A proposition of generalized stochastic Milevsky–Promislov mortality models

The aim of this article is to propose a new approach to the estimation of the mortality rates based on two extended Milevsky and Promislov models: the first one with colored excitations modeled by Gaussian linear filters and the second one with excitations modeled by a continuous non-Gaussian process. The exact analytical formulas for theoretical mortality rates based on Gaussian linear scalar filter models have been derived. The theoretical values obtained in both cases were compared with theoretical mortality rates based on a classical Lee–Carter model, and verified on the basis of empirical Polish mortality data. The obtained results confirm the usefulness of the switched model based on the continuous non-Gaussian process for modeling mortality rates.     

TECHNOLOGICAL EPOCHS AND BRITISH INDUSTRIAL PRODUCTION, 1700–1992

This paper presents results on the persistence of British industrial production using the Cochrane (1988) measure, based upon the spectral density at zero frequency, and an extended version of the Crafts-Harley (1992) data set. Utilising results on the timing of macroeconomic epochs, consideration is given to the effects of structural breaks on measures of persistence. In addition the variance composition of production is analysed via consideration of the cycle period. The results show high persistence during the Industrial Revolution and lower levels of persistence experienced during the twentieth century. The problems of ignoring structural breaks when claculating measures of persistence are highlighted and used to explain the results of some previous studies.     

The Dynamics of the S&P 500 Implied Volatility Surface

This empirical study is motivated by the literature on “smile-consistent” arbitrage pricing with stochastic volatility. We investigate the number and shape of shocks that move implied volatility smiles and surfaces by applying Principal Components Analysis. Two components are identified under a variety of criteria. Subsequently, we develop a “Procrustes” type rotation in order to interpret the retained components. The results have implications for both option pricing and hedging and for the economics of option pricing. This revised version was published online in June 2006 with corrections to the Cover Date.     

The adoption and impact of engineering‐type measures to address climate change: evidence from the major grain‐producing areas in China

Employing an endogenous switching regression model, we investigate the drivers underlying the adaptations made by farm households and their impacts on crop net incomes for adopters and nonadopters, based on a large panel survey data set across the major grain‐producing provinces in China. The results show that: (i) access to public climate information and technical or physical support increases the likelihood that farmers adapt to climate change by undertaking irrigation and/or drainage measures; and (ii) decisions to adapt increased crop yield, but they did not significantly increase crop profit margins. This point appears to have been ignored by previous studies. Based on these new empirical results, the paper suggests that government should continue to provide climate information and various types of supports to improve farmers’ adaptation abilities and help to reduce the levels of factor input by, for example, substituting organic for chemical fertiliser inputs. Such government‐led policies should be supported alongside the implementation of domestic agricultural supply‐side reform.     

Natural growth goals and short- term training: a boomerang effect

The purpose of this research project was to determine the effect of a training session about achieving natural growth goals on perceptions of a university classroom as a learning organisation. The results indicated that a short training session on how to achieve natural growth goals in an organisation appeared to have a boomerang effect on perceptions of a university classroom as a learning organisation. This study should alert us to the inevitable consequence of having our best training efforts backfire when they conflict with powerful, though latent, beliefs or cultural values.     

Socializing children about television: An intergenerational study

This article describes a study on mothers’ views of television and children’s perceptions of their mothers’ socialization efforts regarding television. Results from the investigation involving 174 mother and child (in Grades 3–6) dyads suggest that mothers’ perceptions of their responsibilities regarding children’s television viewing vary by parental style. In addition, children’s perceptions of mothers’ verbal interactions about TV and coviewing together with opinions, monitoring, and controlling of television similarly vary across parental styles. These findings support previous research that parental styles play a role in determining the manner in which mothers socialize their offspring about television. Les Carlson (Ph.D., University of Nebraska-Lincoln) is a professor of marketing at Clemson University. His research interests center on consumer socialization and environmental advertising. His work has appeared inInternational Marketing Review, Journal of the Academy of Marketing Science, Journal of Advertising, Journal of Business Research, Journal of Consumer Affairs, Journal of Consumer Psychology, Journal of Consumer Research, Journal of Current Issues and Research in Advertising, Journal of General Psychology, Journal of Macromarketing, Journal of Marketing Education, Journal of Marketing Theory and Practice, Journal of Personal Selling and Sales Management, Journal of Public Policy and Marketing, and various conference proceedings. He is a past editor of theJournal of Advertising. Russell N. Laczniak (Ph.D., University of Nebraska-Lincoln) is a professor of marketing and chair, Departments of Management and Marketing, at Iowa State University. His primary research interests deal with marketing communication. His research has been published in theJournal of Consumer Psychology, Journal of Advertising, Journal of Current Issues and Research in Advertising, Journal of the Academy of Marketing Science, Journal of Public Policy & Marketing, Journal of Consumer Affairs, Journal of Business Research, Psychology and Marketing, Journal of Marketing Theory and Practice, Journal of Marketing Communications, Marketing Letters, and various conference proceedings. Ann Walsh (Ph.D., University of Nebraska-Lincoln) is an assistant professor of marketing at Western Illinois University. She has published in theJournal of Advertising, Journal of the Academy of Marketing Science, Journal of Consumer Affairs, and American Marketing Association Educators’ Proceedings.     

Are China's energy markets cointegrated?

The paper investigates energy price co-movement over the period 01/1999–12/2005 for China as a whole, and over sub-periods and for seven regions, using panel unit root and panel cointegration tests developed by Pedroni (1999, 2004). The results suggest that not all energy sources are spatially homogenous in prices and the processes of energy price cointegration are different over sub-periods; over groups of fuels; and over regions. Coal and electricity prices have co-moved since 2003 while gasoline and diesel prices have co-moved since 1997. The results show that there are clearly variations in the emergence of energy price co-movement over regions, implying that regional fuel markets have emerged in China. Important lessons that can be learnt from the results are that an energy market has, to some extent, already emerged in China and, as a result, energy prices are substantially less distorted than before. If correct, these findings have significant global implications both in terms of future emission reductions, emission trading and trade negotiations where China should be treated as a ‘market driven economy’.     

Industry eco-innovation strategies for process upgrading: systemic limits of internalising externalities

Industry has been upgrading its production processes through eco-innovation combining environmental and economic benefits, thus reducing some resource burdens which otherwise lie outside economic accounting. Some companies have shown interest in evaluating investment options for resource burdens and total value added across a whole-system value chain. Our EC research project developed a method for whole-system assessment of eco-innovation with multi-stakeholder cooperation. In three cases presented here, tensions arise among various aims, resource burdens, system levels, beneficiaries and timescales, thus complicating the concept of eco-innovation as a win–win strategy. Radical eco-innovation would depend on extra functions, value-chain actors and resource usages which can provide greater overall benefits. But such investment faces many systemic obstacles. Eco-innovation remains path dependent, thus limiting the scope to internalise environmental externalities. The tensions and difficulties cast doubt on an EC strategy emphasising uptake of eco-innovative technologies as the means to decouple economic growth from resource burdens.     

Sharp approximations of ruin probabilities in the discrete time models

According to Solvency II directive, each insurance company could determine solvency capital requirements using its own, tailor made, internal model. This highlights the urgency of having fast numerical tools based on practically-oriented mathematical models. From the Solvency II perspective discrete time framework seems to be the most relevant one. In this paper, we propose a number of fast and accurate approximations of ruin probabilities involving some integral operator and examine them along strictly theoretical as well as numerical lines. For a few claim distributions the approximations are shown to be exact. In general, we prove that they converge with an exponential rate to the exact ruin probabilities without any restrictive assumptions on the claim distribution. A fast algorithm to approximate ruin probabilities by a numerical fixed point of the involved integral operator is given. As an application, ruin probabilities for, e.g. normally and Weibull – distributed claims are computed. Comparisons with discrete time counterparts of some continuous time approximation methods are also carried out. Numerical studies show that our approximations are precise both for small and large values of the initial surplus u. In contrast, the empirical De Vylder-type ones strongly depend on the claim distributions and are less precise for small and medium values of u.