Review: Food loss and waste in Sub-Saharan Africa

The research, development practitioner, and donor community has begun to focus on food loss and waste – often referred to as post-harvest losses (PHL) – in Sub-Saharan Africa. This article reviews the current state of the literature on PHL mitigation. First, we identify explicitly the varied objectives underlying efforts to reduce PHL levels. Second, we summarize the estimated magnitudes of losses, evaluate the methodologies used to generate those estimates, and explore the dearth of thoughtful assessment around “optimal” PHL levels. Third, we synthesize and critique the impact evaluation literature around on-farm and off-farm interventions expected to deliver PHL reduction. Fourth, we suggest a suite of other approaches to advancing these same objectives, some of which may prove more cost-effective. Finally, we conclude with a summary of main points.     

Multivariate Cox Hidden Markov models with an application to operational risk

ABSTRACT

Modeling multivariate time-series aggregate losses is an important actuarial topic that is very challenging due to the fact that losses can be serially dependent with heterogeneous dependence structures across loss types and business lines. In this paper, we investigate a flexible class of multivariate Cox Hidden Markov Models for the joint arrival process of loss events. Some of the nice properties possessed by this class of models, such as closed-form expressions, thinning properties and model versatility are discussed in details. We provide the expectation-maximization (EM) algorithm for efficient model calibration. Applying the proposed model to an operational risk dataset, we demonstrate that the model offers sufficient flexibility to capture most characteristics of the observed loss frequencies. By modeling the log-transformed loss severities through mixture of Erlang distributions, we can model the aggregate losses. Finally, out-of-sample testing shows that the proposed model is adequate to predict short-term future operational risk losses.     

On the investment implications of bankruptcy laws

Axiomatic analysis of bankruptcy problems reveals three major principles: (i) proportionality (PRO), (ii) equal awards (EA), and (iii) equal losses (EL). However, most real life bankruptcy procedures implement only the proportionality principle. We construct a noncooperative investment game to explore whether the explanation lies in the alternative implications of these principles on investment behavior. Our results are as follows (i) EL always induces higher total investment than PRO which in turn induces higher total investment than EA; (ii) PRO always induces higher egalitarian social welfare than both EA and EL in interior equilibria; (iii) PRO induces higher utilitarian social welfare than EL in interior equilibria but its relation to EA depends on the parameter values (however, a numerical analysis shows that on a large part of the parameter space, PRO induces higher utilitarian social welfare than EA).     

Effects of an animal disease shock on meat markets and producer income

This paper simulates pig producer and slaughterhouse income losses due to a classical swine fever outbreak in Finland. The analysis explicitly takes into account that an outbreak of a highly contagious animal disease can shrink export demand for pig meat. After having observed the disease and its impact on pig meat price, producers can optimize animal stocks thought insemination decisions, which affects the number of animals in a dynamic manner. The income losses of pig industry were estimated to be less than €30 million. The losses were mainly due to price movements caused by an export demand shock. The results suggest that if the outbreak causes distortions in meat trade, the disease can cause substantial losses to the industry even if it has directly a small impact on the number of animals on farms. We also found that the optimization could reduce disease losses significantly, even more than 50%.     

Hedging errors with Leland's option model in the presence of transaction costs

Nonzero transaction costs invalidate the Black–Scholes [1973. Journal of Political Economy 81, 637–654] arbitrage argument based on continuous trading. Leland [1985. Journal of Finance 40, 1283–1301] developed a hedging strategy which modifies the Black–Scholes hedging strategy with a volatility adjusted by the length of the rebalance interval and the rate of the proportional transaction cost. Kabanov and Safarian [1997. Finance and Stochastics 1, 239–250] calculated the limiting hedging error of the Leland strategy and pointed out that it is nonzero for the approximate pricing of an European call option, in contradiction to Leland's claim. As a further contribution, we first identify the mathematical flaw in the argument of Leland's claim and then quantify the expected percentage of hedging losses in terms of the hedging frequency and the level of the option strike price.     

论保险代位求偿权行使的范围限制

保险代位求偿权当然有其行使范围.时至今日,理论界有很多学者认为:"代位求偿权只在财产保险中适人身保险中不存在代位求偿权."但依有些学者的态度,保险代位求偿权不只适用于财产保险.我国<保险法>的有关规定(第68条)虽有力地支持了否定说,但亦留下了一些缺憾.笔者建议将<保险法>第68条修改为:"人身保险的被保险人因第三者的行为发生保险事故的,保险人向被被保险人或者受益人给付保险金后,不得享有向第三者追偿的权利.但被保险人或者受益人仍有权向第三者请求赔偿."这样,肯定说就难有立锥之地了.     

汇兑损益对上市公司利润影响的理论和实证分析

从2005年7月21日汇改后,人民币汇率的波动远大于汇改之前,由此给企业形成的汇兑损益将会更加不稳定。在此背景下,本文通过研究上市公司重点行业近几年汇兑损益的变化,并就汇兑损益对企业财务费用和利润影响进行了实证分析,得出汇兑损益和企业利润存在正相关关系,在此基础上,提出了企业控制外汇风险、减少汇兑损失的相关措施。     

论共产党员的“吃亏观”

以辩证唯物主义世界观可以辨别出老实人与不老实人的特征。共产党员要正确对待吃亏还是占便宜。党和人民始终信任不怕吃亏的老实人。共产党员要牢记宗旨,无私奉献,当老实人、说老实话、做老实事。     

Cyclical correlations, credit contagion, and portfolio losses

We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on common economic factors. Contagion is associated with the local interaction of firms with their business partners. We provide an explicit normal approximation of the distribution of portfolio losses. We quantify the relation between the variability of global economic fundamentals, strength of local firm interaction, and the fluctuation of losses. We find that cyclical oscillations in fundamentals dominate average losses, while local interaction causes additional fluctuations of losses around their average. The strength of the contagion-induced loss variability depends on the complexity of the business partner network.