Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables

Abstract

In this paper we consider different approximations for computing the distribution function or risk measures related to a discrete sum of nonindependent lognormal random variables. Comonotonic upper and lower bound approximations for such sums have been proposed in Dhaene et al. (2002a,b). We introduce the comonotonic “maximal variance” lower bound approximation. We also compare the comonotonic approximations with two well-known moment-matching approximations: the lognormal and the reciprocal Gamma approximations. We find that for a wide range of parameter values the comonotonic “maximal variance” lower bound approximation outperforms the other approximations.     

The diaspora solution to innovation capacity development: Immigrant entrepreneurs in the contemporary world

The international migration of highly skilled labor was formerly a threat to the underdeveloped world with regard to indigenous innovation capacity. However, certain countries have successfully turned “brain drain” into “brain gain” by effective engagement with a skilled diaspora who have returned to set up business ventures in the homeland. This article advocates an entrepreneurial approach to the development of national innovation capacity through contemporary diasporic entrepreneurship (CDE). Drawing evidence mostly from China, the article argues that (1) CDE offers an alternative to conventional indigenously and internationally oriented approaches toward innovation capacity development; (2) compared to other ways of diaspora homeland engagement, CDE is most beneficial to capacity development; and (3) besides participating in philanthropic and scientific projects, a skilled diaspora returning as private business owners represents an often more productive way of contributing to national capacity development. © 2010 Wiley Periodicals, Inc.     

利益认知与国际规范的国内化——以中国对国际气候合作规范的内化为例

国际规范国内化的根本原因不在于国内结构的不同,不在于国内文化与规范的匹配程度是否较高,也不在于国际组织的教育作用,而在于国家是否在与国际机制的互动中其某种需要获得了一定程度的满足,或是激发了一种积极的国家利益认知。在中国对国际气候合作规范的内化中,现有的国际气候机制激发了中国希望在应对气候变化问题上掌握主动权的需要,从而形成了一种积极的国家利益认知。这种国际规范国内化的表现就是中国决定彻底转变经济增长方式,而通过对相关指标的考察可以发现这种内化已经达到了比较高的程度。     

The Iterated Cte

Abstract

In this paper we present a method for defining a dynamic risk measure from a static risk measure, by backwards iteration. We apply the method to the conditional tail expectation (CTE) risk measure to construct a new, dynamic risk measure, the iterated CTE (ICTE). We show that the ICTE is coherent, consistent, and relevant according to the definitions of Riedel (2003), and we derive formulae for the ICTE for the case where the loss process is lognormal. Finally, we demonstrate the practical implementation of the ICTE to an equity-linked insurance contract with maturity and death benefit guarantees.     

Relative Choice Models for Income Drawdown in a Defined Contribution Pension Scheme

Abstract

This paper extends a target-based model of income drawdown developed in Gerrard et al. (Insurance: Mathematics and Economics 35: 321–342 [2006]) (GHV) for the distribution phase of a defined contribution pension scheme. The optimal investment strategy of the pension fund and the optimal drawdown are found using linear-quadratic optimization, which minimizes the deviation of the fund and the drawdown from prescribed targets. The GHV model is modified by nondimensionalizing the loss function, so that there is a relative choice between outcomes.

Using this model, three classes of target are studied. Endogenous deterministic targets are suggested from the form of the optimal controls, while exogenous deterministic targets can be stated without knowledge of the optimization problem. The third class of stochastic targets is similar to recent annuity products, which incorporate investment risk. Each scheme represents a trade-off between investment risk and return, and this is illustrated by numerical simulation with reference to a canonical example. A particularly attractive form of income drawdown is given by an implied rate of return target. This yields a reasonable investment strategy and a robust consumption profile with age. In addition, it can be easily explained to pension scheme members.     

Kapitalprivatisierung der Deutschen Bahn AG

Die geplante materielle Privatisierung der Deutschen Bahn AG kann als logischer Schritt der formalen Bahnprivatisierung vom 1.1.1994 angesehen werden. Welche Privatisierungsmodelle werden gegenw?rtig diskutiert? Sollte die Deutsche Bahn AG mit oder ohne ihr Betriebsnetz an die B?rse gehen? Ist die Deutsche Bahn AG überhaupt b?rsenf?hig?