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Ayşe Arık Yeliz Yolcu-Okur Şule Şahin Ömür Uğur 《Scandinavian actuarial journal》2018,2018(3):173-190
Pension buy-out is a special financial asset issued to offload the pension liabilities holistically in exchange for an upfront premium. In this paper, we concentrate on the pricing of pension buy-outs under dependence between interest and mortality rates risks with an explicit correlation structure in a continuous time framework. Change of measure technique is invoked to simplify the valuation. We also present how to obtain the buy-out price for a hypothetical benefit pension scheme using stochastic models to govern the dynamics of interest and mortality rates. Besides employing a non-mean reverting specification of the Ornstein–Uhlenbeck process and a continuous version of Lee–Carter setting for modeling mortality rates, we prefer Vasicek and Cox–Ingersoll–Ross models for short rates. We provide numerical results under various scenarios along with the confidence intervals using Monte Carlo simulations. 相似文献
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The mandate of the broader private equity “ecosystem” goes well beyond earning competitive returns for the limited partners and their beneficiaries. After noting that PE investing is encountering ever larger “headline” and social risks, the panelists were in complete agreement that LPs should exert greater pressure on PE sponsors to take account of and try to address negative externalities when buying and operating their portfolio companies. Bain Capital's Double Impact Fund, for example, while always looking for ways of increasing profits and reducing risk, sets out to have a positive influence on its non‐investor stakeholders, including employees. To that end, Bain develops and tracks company‐specific metrics linked to positive outcomes, and then links those metrics to management compensation. And the director of ESG programs at the International Limited Partners Association points to ILPA's programs for diversity and inclusion as a promising model. 相似文献
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In this essay, we explore the origins of the ability to produce surplus value through human labor. The main hypothesis is that the safety factor for energy capacity in humans determines the surplus value of human labor in human societies. We estimate the safety factor for Homo sapiens to be around 2.78. This is based on the rise of the encephalization quotient from 2.5 in Australopithecus africanus to 5.8 in H. sapiens, and we assume this rise is matched by a rise in the safety factor from 1.2 to 2.78. Being a communal species compels human individuals to produce both their personal and their community’s energy need. The possible correlation between Dunbar’s number and the safety factor of energy production capacity provides a very essential feature of human labor, namely “surplus value”. The average labor activity of a modern human is sufficient to provide energy for two to three people’s energy burden in a community. Human labor not only produces the energy for survival of an individual but also produces a surplus due to the safety factor. Therefore, work activity of an individual enables them to supply more than they need for themselves as a value. 相似文献
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Empirical demand analysis is usually conducted on the basis of either ‘regularity’ or ‘flexibility’. This paper takes a middle ground between ‘regularity’ and ‘flexibility’, offering a compromise in the form of a new specification termed ‘REDS’. 相似文献
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This study explores the nexus between foreign aid, war on terror, and terrorism in Pakistan for the period 1972–2010. By making use of Johansen method of cointegration, the paper concludes that, contrary to the popular assumption, there is no association between foreign assistance and conflict in Pakistan. However, the impact of foreign aid on terrorism is positive in the long run during the war on terror period. Furthermore, the positive impact of GDP on terrorism mirrors the fact that militants consider terrorist attacks a feasible option compare to open war in face of enhanced state capacity. The study also unearths the non-linear U-shape relationship between political repression and violence in the long run. 相似文献
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The financing channel of a fiscal stimulus matters for the size and the sign of the fiscal multiplier. We develop a general equilibrium model where a fiscal stimulus is partially bank-funded and the government becomes the dominant borrower from banks relative to entrepreneurs. This leads to a negative impact on credit spreads, investment and a contraction in output. We support our story with a structural vector autoregression for a sample of developing countries featuring the dominant borrower syndrome. 相似文献
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This paper deals with the empirical investigation of causal relationship between financial deepening, economic growth and poverty reduction using quarter frequency data in case of Pakistan over the period of 1972–2011. We applied the autoregressive distributed lag model bounds testing approach by incorporating structural breaks stemming in the series. The order of integration of the variables is examined by applying structural break unit root test. Our empirical exercise indicated that the long run relationship between financial deepening, economic growth and poverty reduction exists in case of Pakistan. The causality analysis implied that causality results are sensitive with the use of proxy for poverty reduction. 相似文献