Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories

Mortality levels for subpopulations, such as countries in a region or provinces within a country, generally change in a similar fashion over time, as a result of common historical experiences in terms of health, culture, and economics. Forecasting mortality for such populations should consider the correlation between their mortality levels. In this perspective, we suggest using multilinear component techniques to identify a common time trend and then use it to forecast coherently the mortality of subpopulations. Moreover, this multiway approach is performed on life table deaths by referring to Compositional Data Analysis (CoDa) methodology. Compositional data are strictly positive values summing to a constant and represent part of a whole. Life table deaths are compositional by definition because they provide the age composition of deaths per year and sum to the life table radix. In bilinear models the use of life table deaths treated as compositions generally leads to less biased forecasts than other commonly used models by not assuming a constant rate of mortality improvement. As a consequence, an extension of this approach to multiway data is here presented. Specifically, a CoDa adaptation of the Tucker3 model is implemented for life table deaths arranged in three-dimensional arrays indexed by time, age, and population. The proposed procedure is used to forecast the mortality of Canadian provinces in a comparative study. The results show that the proposed model leads to coherent forecasts.     

Innovation processes in small and medium-size companies

Innovation in small manufacturing companies often proceeds in an unstructured way. For the most part there is no previous well-defined plan. Small companies manage to introduce product and process innovations in a great variety of ways. The activities involved in the innovation process vary from one company to another, as does the total duration of the process.

With product innovations, the market to which the companies orient largely determines how the innovation evolves. With process innovations, it is the novelty of the innovation that determines the mode of evolution.

Next to the know-how invested in the company, sources of information in the business sector are particularly intensively used, such as customers and suppliers. The use of other sources depends strongly on the stage in the innovation process.

These are the most important conclusions from an investigation that has been carried out under commission from the Dutch government. Its objective was to establish how innovation is accomplished in small companies and which sources of information are used at the successive stages of the innovation process.     

Global Property Market Diversification

This paper examines global diversification benefits provided by developed property markets over 1992–2007. We employ a cointegration methodology, invariant to pair-wise correlational instability plaguing MPT approaches, to investigate regional and country property market diversification benefits for U.S. domiciled global real estate investors. We show, theoretically and empirically, the cointegration procedure aptly identifies markets integrated by common trends that mitigate diversification potential. We show global property markets are interregionally independent but find intraregional market cointegration. A portfolio of markets independent of cointegrating relationships performs best during the period but is insufficiently diversified relative to a cointegrated portfolio. Independent country markets do account for the bulk of global property diversification gains but cointegrated markets, particularly from the North American and Asia Pacific regions, retain some diversifying qualities. We also show cointegrated markets converge toward benchmark characteristics, reducing their attraction as portfolio candidates.     

Parametric weighting functions

This paper provides preference foundations for parametric weighting functions under rank-dependent utility. This is achieved by decomposing the independence axiom of expected utility into separate meaningful properties. These conditions allow us to characterize rank-dependent utility with power and exponential weighting functions. Moreover, by allowing probabilistic risk attitudes to vary within the probability interval, a preference foundation for rank-dependent utility with parametric inverse-S shaped weighting function is obtained.     

Combining random sampling and census strategies - Justification of inclusion probabilities equal to 1

Very often values of a size variable are known for the elements of a population we want to sample. For example, the elements may be clusters, the size variable denoting the number of units in a cluster. Then, it is quite usual to base the selection of elements on inclusion probabilities which are proportionate to the size values. To estimate the total of all values of an unknown variable for the units in the population of interest (i.e. for the units contained in the clusters) we may use weights, e.g. inverse inclusion probabilities. We want to clarify these ideas by the minimax principle. Especially, we will show that the use of inclusion probabilities equal to 1 is recommendable for units with high values of the size measure. AMS Classification 2000: Primary 62D05. Secondary 62C20     

How to measure the market power of banks in the lending business accurately: a segment-based adjustment of the Lerner Index

Numerous empirical studies use the price-cost-margin-based Lerner Index (LI) to assess the general market power of banks. A common procedure within those LI applications is to approximate the market price required for the LI measurement as the ratio of a bank’s total revenues to total assets. We discuss the major flaws of this aggregated procedure and propose an adjusted (i.e. business segment-orientated) LI approach, which is then applied to assess the market power of banks in the specific lending business at the country level. Our empirical study is based on an original data set containing all interest-related categories (weighted by the respective loan as well as deposit volumes) in the countries of the European Monetary Union zone (EMU) from 2003 to 2013. Our results reveal that the country-specific market power of banks in the lending business has been substantially underestimated in previous studies based on aggregated outputs. For example, averaged across the five most important economies in the EMU, we detect a calibration factor of four. Our findings corroborate the economic notion that the interest-bearing lending business is a more locally separated, and thus profitable, segment in which competition is attenuated.     

Determinants of Equity Style

This paper provides a unifying empirical treatment of propositions explaining equity style cycles with a four-factor model that combines risk factors central to style theory. Tests on style autocorrelations and performance over the period January 1979–December 2004 generally affirm theoretical expectations. We employ cointegration methodology to analyze the stationarity of style covariances and dissect the diversification contributions of styles. We document style diversification gains but discover an asymmetry: value gains are derived from small company stocks while growth benefits come from large stocks. The asymmetry implies portfolios comprised of independent large growth and small value styles since the twin small growth and large value styles are cointegrated and redundant diversifiers. Performance tests show superior performance by the independent styles over the sample period, two equal intertemporal periods, and an extended 5-year period that directly contradicts a risk based explanation. The influence of institutional traders on style trends is also documented. Our findings affirm the predictions of behavioral models and provide more empirical evidence of superior performance unrelated to risk or fundamentals.

Zur Bedeutung von Gentests beim Abschluß von Lebens- und Krankenversicherungsverträgen

The investigation deals with constitutional and insurance law problems of gene tests on completion of life and health insurance contracts. There are predominate reasons for the admissibility of a fundamental prohibition of predictive gene tests as a requirement of the completion of an insurance contract. Exceptions from the prohibition are only thinkable in special cases. Gene tests that were already performed should be allowed to be used by the insurer (only) if the insurer offers an expectancy insurance to the person affected. Furthermore the person must be informed about possible insurance related and legal risks before commencement of the test by the physician.     

Growth and Welfare Effects of Fiscal Policy in an Endogenous Growth Model with Public Investment

In this paper we analyze growth and welfare effects of fiscal policy in an endogenous growth model along the balanced growth path. As to the model we assume that sustained per capita growth results from public investment. The government uses its tax revenue for investment in public capital, for investment subsidy and for transfer payments. We then analyze how the balanced growth rate reacts to variations in those policy variables. Further, we study welfare effects of varying the fiscal parameters and demonstrate that, in general, maximizing economic growth is not equivalent to maximizing welfare on the balanced growth path.     

Determinants of pension funding and asset allocation decisions

Prior research suggests that the funding and asset allocation decisions for defined benefit pension plans may be based on tax, risk, and profitability factors. Much of the previous empirical work, however, suffers from statistical problems that may produce misleading or contradictory results. We employ a confirmatory factor analytic model to address the statistical problems plaguing pension research. Various competing hypotheses are tested simultaneously. Findings indicate that firms use pensions to offset business risk.An earlier version of this article was presented at the Financial Management Association Meetings held in Toronto, October 1993. Much of the work on this article was done while the authors were at the University of Texas-Arlington.