An Elementary Upper Bound for the Loading of a Stoploss Cover

Abstract

The famous reinsurance treaty, called stoploss cover, is reconsidered. By applying the well-known Cauchy-Schwarz inequality an elementary bound is derived for the variance of the claims amount taken by the reinsurer. This gives an upper bound for the loading of the treaty in case of using the standard deviation or variance principle.     

From constrained optimization to constrained dynamics: extending analogies between economics and mechanics

Economic equilibrium models have been inspired by analogies to stationary states in classical mechanics. To extend these mathematical analogies from constrained optimization to constrained dynamics, we formalize economic (constraint) forces and economic power in analogy to physical (constraint) forces and the reciprocal value of mass. Agents employ forces to change economic variables according to their desire and their power to assert their interest. These ex-ante forces are completed by constraint forces from unanticipated system constraints to yield the ex-post dynamics. The differential-algebraic equation framework seeks to overcome some restrictions inherent to the optimization approach and to provide an out-of-equilibrium foundation for general equilibrium models. We transform a static Edgeworth box exchange model into a dynamic model with procedural rationality (gradient climbing) and slow price adaptation, and discuss advantages, caveats, and possible extensions of the modeling framework.

     

Asymptotic optimality of all signed rank tests at infinity

All signed rank tests are proved to have the same optimal BAHADUR efficiency, when the alternative tends to infinity. This result underlines the significance of the classical approach of comparing rank tests under local alternatives (comp. KREMER [7], [8]).     

Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures

Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of estimating persistence. Furthermore, some of the criticism leveled in the literature against the use of ARMA models for estimating long run properties is put into perspective. Methodological issues arising in the estimation of ARMA models that are relevant to estimation of persistence are discussed. It is shown how overparameterization of an ARMA model may lead to severely downward biased estimates of persistence. The theoretical results are employed to explain some of the findings in Campbell & Mankiw (1987a) and Christiano & Eichenbaum (1990). The methodological aspects of the paper are also relevant for the problem of estimating the value of a spectral density at any given frequency. An empirical study confirms persistence estimates reported in Campbell & Mankiw (1987a), and shows that ARMA models as well as nonparametric procedures give very similar estimates of persistence if properly applied. First version received: May 1996/final version received: March 1998     

Semi-Automatic Identification of Counterfeit Offers in Online Shopping Platforms

Product counterfeiting in online platforms is an increasingly serious problem causing estimated losses of billions of dollars every year. The huge number of online shops and offered products call for largely automated approaches to identify likely counterfeits, although identifying counterfeits is very difficult even for humans. The authors propose the adoption of a semi-automatic workflow to inspect product offers in online platforms and to determine likely counterfeit offers based on different criteria. Such suspicious offers are to be presented to a domain expert for manual verification. The workflow includes steps to match and cluster similar product offers, and to assess the counterfeit suspiciousness based on different criteria. The goal is to support the periodic identification of many counterfeit offers with a limited amount of manual effort. The authors also present a preliminary evaluation of the proposed approach on a case study using the eBay platform.     

Robust tests of the random walk hypothesis

In this article, simple tests of the random walk hypothesis are proposed that are robust against various kinds of conditional heteroskedasticity, non-stationarities, calendar effects and non-synchronous trading effects. In contrast, conventional tests are usually only robust against conditional heteroskedasticity. The robustness of the tests proposed in this paper is based on the fact that they examine the four popular summary measures (open, close, high, low) for each trading day separately. The results of a simulation study show that the tests are also quite robust against certain intraday anomalies like increased volatility at the beginning and at the end of the trading session. There is also evidence that the tests are robust against asymmetries in the returns.     

UNCTAD III—Outcome still undecided

When the United Nations Conference on Trade and Development meets in Santiago de Chile on April 13, 1972, for its third full session, the representatives of 140 states and multllateral organisations will be faced with a very comprehensive programme including quite a few subjects of dispute. This article by Dr Eppler, the Federal Minister for Economic Cooperation, points out some of the problems on the agenda of the third UNCTAD.