The surplus prior to ruin and the deficit at ruin for a correlated risk process

This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables claim sizes to be correlated with the inter-claim times. The marginal density function of the surplus immediately prior to ruin is specifically considered. Several numerical examples are presented to illustrate the application of this result.     

The floating stock policy in fast moving consumer goods supply chains

The floating stock distribution concept exploits intermodal transport to deploy inventories in a supply chain in advance of retailer demand. In this way response times are reduced and storage costs can be reduced as well by having products in the pipeline. In this paper we present two mathematical models to analyse this policy with backlogging allowed. The first one tries to optimize the advanced shipping time of containers to intermodal terminal, and the second optimizes the total number of containers in pipeline and terminal. A comparison is made with the simulation outcomes of applying previously developed strategies, which shows that this concept has advantages in inventories over other strategies.     

Global industry portfolios and short-term predictability of returns: Is it there?

This paper explores the degree of success of a large set of active trading rules that have been popularized in the literature on the short-term predictability of returns in equity and foreign exchange markets by extending the scope of research in three dimensions: global portfolios, industry portfolios, and exclusive versus inclusive portfolios. Our results show that after adjusting for (1) the impact of nonsynchronous prices in the reported closing index levels which causes spurious autocorrelations in returns, (2) data snooping bias caused by searching through a large number of possible trading strategies in order to find a few that yield superior in-sample performance, and (3) transaction costs that reduce any profits from active trading, the risk-adjusted profits generated by short-term trend chasing trading rules are generally not statistically significant and the hypothesis of no outperformance of trading rules over either buy-and-hold or risk-free benchmark return cannot be rejected in most industries. Such findings favor short-term market efficiency and are hardly comforting for active traders.     

Pluralism or isolation of Civilisations? Russia's foreign policy discourse and the reception of Huntington's paradigm of the post‐cold war world

This paper studies the effects of Samuel Huntington's ‘Clash of Civilisations’ thesis on Russian foreign policy discourse. In response to Huntington's thesis, two major currents of Russia's foreign policy thinking ‐ Liberals and Nationalists ‐ are identified, both of which are critical of the thesis. The two groups offer diametrically opposed alternatives to Huntington's paradigm of the post‐Cold War world. The Liberal‐Nationalist controversy reflects Russia's debates about its own political identity and provides us with a rich and informative understanding of the process of identity formation. By identifying Russia's various reactions to the ‘Clash of Civilisations’ thesis, the paper identifies potential influences of various currents in Russian foreign policy thinking on the country's future foreign policy. It also suggests some implications for further studies of cultures/civilisations in international politics.     

Assessing the maintenance of savings sufficiency over the first decade of retirement

The goal of securing adequate resources in retirement dominates the ongoing debate regarding social security reforms designed to accommodate the demographic transformation and to provide minimum income security to retired workers. Policy proposals concerned with the implication of future public sector costs emphasize greater individual responsibility for meeting retirement resource goals. Proposals seeking minimum living standards imply expansion of public fiscal liabilities. We contribute to this discussion by examining the extent to which a cohort of US retirees were able to meet resource adequacy standards at the time of retirement, and to maintain initial levels of resources over the first decade of retirement. We compare annuitized wealth, including social security and pension wealth, to two adequacy standards—a household’s preretirement earnings (reflecting the goal of maintaining preretirement consumption) and the US poverty threshold (reflecting the goal of meeting minimum consumption standards). We analyze the relationship of individual characteristics to changes in resource adequacy over time, and identify the characteristics of those who gain and lose resources over the first decade of retirement. Finally, we simulate the effects on adequacy and public sector benefit costs of four social insurance policy proposals. This research was partially supported by a grant from the Social Security Administration. Additional support was provided by the Institute for Research on Poverty, the Graduate School and the Center for Demography and Ecology all at the University of Wisconsin-Madison. Conclusions represent those of the authors alone and not of the funding agencies.     

Asymmetric Information and the Russian Individual Savings Market

The article considers the influence of informational imperfections on the performance of the Russian financial market. The focus is on the individual savings market, which exhibits inefficiencies, including those associated with the market power of a dominant agent—Sberbank. Reinforcement of Sberbank's dominance on the market in the period 1994‐98 (before the August default combined with financial crisis) is explained as a consequence of asymmetric information about the probability of bankruptcy of a new bank. Under asymmetric information a new private bank has to provide specific quality signals in order to attract depositors. Two major lines of inquiry are the criteria for choosing forms of savings, including that of a bank in which to deposit money, by Russian citizens, and banks' advertising strategies to confirm the factual risk of default. Within the conceptual framework of a game with separating equilibrium, we analyse the behaviour of the agents on both supply and demand sides in the market. We find that there is evidence of using advertising as a tool of quality signalling at a certain phase of the Russian individual savings market's development.