On the Class of Erlang Mixtures with Risk Theoretic Applications

Abstract

A wide variety of distributions are shown to be of mixed-Erlang type. Useful computational formulas result for many quantities of interest in a risk-theoretic context when the claim size distribution is an Erlang mixture. In particular, the aggregate claims distribution and related quantities such as stop-loss moments are discussed, as well as ruin-theoretic quantities including infinitetime ruin probabilities and the distribution of the deficit at ruin. A very useful application of the results is the computation of finite-time ruin probabilities, with numerical examples given. Finally, extensions of the results to more general gamma mixtures are briefly examined.     

Preston,Ivan L., The Tangled Web They Weave: Truth,Falsity, & Advertisers,Madison: The University of Wisconsin Press, 1994

Abstract

In an experiment, children in three grade levels (second, fourth, and sixth) viewed four advertisements. The children were shown advertisements with either metaphors in both pictorial and verbal form or a literal equivalent. The sixth graders interpreted more metaphors correctly than the fourth and second graders. In terms of recall of advertised content, the sixth and fourth graders recalled brand names, products, and additional copy better than the second graders. Within each grade level, metaphors did not enhance children's recall of advertised content or perceptions of the understandability of the advertisements and liking of the advertised products. The authors speculate that metaphors are most likely to enhance recall under conditions in which the metaphor serves as a direct representation linking the metaphor to the advertised product. Their findings suggest that advertisers should be aware that young readers may have difficulty interpreting metaphors and that metaphors may not be more effective in terms of children's recall and perception of understandability than literal versions of advertisements.     

Food Regime Analysis in a Post‐Neoliberal Era: Argentina and the Expansion of Transgenic Soybeans

This paper uses the food regime literature to analyse the political and economic relations promoting the expansion of soybeans in Argentina following the post‐neoliberal turn in the early 2000s. Continuities of the agrarian expansion from the neoliberal to post‐neoliberal model highlight the state's role in supporting a neoliberal food regime. Neoregulation in the post‐neoliberal agenda continues to favour increased production of transgenic food over ecological and human‐health considerations. Moreover, the emergence of new corporate and transnational actors has contributed to a new form of corporate‐agrarian governance premised on biotechnology. First, a food regime lens is used to describe the expansion of transgenic soybeans in Argentina, followed by an analysis of planning documents to show the state's position in reproducing neoliberal discourses and policies favouring the expansion of agriculture. The conclusion discusses the utility of food regime analysis for explaining the new forms of agricultural governance in Argentina.     

On the Moments of the Time of Ruin with Applications to Phase-Type Claims

Abstract

We describe an approach to the evaluation of the moments of the time of ruin in the classical Poisson risk model. The methodology employed involves the expression of these moments in terms of linear combinations of convolutions involving compound negative binomial distributions. We then adapt the results for use in the practically important case involving phase-type claim size distributions. We present numerical examples to illuminate the influence of claim size variability on the moments of the time of ruin.     

A Gravity Model of Mortality Rates for Two Related Populations

Abstract

The mortality rate dynamics between two related but different-sized populations are modeled consistently using a new stochastic mortality model that we call the gravity model. The larger population is modeled independently, and the smaller population is modeled in terms of spreads (or deviations) relative to the evolution of the former, but the spreads in the period and cohort effects between the larger and smaller populations depend on gravity or spread reversion parameters for the two effects. The larger the two gravity parameters, the more strongly the smaller population’s mortality rates move in line with those of the larger population in the long run. This is important where it is believed that the mortality rates between related populations should not diverge over time on grounds of biological reasonableness. The model is illustrated using an extension of the Age-Period-Cohort model and mortality rate data for English and Welsh males representing a large population and the Continuous Mortality Investigation assured male lives representing a smaller related population.     

Determining the Optimum Guarantee Period for a One-Life Retirement Annuity

Abstract

We consider a risk averse retiree from a defined contribution plan who decides to purchase a onelife annuity with a guarantee period. Given the retiree has a bequest motive, we focus on the problem of determining the optimum length of the guarantee period. Assuming the retiree’s bequest function is proportional to his or her utility function, we determine necessary and/or sufficient conditions under which the retiree would choose an annuity with (i) no guarantee period, (ii) the maximum guarantee period, or (iii) an intermediate guarantee period.     

Within-person variation in affective commitment to teams: Where it comes from and why it matters

Teamwork is crucial to organizational success and commitment to teams is an important predictor of team-related behaviors. However, theorists and researchers have typically assumed that commitment levels are generally stable within-persons, increasing or decreasing as a result of substantial organizational changes. This position is at odds with the evidence of systematic and regular intraindividual fluctuations in personal attributes and workplace behaviors. We draw upon affective events theory to present a model explaining how certain events and dispositions produce vacillations in affective reactions which, in turn, are likely to create within-person variation in affective commitment to teams (WPVC_teams). We further propose that WPVC_teams enhances prediction and explanation of intraindividual fluctuations in work behavior and, interindividually, moderates the relationship between level of commitment and behavior.     

Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model

Abstract

We consider an optimal reinsurance-investment problem of an insurer whose surplus process follows a jump-diffusion model. In our model the insurer transfers part of the risk due to insurance claims via a proportional reinsurance and invests the surplus in a “simplified” financial market consisting of a risk-free asset and a risky asset. The dynamics of the risky asset are governed by a constant elasticity of variance model to incorporate conditional heteroscedasticity. The objective of the insurer is to choose an optimal reinsurance-investment strategy so as to maximize the expected exponential utility of terminal wealth. We investigate the problem using the Hamilton-Jacobi-Bellman dynamic programming approach. Explicit forms for the optimal reinsuranceinvestment strategy and the corresponding value function are obtained. Numerical examples are provided to illustrate how the optimal investment-reinsurance policy changes when the model parameters vary.