基于政府参与情形的混合巨灾债券设计与实证分析

我国是属于自然灾害多发的国家,但由于保险市场与资本市场相对落后,目前对于巨灾的管理仍然主要依靠政府事后的财政拨款与民间捐赠。本文借鉴并改进了国内外相关研究结论,构建了由保险市场、资本市场以及政府所组成的巨灾风险分担模型。在该模型的基础上,以熵测度为准则,设计了一种有政府参与的混合巨灾债券,这种债券是传统的简单巨灾债券与...     

交叉上市、风险分散与溢出效应

本文从非交叉上市公司对交叉上市的市场反应入手,利用对比公司法（MatchedFirmApproach）和事件研究法,实证分析了交叉上市对国内非交叉上市公司带来的影响。分析表明,我国的交叉上市政策增强了国内股票市场的风险分散功能,给国内上市公司带来了正的净溢出效应。     

Backtesting Value-at-Risk: A Duration-Based Approach

Financial risk model evaluation or backtesting is a key partof the internal model's approach to market risk management aslaid out by the Basle Committee on Banking Supervision. However,existing backtesting methods have relatively low power in realisticsmall sample settings. Our contribution is the exploration ofnew tools for backtesting based on the duration of days betweenthe violations of the Value-at-Risk. Our Monte Carlo resultsshow that in realistic situations, the new duration-based testshave considerably better power properties than the previouslysuggested tests.     

Financial Markets for Unknown Risks if Beliefs Differ

We consider a general equilibrium model with individual and collective risks. The article builds on a contribution by Chichilnisky and Heal, who show that contingent Arrow–Debreu equilibria can also be supported in economies with Arrow securities and mutual insurance contracts. However, they show this to be true in general only if beliefs are identical, a very restrictive assumption in the context of unknown risks. Moreover, they claim complete insurance in equilibrium to be impossible if beliefs are different. We show that even with different beliefs, firstly, complete insurance is possible in each statistical state, and secondly, contingent equilibrium can still be supported in economies with insurance and securities.     

A model of medium term exchange rate forecast in an open economy The case of the mexican peso

Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a rational manner but not randomly. Models of exchange rate by term based on asset valuation suggest that the inclusion of risk in the spot rate increases the degree of predictability. The results show that after incorporating an accurate measure of risk, predictability of medium term foreign exchange rate increases.     

Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance

In this paper, we focus on uncertainty issues on disabled lives survival probabilities of LTC insurance policyholders and its consequences on solvency capital requirement. Among the risks affecting long-term care portfolios, special attention is addressed to the table risk, i.e. the risk of unanticipated aggregate mortality, arising from the uncertainty in modeling LTC claimants survival law. The table risk can be thought as the risk of systematic deviations referring not only to a parameter risk but, as well, to any other sources leading to a misinterpretation of the life table resulting for example from an evolution of medical techniques or a change in rules of acceptance. In fine, the idea is to introduce the risk of systematic deviations arising from the uncertainty on the disabled lives death probabilities directly. We analyze the consequences of an error of appreciation on the disabled lives survival probabilities in terms of level of reserves and describe a framework in an Own Risk and Solvency Assessment perspective to measure the gap between the risk profile from the standard formula to the risk analysis specific to the organism.     

A review and comparison of medical expenditures models: two neural networks versus two‐part models

This paper compares the two‐part model (TPM) that distinguishes between users and non‐users of health care, with two neural networks (TNN) that distinguish users by frequency. In the model comparisons using data from the National Health Research Institute (NHRI) in Taiwan, we find strong evidence in favor of the neural networks approach. This paper shows that the individuals in the self‐organizing map (SOM) network clusters can be described as several different forms of frequency distributions. The integration model of SOM and back propagation network (BPN) proposed by this paper not only permits policymakers to easily include more risk adjusters besides the demographics in the traditional capitation formula through the adaptation and calculation power of neural networks, but also reduces the incentives for cream skimming by decreasing estimation biases.     

Would a Flat‐Rate Tax Stimulate Entrepreneurship in Germany? A Behavioural Microsimulation Analysis Allowing for Risk*

When potential income tax reforms are debated, the suspected impact on entrepreneurship is often used as an argument in favour of or against a certain policy. Quantitative ex‐ante evaluations of the effect of certain tax reform options on entrepreneurship are very rare, however. This paper estimates the ex‐ante effects of the German tax reform 2000 and of two hypothetical flat‐rate tax scenarios on entries into and exits out of self‐employment based on a structural microsimulation model with econometrically estimated transition rates under risk. The simulation results indicate that flatter tax systems do not encourage people to choose self‐employment, but rather discourage them from doing so. This is explained by the reduction of entrepreneurs' income risk through progressive taxation.