On the calibration of distortion risk measures to bid-ask prices

We investigate the calibration of a non-linear pricing model to quoted bid-ask prices and show the existence of a solution in a broad class of distortion risk measures, following the frameworks of Cherny and Madan [Int. J. Theor. Appl. Financ., 2010, 13(8), 1149–1177] and Bannör and Scherer [Eur. Actuarial J., 2013, 3(1), 97–132]. We present an approximation of distortion risk measures by a piecewise linear approximation of concave distortions. This is used to construct a tractable non-parametric calibration procedure to bid-ask prices based on piecewise linear concave distortion functions. To analyze the specific structure of distortion functions, we calibrate quoted bid-ask prices non-parametrically and w.r.t. parametric families and obtain a jump-linear structure. Hence, we suggest considering the parametric family of ript>rc="/na101/home/literatum/publisher/tandf/journals/content/rquf20/2014/rquf20.v014.i07/14697688.2014.887220/20140616/images/rquf_a_887220_o_ilm0001.gif" alt=" />ript>rc="//:0" alt=" class="no-mml-formula" data-formula-source="{"type" : "image", "src" : "/na101/home/literatum/publisher/tandf/journals/content/rquf20/2014/rquf20.v014.i07/14697688.2014.887220/20140616/images/rquf_a_887220_o_ilm0001.gif"}" />-expectation convex combinations as a possible family of distortion functions. This family allows fast and efficient calibration and has an appealing economic interpretation.     

Distribution of responsibility in socio-technical networks: the Promest case

The aim of the present paper is to show how (informal) responsibility issues within the context of a network are essentially related with the way networks are organised in order to pursue their objectives. We conceive of organisations as having at least three relevant dimensions: power, coordination and control. The case of the Dutch manure processing factory Promest is analysed in terms of these three dimensions. The analysis provides an illustration of how the dimensions enable actors to discharge their responsibilities, thereby offering insight in responsibility issues within a group of actors and contributing to the prevention of the problem of many hands.     

A structural Bayesian VAR for model-based fan charts

Inflation forecast uncertainty is of importance for a wide range of agents in the economy, central banks in particular. Ways to describe and account for this uncertainty in a consistent manner have received increasing attention of late, in part due to the growing number of inflation-targeting central banks. This article develops a large structural VAR for the Swedish economy and estimates it in a Bayesian framework. The methodology permits not only structural interpretation and analysis but offers a natural way to formalize forecast uncertainty, as the posterior predictive density from the model has the interpretation of a fan chart.     

Systematic stress tests with entropic plausibility constraints

Stress tests with handpicked scenarios might misrepresent risks either because dangerous scenarios are not considered or because the scenarios considered are too implausible. To overcome these two pitfalls we propose a systematic search for the worst case within a relative entropy ball of sufficiently plausible scenarios. For this purpose we use mixed scenarios, which are risk factor distributions rather than realisations. A Maximum Loss theorem explicitly gives the worst case distribution. The method is illustrated in a number of example applications: linear and quadratic portfolios, stressed default probabilities, stressed correlations, macroeconomic stress tests.     

Monitoring Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is the market for bank’s exchange-traded option contracts. In this paper, we first extract implied volatility indicators from the prices of option contracts on financial firms’ equity. We then examine empirically their ability to predict financial distress by applying survival analysis techniques to a sample of large US financial firms. We find that market indicators extracted from option prices significantly explain the survival time of troubled financial firms and do a better job in predicting financial distress than other time-varying covariates typically included in bank failure models. Overall, both accounting information and option prices contain useful information of subsequent financial problems and, more importantly, their combination produces good forecasts in a high-stress financial world.     

A contribution to the theory of statistical estimation

1. The Estimation Problem.

In problems of statistical estimation, we are concerned with certain variables assumed to be random variables having more or less unknown probability distributions. A number of observed values of these variables are given, and it is required to use these values to learn something about the unknown distributions.     

Über das Makeham'sche Gesetz und das Zinsfussproblem bei der Leibrente

Abstract

In dem Folgenden werde ieh einige praktisehe Folgen einigen der vielen bis heute ersehienenen Arbeiten ü das MAKEHAM'sche Sterblichkeitsgesetz und das versicherungstechnische Problem bei Zinsänderungen andeuten. Es handelt sich um einige Zusammenstellungen für die praktische Verwendung einigen der vielen schönen theoretischen Resultaten in diesem Gebiete der Versicherungsmathematik; praktische Zusammenstellungen, die mir bekannt nicht früher klar ausgesprochen worden sind.     

Medizintechnik und Pflege

Perspektiven der Medizintechnik und pharmazeutischen Industrie — Der Gesundheitsmarkt ist ein Wachstumsmarkt. Was wird erwartet und wie wird sich die prognostizierte Entwicklung auf medizinisch-pflegerische Behandlungen auswirken?