program, remarkably consistent since its inception, have been gaining traction in the current political climate. As the debate proceeds, it is useful to examine the history of opposition and review the case for universal social insurance.     

Sports injuries and injury-preventive behavior related to hockey and volleyball in the Netherlands

Abstract

In a survey of hockey and volleyball players, the number and nature of sports injuries, the percentage of players taking injury-preventive measures (warming up before and cooling down after playing and the use of gum-shields and knee caps) and the main reasons for taking these measures have been assessed by self-reports in a questionnaire. The questionnaire for hockey players was answered by 635 respondents, the questionnaire for volleyball players by 711 players. For both hockey players and volleyball players, an incidence of about 500 injuries per 1000 players per year was found. Almost all volleyball players warmed-up before the last game played and 86% wore knee caps. About 25% of all hockey- and volleyball players took part in cooling down after this game. A gum-shield was used by 25% of the hockeyplayers. Surprisingly, players who took part in cooling down appeared to have a higher number of injuries than those who did not.     

Distribution Channel Relationships: The Conditions and Strategic Outcomes of Cooperation between Manufacturer and Distributor

The purpose of this paper is to carry out an empirical examination of the antecedents of cooperation between manufacturer and distributor. A further objective is to study the levels of satisfaction with the strategic outcomes of such cooperation. We analyze the extent to which cooperation requires not only complementary resources and capabilities of the partners but also goal congruence, trust and relational norms. Cooperation between manufacturer and distributor also involves reciprocal commitment and joint investment in specific assets. Finally, manufacturers and distributors should not only gain satisfaction from the economic, psychological or social benefits of cooperation, but should also gain competitive advantage, profits and strategic outcomes that help to compete in the market more efficiently.     

Noneconomic effects of ethnic entrepreneurship: A focused look at the Chinese and Korean enclave economies in Los Angeles

In this article, we aim to develop a conceptual framework from a community perspective to examine the noneconomic effects of ethnic entrepreneurship, paying close attention to the linkage between entrepreneurship and community building. We base our analysis on ethnographic data from our comparative case studies of the Chinese and Korean enclave economies in Los Angeles. We argue that it is the social embeddedness of entrepreneurship, rather than individual entrepreneurs per se, that creates a unique social environment conducive to upward social mobility. This study suggests that ethnic entrepreneurship plays a pivotal role in immigrant adaptation beyond observable economic gains. Policy implications are discussed. © 2010 Wiley Periodicals, Inc.     

An alternative measure for assessing perceived quality of software house services

Since the notion of perceived service quality and the disconfirmation paradigm were introduced in the IS community, quite a few studies have employed the SERVQUAL scale to measure perceived service quality. However, the instrument's psychometric properties have been seriously questioned, not only within the IS domain but also in many other contexts in which it has been tested. Yet, so far, no attempt has been made to develop and validate an alternative instrument specifically tailored to tackle the provision of b2b services such as those pertaining to MIS design and maintenance, despite the fact that quite a few researchers have made clear the need for doing so. Responding to this gap, the present study reports the results of an effort to validate INDSERV, an alternative to SERVQUAL. According to the findings, when slightly attuned by collapsing two specific dimensions into a single one, INDSERV outperforms SERVQUAL in all tests performed regarding dimensionality, reliability, convergent and discriminant validity as well as in concurrent validity.