Finding Pareto Optimal Insurance Contracts

This paper deals with on-line computation—or step-wise learning—of Pareto optimal insurance contracts. Our approach tolerates that the loss distribution might be unknown, intractable, or not well specified. Thus we accommodate fairly inexperienced parties. Losses are here simulated or observed, one at a time, and they cause iterated revisions of the premium. The mechanical and global nature of probability calculus thereby yields to more tentative, myopic procedures, possibly closer to how humans operate or reason in face of risk. Sequential revisions may also reduce the expense of insurers' time and money in seeking sufficient statistics. Emphasized below is the remarkable simplicity and stability of the resulting adaptive procedures. Special attention goes to catastrophic risks, and to subsidized or competitive insurance.     

The Falsification of Four Popular Hypotheses About the Asian Crisis

Various claims have been made about the causes of the Asian crisis and its spread. Here, we use data on the behaviour of capital flows during the crisis to test the strong forms of four such hypotheses, that portfolio investors and hedge funds played a dominant role in initiating and/or spreading the crisis; that moral hazard kept efficient markets from predicting the crisis; and, finally, the common lender hypothesis of Kaminsky and Reinhart. In the process we also test implications of the Calvo-Mendoza model of rational investor ignorance. All are falsified as monocausal explanations. For example, portfolio investments that could not have been subject to substantial moral hazard continued to flow into Asia until very shortly before the crisis. Likewise, banks were a much larger source of capital outflows during the crisis than were portfolio investors. While falsified in their strongest forms, several of these hypotheses in less strong forms should play a role in a more nuanced analysis. It is necessary to move past simple single-factor approaches in order to produce a more complete, synthetic explanation of this episode.     

Factors that affect accountant's perceptions of alternative work arrangements

Advances in technology have impacted accounting careers with resulting changes in where, when and how accountants perform their job duties. In addition, employee attitudes towards, and need for, better work/life balance has led to more firms offering alternate work arrangements (AWA). Research suggests that AWA programs can lead to many benefits for both employers and employees. Despite the prevalence of these programs there are relatively few accountants working under these arrangements and concerns about work/life balance continue. This study examines factors that shape perceptions of the cost and benefits associated with the adoption and/or support of AWAs across work culture, gender and participation experience. Our results suggest that work environment had a significant effect on perceptions of AWAs. Public accountants perceived greater costs related to career advancement but correspondingly less concern about administrative issues than management accountants. We also found that accountants who have participated (or are currently participating in an AWA), perceived greater benefits and less concern for potential negative consequences to their careers than non-participants. Finally, women perceived greater benefits to result from participation in an AWA and men perceived correspondingly more costs. Regardless, both genders perceived that AWAs were not strictly a women's issue. These findings contribute to our understanding of alternate work arrangements and point to factors that must be addressed to increase the acceptance and success of these programs.     

Baseline assessment of metals and hydrocarbons in the sediments of Lake Mulwala, Australia

An assessment of hydrocarbon and metal/metalloids (arsenic, cadmium, copper, lead, mercury, selenium, zinc) contamination in sediments from Lake Mulwala, Australia, was undertaken. The objectives of the study were: (i) to determine the extent of contamination in the lake sediments, compared to Australian and international sediment quality guidelines, and (ii) to attempt to identify the contaminant sources to the lake. With the exception of a few samples containing elevated levels of arsenic and/or mercury, the levels of all contaminants in the sediment samples taken from the lake were below the ‘lower trigger’ of the Australian Sediment Quality Guidelines that would warrant further investigation. High molecular weight hydrocarbons (up to 700 mg kg⁻¹) were found in most sediment samples. Non‐metric statistical analysis indicated that the contaminant distribution was different in different parts of the lake, with the lowest concentrations generally found at the influent to the lake. No definitive source(s) of contamination could be identified for either metalloids or hydrocarbons.     

Simultaneous visualisation of biofouling, organic and inorganic particle fouling on separation membranes.

Fouling is a major problem in membrane processes of water treatment. It can be caused by the deposition of inorganic and organic particulate material, and of microbial cells which may subsequently form biofilms. In practice, usually more than one foulant participates in the formation of membrane deposits. Knowledge of the composition of fouling layers is important for the development of appropriate countermeasures. For this purpose, an experimental system was established for the generation and microscopic visualisation of mixed deposits, using fluorescently labelled model foulants: (i) drinking-water bacteria stained with nucleic acid-specific dyes (biofouling), (ii) synthetic clay mineral laponite stained with rhodamine 6G (inorganic particle fouling), and (iii) fluorescently labelled polystyrene microspheres (organic particle fouling). Polycarbonate and polyethersulfone membranes were challenged with these foulants by dead-end filtration. On the basis of different fluorescent labels, the single foulants in these mixed deposits could be visualised separately by confocal laser scanning microscopy which, in combination with image analysis, allowed the generation of three-dimensional views of the complete deposits. This method offers the possibility for the estimation of quantitative surface coverage by foulants and for the determination of the efficacy of cleaning measures with respect to the removal of different foulants.     

HEDGING INTEREST RATE RISK UNDER TERM STRUCTURE EFFECTS: AN APPLICATION TO FINANCIAL INSTITUTIONS

In this paper we investigate the use of the structured full rank model for hedging the balance sheet of a financial institution. Simulation results suggest that the optimal hedge is insensitive to changes in parameter estimates. In addition, we hedge a portfolio of Treasury bills using both the full information covariance matrix and the structured covariance matrix. We then contrast these results with those obtained from a duration-based model. Empirical results suggest that the structured full rank model is generally more effective in hedging applications than either the full information model or duration-based model.     

Drug testing in the transportation industry: The maritime case

The maritime industry provides an interesting case study of the design and implementation of drug-testing programs in the transportation industry during the 1980s. It is clear that such programs were designed and implemented less because of empirical evidence of safety problems than for political reasons. The results in the maritime industry are indicative of a program that is expensive to operate, intrusive with regard to employee privacy, and which will have little or no impact on safety. Focusing such programs on the issue of impairment rather than on the issue of drug usage per se is likely to improve the outcome of the programs. Although, despite common belief, there is little evidence that drug usage or the “drug problem” in U.S. society as a whole had gotten worse in the preceding years (Schonsheck, 1989, 250–251).