A Note on the Information Content of Relocating Corporate Domicile: A Trading Volume Approach

Overseas location of corporate domicile is not new for Hong Kong. Before the eighties, some companies operating in Hong Kong, principally shipping companies and financial institutions, registered overseas for tax purposes. Since 1989 there has been a rapid increase in the number of companies deciding to relocate, including industrial companies. This study examinies the association between sharemarket trading and the relocation announcement. The results indicate that unusually large trading volumes are observed immediately after the announcement day.     

Budget-constrained optimal reinsurance design under coherent risk measures

ABSTRACT

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the net risk exposure of a generic insurer, in conjunction with a general law-invariant comonotonic additive convex reinsurance premium principle and a premium budget constraint. Due to its intrinsic generality, this contract design problem encompasses a wide body of optimal reinsurance models commonly encountered in practice. A three-step solution scheme is presented. Firstly, the objective and constraint functions are exhibited in the so-called Kusuoka's integral representations. Secondly, the mini-max theorem for infinite dimensional spaces is applied to interchange the infimum on the space of indemnities and the supremum on the space of probability measures. Thirdly, the recently developed Neyman–Pearson methodology due to Lo (2017a) is adopted to solve the resulting infimum problem. Analytic and transparent expressions for the optimal reinsurance policy are provided, followed by illustrative examples.     

On additivity of tail comonotonic risks

ABSTRACT

As perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the course of financial turmoil or industrial accidents and outbreaks. Under this motivating paradigm, we show the universal asymptotic additivity under upper tail comonotonicity, as the probability level approaching to 1, for Value-at-Risk and Conditional Tail Expectation for a portfolio of fixed number of risks, in which each marginal risk could be any one having a finite endpoint or belonging to one of the three max domains of attraction. Our obtained results do not require the tail equivalence assumption as needed in the existing literature. This resolves a lasting problem in quantitative risk management and covers most distributions commonly encountered in practice.     

Structural and Cyclical Factors behind Current Account Balances

Global external imbalances widened persistently over the last several years and have narrowed abruptly over the course of the financial crisis. Understanding the extent to which structural or cyclical factors may have driven these patterns is important to assess the likely evolution of global imbalances going forward, as well as the potential adjustment that can be achieved through changes in policy. This paper assesses the link between structural and cyclical factors and current account balances using a panel of 94 countries from 1973 to 2008. We find that the medium‐term evolution of global external imbalances can be related in large part to structural factors including cross‐country differences in demographics, fiscal deficits, oil dependency and intensity, stage of economic development, financial market development, and institutional quality. Part of the narrowing in current account balances since the financial crisis appears to be related to various cyclical factors including changes in output growth, oil prices, and exchange rates, and may be expected to reverse alongside the economic recovery.     

Relative Performance Incentives and Price Bubbles in Experimental Asset Markets

We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked by relative performance as measured by short‐term paper returns. Those who rank highly attract a larger share of new fund inflows. In an environment in which prices are typically close to intrinsic value, the effect of these incentives is mild. However, in an environment in which markets are prone to bubble, mispricing is greatly exacerbated by relative performance incentives and becomes even more pronounced with experience.     

A Tale of Two Surplus Countries: China and Germany

Open Economies Review - We analyze current account imbalances through the lens of the two largest surplus countries; China and Germany. We observe two striking patterns visible since the 2007/8...     

The economic burden of psoriasis with high comorbidity among privately insured patients in the United States

Objective: To evaluate the impact of comorbidities on healthcare resource use (HRU), and direct and indirect work-loss-related costs in psoriasis patients.

Methods: Adults with psoriasis (≥2 diagnoses, the first designated as the index date) and non-psoriasis controls (no psoriasis diagnoses, randomly generated index date) were identified in a US healthcare claims database of privately-insured patients (data between January 2010 and March 2017 were used). Psoriasis patients were stratified based on the number of psoriasis-related comorbidities (0, 1–2, or ≥3) developed during the 12?months post-index. All outcomes were evaluated during the follow-up period, spanning the index date until the end of continuous health plan eligibility or data cut-off. HRU and costs per-patient-per-year (PPPY) were compared in psoriasis and non-psoriasis patients with ≥12?months of follow-up.

Results: A total of 9,078 psoriasis (mean age?=?44?years, 51% female) and 48,704 non-psoriasis (mean age?=?41?years, 50% female) patients were selected. During the 12?months post-index, among psoriasis vs non-psoriasis patients, 71.0% vs 83.0% developed no psoriasis-related comorbidities, 26.3% vs 16.0% developed 1–2, and 2.6% vs 1.0% developed ≥3 psoriasis-related comorbidities. Compared to non-psoriasis patients, psoriasis patients had more HRU including outpatient visits (incidence rate ratios [IRRs]?=?1.52, 2.03, and 2.66 for 0, 1–2, and ≥3 comorbidities, respectively [all p?p?p?p?Conclusions: HRU and cost burden of psoriasis are substantial, and increase with the development of psoriasis-related comorbidities.     

A learning-based variable assignment weighting scheme for heuristic and exact searching in Euclidean traveling salesman problems

Many search algorithms have been successfully employed in combinatorial optimization in logistics practice. This paper presents an attempt to weight the variable assignments through supervised learning in subproblems. Heuristic and exact search methods can therefore test promising solutions first. The Euclidean Traveling Salesman Problem (ETSP) is employed as an example to demonstrate the presented method. Analysis shows that the rules can be approximately learned from the training samples from the subproblems and the near optimal tours. Experimental results on large-scale local search tests and small-scale branch-and-bound tests validate the effectiveness of the approach, especially when it is applied to industrial problems.     

Attributes affecting the level of tourist satisfaction with and loyalty towards theatrical performance in China: Evidence from a qualitative study

This study seeks to explore attributes affecting the level of tourist satisfaction with and loyalty towards theatrical performance in China. Based on four focus group discussions with 31 participants, the study identifies 34 attributes that affect the level of tourist satisfaction with theatrical performance, and groups them into five categories: stage, performance, venue, service and tourist‐related attributes. The findings on tourist loyalty reveal that 21 of the 31 respondents would not watch the same theatrical performance alone in the future; however, they would recommend it to others. The study concludes with a discussion of the rich and insightful findings and their implications for tourism industry practitioners. Copyright © 2010 John Wiley & Sons, Ltd.     

China's Outward Direct Investment in Africa

The empirical determinants of China's outward direct investment (ODI) in Africa are examined using an officially approved ODI dataset and a relatively new OECD–IMF format ODI dataset. China's ODI is found responding to the canonical economic determinants that include the market seeking motive, the risk factor, and the resources seeking motive. It is also affected by the intensity of trade ties and the presence of China's contracted projects. A host country's natural resources have an impact on China's decision on how much to invest in the country rather than on whether to invest in the country or not. China's drive for Africa's natural resources is mainly a recent phenomenon and, probably, became prominent after the “Going Global” policy adopted in 2002.