Robust Actuarial Risk Analysis

This article investigates techniques for the assessment of model error in the context of insurance risk analysis. The methodology is based on finding robust estimates for actuarial quantities of interest, which are obtained by solving optimization problems over the unknown probabilistic models, with constraints capturing potential nonparametric misspecification of the true model. We demonstrate the solution techniques and the interpretations of these optimization problems, and illustrate several examples, including calculating loss probabilities and conditional value-at-risk.     

Seismic vulnerability assessment of historical urban centres: case study of the old city centre of Faro,Portugal

The necessity of implementing seismic vulnerability assessment procedures to the Portuguese building stock has become urgent as recent predictions indicate the possibility of the occurrence of an earthquake similar to the well-known 1755 Lisbon earthquake within the next 50 years. Obviously, at first instance, large-scale procedures should be used rather than more extensive and accurate methodologies suited for individual buildings assessment. Moreover, it is fundamental to operate in the most vulnerable areas in our built environment, typically, the historical urban centres. As it is recognised, it is within these areas, that old masonry buildings are generally concentrated, being both the most representative and vulnerable constructive typology. Comprising 354 buildings, the case study of the old city centre of Faro is herein presented aiming at analysing and evaluating the seismic vulnerability of its old masonry building stock. In order to achieve these objectives, a vulnerability-index-based methodology was used for the assessment of the seismic vulnerability of the old masonry buildings belonging to the historical centre of Faro (Ribeirinha area) carried out through detailed inspection and survey. The results obtained were analysed using a geographical information system tool. The integration of such vulnerability and loss results represents a valuable tool for city councils and/or regional authorities to plan interventions, on the basis of a global view of the site under analysis, leading this way to more accurate and comprehensive risk mitigation strategies which comply with the requirements of safety and emergency planning. The application of this large-scale scoring methodology has confirmed moderate-to-high values for the vulnerability of this particular area, which combined with its high seismicity, may be quite alarming.     

Mergers & acquisitions and the acquirer-target cultural differences

Review of Quantitative Finance and Accounting - We investigate the impacts of cultural environment on mergers and acquisitions (M&A) in the U.S. To measure the cultural environment of a...     

Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics

Asia-Pacific Financial Markets - This paper tests for structural changes in the duration of bull regimes in 18 developed and emerging economies’ adjusted market capitalization stock indexes,...     

Evolution of Strategic Levers in Insurance Claims Management: An Industry Survey

This article discusses competing strategic goals and success factors in nonlife insurers' claims management using new and ad hoc empirical data. We structure the study of the companies' aims along the three main conflicting goals: (1) the minimization of claims volume, (2) the optimization of internal claims processes, and (3) the maximization of customer satisfaction. We analyze the insurance industry perspective through a qualitative survey carried out in Germany and Switzerland. Findings on the current and expected importance of selected topics are derived. The results shall lead to managerial implications improving industry practice and serve as a starting point for further research. Our findings are relevant for academics and practitioners beyond the two markets surveyed in the study.     

The Pricing Structure of Legal Services: Do Lawyers Offer What Clients Want?

Review of Industrial Organization - We analyze clients’ contract choices in auctions where Dutch law firms compete for standard cases such as labor disputes for individuals and collecting...     

Product Liability and Strategic Delegation: Endogenous Manager Incentives Promote Strict Liability

Review of Industrial Organization - We derive the socially optimal allocation of liability for product-related accidents when firms delegate their output and safety choices to managers under a...     

Do the prices of stock index futures in Asia overreact to U.S. market returns?

We extend the overreaction study to interaction of international markets and find that intraday price reversals exist in Asian index futures markets following extreme movement in U.S. market. Profitable opportunities exist after considering transaction cost. We show that the reversal cannot be explained by rational arguments such as risk, liquidity and bid-ask spread. We further observe that a magnitude effect exists. Overreaction is more prominent in the latter period than in the initial period. After calm-down periods, overreaction is greatly reduced. These observations support the explanation that the source of price reversals lies in behavioral biases.     

The impact of the Internet upon bank marketing

Information and communication are critical to developing customer relationships. Thus, new information and communication technologies (NICTs) became a key knowledge tool for the organisation within a relationship marketing strategy. Retail banking is a good example of a sector in which the virtualisation of relationships is increasing. However, there is no consensus as to whether banking relationships are strengthened or weakened by the use of technology. This article discusses the virtualisation of the interaction processes between banks and their customers and analyses the influence of the Internet on these relationships. A questionnaire was distributed by mail to 340 Internet banking services’ users. A principal components analysis and a multiple regression analysis were conducted in order to discuss the relationship between the identified dimensions of Internet banking and relationship marketing. The research finds three factors related to the use of Internet banking which strengthen the relationships between banks and their customers: the intensity of Internet use, the diversity of access locations and the diversity of Internet applications. From a managerial point of view, these findings have implications for the development of new relationship approaches based on technology.