GREED,LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE

This paper quantifies the notion of greed, and explores its connection with leverage and potential losses, in the context of a continuous‐time behavioral portfolio choice model under (cumulative) prospect theory. We argue that the reference point can serve as the critical parameter in defining greed. An asymptotic analysis on optimal trading behaviors when the pricing kernel is lognormal and the S‐shaped utility function is a two‐piece CRRA shows that both the level of leverage and the magnitude of potential losses will grow unbounded if the greed grows uncontrolled. However, the probability of ending with gains does not diminish to zero even as the greed approaches infinity. This explains why a sufficiently greedy behavioral agent, despite the risk of catastrophic losses, is still willing to gamble on potential gains because they have a positive probability of occurrence whereas the corresponding rewards are huge. As a result, an effective way to contain human greed, from a regulatory point of view, is to impose a priori bounds on leverage and/or potential losses.     

Extreme dependence of multivariate catastrophic losses

Natural catastrophes cause insurance losses in several different lines of business. An approach to modelling the dependence in loss severities is to assume that they are related to the intensity of the natural disaster. In this paper we introduce a factor model and investigate the extreme dependence. We derive a specific extreme dependence structure when considering an heavy-tailed intensity. Estimation procedures are presented and their moderate sample properties are compared in a simulation study. We also motivate our approach by an illustrative example from storm insurance.     

Do PCAOB Inspections Improve the Accuracy of Accounting Estimates?

Despite issuing extensive guidance related to the evaluation of accounting estimates, the PCAOB continues to identify deficiencies related to the audit of estimates through their inspections process. We examine whether PCAOB inspections lead to more accurate audited accounting estimates, defined as those that more closely match economic reality, by examining a significant estimate within the banking industry. We find that in contrast with the PCAOB's goal of more accurate and unbiased estimates, allowance for loan losses (ALL) estimates become less accurate and more conservative with higher levels of ALL‐related inspection findings for public company audits. We find no evidence of auditor response to PCAOB inspection findings for private‐company audits, which are not subject to PCAOB inspection. Overall, our findings cast doubt on the efficacy of PCAOB inspections in improving estimate accuracy and suggest that firms are managing inspection risk to the potential detriment of audit quality.     

Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies

Changing climate and technology can often lead to nonstationary losses across both time and space for a variety of insurance lines including property, catastrophe, health, and life. As a result, naive estimation of premium rates using past losses will tend to be biased. We present three successively flexible data‐driven methodologies to nonparametrically smooth across both space and time simultaneously, thereby appropriately incorporating possibly nonidentically distributed data into the rating process. We apply these methodologies in estimating U.S. crop insurance premium rates. Crop insurance, with global premiums totaling $4.1 trillion in 2018, is an interesting application as losses exhibit both temporal and spatial nonstationarity. We find significant borrowing of information across both time and space. We also find all three methodologies improve both the stability and accuracy of crop insurance premium rates. The proposed methods may be of relevance for other lines of insurance characterized by spatial and/or temporal nonstationary losses.     

厘清“公允价值变动损益”科目学习中的误区

为与国际会计准则接轨并提高会计信息质量，新准则中引入了公允价值计量属性，来体现资产和负债的内在价值。本文以金融工具的确认和计量中的交易性金融资产为例，针对“公允价值变动损益”科目学习中存在的误区进行分析，让初学者掌握公允价值计量下核算金融资产期末价值和企业利税的方法，为相关信息使用者提供真实有用的会计信息。     

个人损益、知情参与和改制改革效果评价

本文着重从个人损益和知情参与两个维度以及二者的交互作用考察改制改革满意度的决定。利用中国综合社会调查(2006)抽样调查数据,应用排序Probit模型进行半参数估计,研究发现:个人损益维度上,收入、福利待遇提高和工作强度降低可以显著提高满意度,工作职位提升和工作标准方面约束程度下降对满意度的正向影响则不稳健;因改制改革失去工作会显著降低满意度,物质补偿并不足以弥补失去工作对满意度的挫伤。知情参与维度上,知情权和参与权的实现程度越高,满意度显著地越高。年龄和收入水平是满意度决定的调节变量。     

Measuring the degree of market power in the Greek manufacturing industry

This paper investigates the competitive conditions in the Greek manufacturing industry, estimates the net and the total welfare losses due to the possible existence of market power and investigates factors affecting the market power at sectoral level and over time. The bootstrap method is applied to assign measures of accuracy to the statistical estimates. The empirical results imply the presence of imperfect competition in the Greek manufacturing industry and the existence of welfare losses. Furthermore, the findings indicate that labor intensity, the sector size and the openness influence the market power at the sectoral level and labor intensity, while the number of firms and the openness affect the market power over time.     

Corporation Tax Asymmetries and Cartel Unity

This paper examines the impact of changing the extent to which tax losses are refunded to firms in a model of imperfect competition. It proposes a particular collusive equilibrium in a repeated oligopoly with homogeneous quantity-setting firms. The industry sustains tacit collusion by using credible and severe punishments of deviations. The analysis of the most collusive equilibrium with losses indicates that a tax policy which increases refunds reduces output, increases market price, and therefore strengthens tacit collusion. In addition, the policy increases government revenue. An increase in the corporation tax rate has similar effects.     

战争经济成本浅析

战争不仅消耗大量稀缺的经济资源,而且对人类生命和社会财富造成严重破坏,战争经济成本问题历来引人关注。研究战争经济成本,预测战争的经济风险,对于打赢未来信息化战争具有重要意义。基于战争经济成本的概念,分别从战争经济投入、战争经济损失、战争人力资本损失、战争后续成本四个方面探讨战争经济成本的主要内容。     

工程地质环境质量损益经济评价研究

本文阐述了地质资源开发工程地质环境质量损益经济评价的基本含义与地质资源开发利用中的主要环境地质问题或负效应。建立了地质资源开发工程地质环境质量损益经济评价的指标体系和评价模型。并以某地区规划采矿工程地质环境质量损益度评价为例，对地质资源开发工程地质环境质量损益经济评价作了简要说明。