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.     

A note on deficit analysis in dependency models involving Coxian claim amounts

In this paper, we consider a fairly large class of dependent Sparre Andersen risk models where the claim sizes belong to the class of Coxian distributions. We analyze the Gerber–Shiu discounted penalty function when the penalty function depends on the deficit at ruin. We show that the system of equations needed to solve for this quantity is surprisingly simple. Various applications of this result are also considered.     

The Role of Fashion Brand Authenticity in Product Management: A Holistic Marketing Approach

This study explores the multidimensional construct of brand authenticity and the effect of each component on brand attachment, brand commitment, and brand loyalty by focusing on fashion brands in sporting goods. For this study, two global sports brands, Nike and Adidas, were selected, and brand stimuli (cartoons with scenarios) were designed based on a qualitative analysis of brand cases. A total of 207 usable responses were obtained from Korean consumers who had purchased the selected brands. The findings show that fashion brand authenticity consisted of seven factors: authority, fashionability, consistency, innovativeness, sustainability, origin, and heritage. Of these factors, authority, fashionability, innovativeness, and sustainability were significant predictors of brand attachment, and authority, consistency, and innovativeness were significant predictors of brand loyalty. There were differences in the effects of brand authenticity on brand attachment and brand commitment between Nike and Adidas. From a managerial and holistic marketing perspective, implications are suggested regarding the importance of managing brand authenticity in product innovation and management approaches.     

Short sales and put options: Where is the bad news first traded?

Although the literature provides strong evidence supporting the presence of informed trading in both the option and the short equity markets, it is not clear which market attracts more informed trading. Using a unique dataset that covers intraday transaction data in the option and short equity markets, we investigate informed trading in a cross-market environment by explicitly studying the lead–lag relationship between the put net trade volume and short sales of the underlying stock. Our high frequency analysis shows that in general short sales contain more information. However, put options become more informative before the release of negative earnings announcements.     

Inferring international dotcom Web communities by link and content analysis

This study investigates international hyperlink networks and their content in terms of the .com domain, the most ubiquitous generic top-level domain, to examine the kinds of global websites that are linked to .com, what the linked contents are, and who are dealing with the hyperlinks. The results show the hyperlink network of websites with outgoing hyperlinks to .com websites indicates the dominant centrality of the U.S., whereas that of those with incoming hyperlinks from .com websites illustrates a core–periphery structure centered about the U.S. and other superpowers. The most globalized topics covered by websites linked to .com websites are business, the Internet and computers, recreation and entertainment, and personal interests. Many of the websites with outgoing hyperlinks to .com websites use only one non-English language. The predominant use of English by websites with outgoing hyperlinks to .com websites demonstrates the centrality of countries using English as the mother language in hyperlinked societies on the Web. The implications of these findings and further research are discussed.     

Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach

This paper undertakes an empirical investigation into the existence of inflationary bubbles during the inter-war European hyperinflation for Germany, Hungary, Poland and Russia. Our Monte Carlo simulations show that the residual-based threshold cointegration methodology of Caner and Hansen (2001) is better able to detect periodically collapsing bubbles. Moreover, this methodology possesses greater power against nonlinear stationary alternatives in a finite sample than several commonly used cointegration tests that do not allow for multiple regime shifts. The empirical results of the threshold cointegration tests provide evidence of stationary, regimeswitching processes in money demand dynamics, but suggest that there are no inflationary bubbles in any of the countries.     

Modeling tourists' visiting intentions toward ecofriendly destinations: Implications for sustainable tourism operators

The previous literature has overlooked the examination of tourists' visiting intentions for ecofriendly destinations. Hence, anchored in Schwartz (1992) personal values and the theory of planned behavior (TPB), the present study aims to develop a research model for application in Chinese settings. Survey findings from 467 tourists reveal significant positive relationships between tourists' values of resultant self‐transcendence and conservation and TPB factors (i.e., attitude, subjective norms, and perceived behavioral control), with the exception of the relationship between conservation and perceived behavioral control. Moreover, TPB factors and perceived green image were found to have positive effects on tourists' intentions to visit ecofriendly destinations. In addition, environmental consciousness positively moderates the relationships between the two Schwartz values and attitude. Theoretical implications are provided, and the study's findings have strategic practical implications for business managers. We acknowledge the study's limitations and offer research directions for future ecofriendly tourism scholars.     

Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels

Stationary bootstrapping is applied to a CUSUM test for common mean break detection in cross-sectionally correlated panel data. Asymptotic null distribution of the bootstrapped test is derived, which is the same as that of the original CUSUM test depending on cross-sectional correlation parameter. A bootstrap test using the CUSUM test with bootstrap critical values is proposed and its asymptotic validity is proved. Finite sample Monte-Carlo simulation shows that the proposed test has reasonable size while other existing tests have severe size distortion under cross-section correlation. The simulation also shows good power performance of the proposed test against non-cancelling mean changes. The simulation also shows that the theoretically justified stationary bootstrapping CUSUM test has comparable size and power relative to other, theoretically unjustified, moving block or tapered block bootstrapping CUSUM tests.     

Marketing research in Korea: Special joint issue of journal of business research and journal of the Korean academy of marketing science

This special joint issue of the Journal of Business Research with the Journal of the Korean Academy of Marketing Science contains nine articles that were originally presented at the Fall 2005 Korean Academy of Marketing Science (KAMS) International Conference and the Spring 2006 KAMS International Conference. After a blind review process, 120 papers were accepted for conference proceedings. Of these papers, the conference selection committee selected 20 papers as outstanding contributions to the marketing literature. A board of review members blind reviewed these 20 papers and accepted 9 of them for this special issue. Contributions to marketing literature are discussed.