Social Security with Heterogeneous Populations Subject to Demographic Shocks

In a previous paper, we showed how a pay-as-you-go social security scheme, based on voluntary contributions, can be an appropriate institution to reach an optimal sharing of risks among generations in the presence of demographic uncertainties. We study here the functioning of such schemes when there are different population strata, with different demographic shocks and wages. We show that while a collective voluntary pay-as-you-go scheme can provide efficient intergenerational risk sharing, it is likely to be destabilized by pensions funds specialized by agents' types. This is true both when there is a complete set of contingent markets, where the risk pooling capabilities of a collective fund are potentially of less interest, and when markets are incomplete. In this last circumstance, a collective fund may help the living agents to share their intragenerational risks. However, we show that the resulting allocation does not Pareto dominate the outcome of individual funds by agent types, and that there are incentives for agents to separate from any collective organization.     

Taxpayer resistance,guarantee uncertainty,and housing finance subsidies

In the absence of external guarantees, a private firm's debt trades in the market at rates reflective of its private default risk. Not all firms go it alone, however. There are entities, government-sponsored enterprises (GSEs), whose debt obligations enjoy federal guarantees. Federal guarantees affect housing finance indirectly in that they tend to enhance the creditworthiness of the debt obligations of the housing intermediary which lessens the debtholder's exposure to default. The market investor then becomes a willing buyer of GSE debt at a lower (subsidized) rate as a result of the government guarantee.Due to the fact that the subsidy rests on the presumption that the GSE debt will be bailed out by the government it can be seen that the subsidy in turn rests upon the presumption by the GSE debtholder that the taxpayers will honor the guarantee in the event of a GSE default. Hence, government subsidies to the housing intermediaries rest not on ongoing government outlays but rather on the confidence that the taxpayers will be willing, if called upon, to cover GSE losses, i.e., the confidence of a bailout.This article analyzes the effects on the GSE subsidy and on the taxpayer, if the debt markets charge for bailout risk. Bailout risk pricing is an economic event. When debtholders seek to protect themselves by pricing for bailout risk, this increases GSE borrowing costs and cuts into both GSE borrowers' subsidies and stockholder earnings. Higher borrowing costs leave the GSE in a weakened condition and increase the ex ante bailout cost to the taxpayer. When bailout risk premiums become priced by the market, it substantially lessens the government's ability to subsidize housing finance or other GSE activities.     

Return generating processes of long-term bonds and measurement of risk: Theory and empirical tests

Using a continuous-time framework, Kazemi (1992) shows that changes in prices of long-term bonds could be perfectly correlated with changes in the representative investor's marginal utility of wealth. Therefore, the equilibrium expected excess return on any security would be proportional to its covariance with changes in prices of long-term bonds. The present paper first extends the above result to a discrete time framework and shows that there are significant differences between the continuous time and discrete time versions of the model. Second, we test an empirical implication of this result; the evidence supports the theoretical model.     

Risk management of real estate: The case of real estate swaps

Real estate swaps are a recent financial innovation based upon the principle of comparative advantage. A real estate swap is a useful tool for real estate risk management and for participating in real estate investment without the high costs associated with real estate. Potential economic benefits and costs associated with real estate swaps are considered and real estate swaps are compared to alternative tools for real estate risk management. The expected utility and effectiveness of risk management with a swap in a multiperiod framework are analyzed. The analysis finds that the subject property's return and its risk characteristics (as reflected in its correlation with interest rate and property index returns) delimit the risk management potential of a given swap position. Optimal swap positions are shown for various regions and property types based on historical return series, from the period between 1983 and 1992, and the parameters of the dynamic model developed.     

Market Power,Efficiency and the Dispersion of Systematic Risk

A number of studies have used the Capital Asset Pricing Model (CAPM) to integrate product market and financial theories of the firm. We reexamine the relationship between product market structure and systematic risk at the firm and industry level. We show that theory yields no testable implications at the firm level. We show, however, that there is a relationship between the intraindustry dispersion of systematic risk and industry concentration which depends on the causes and consequences of concentration. Estimates of the relationship between the intraindustry variance of and concentration for a 1987 cross-section of U.S. industries suggest that concentration allows larger firms to exercise market power.     

Reproducibility investigation of elicitation techniques in risk assessment for hydraulic turbines

Abstract

Certain elicitation techniques exert some control on expert opinions by leading them to a consensus or to a specific choice. In the absence of such guidelines, experts rely on their own knowledge to formulate opinions. This can result in large dispersions and affects the decision maker’s judgment. In this situation, we wonder what the relevant elicitation techniques are and how we can help experts to express their knowledge. From literature review, it is hard to decide if elicitation techniques are equivalent or not, which justifies the reproducibility analysis that we carry out in this paper. In this study, multiple experts have been involved in order to predict the defect size in hydraulic turbines, according to four proposed elicitation techniques. The comparison between these techniques was performed based on a suggested algorithm using the area metric concept. Our Findings show that elicitation techniques with ‘support’ tend to limit variations between experts and might be suitable only when prior knowledge on the expected elicited variable is available. Otherwise, we can end up with a distorted opinion of the elicited variable and an erroneous risk assessment.     

Perceptions of pre-service teachers on seismic risk and their implications for science education: a comparative study between Spain and Portugal

Abstract

This study investigated the importance given by two groups of pre-service teachers of primary education from Spain and Portugal to seismic risk in a framework of different natural risks, both in personal terms and as future teachers. A questionnaire was used for data collection. Some questions about the seismic phenomenon were also included. The sample groups consisted of 110 students from an institution in Spain and 121 from one in Portugal. Both institutions are in cities affected by the historic Lisbon earthquake of 1755. The results showed that the risk of forest fire was the first choice for classroom study in both cases. The Spanish group was also more focused on the importance of other risks like flood and drought. The Portuguese group showed a greater concern with seismic risk, frequently referring to their own historic earthquake of 1755. A few gaps in knowledge concerning earthquake prediction and comparing seismic risk in different regions of their own countries were also found. In accordance with the results, it is suggested that training courses for primary school teachers should include Disaster Risk Education in Science Education for a better understanding of the impact of various hazards and a greater concern with seismic risk due to its particular features, especially in regions where the seismic pattern is characterized by long seismic cycles with major earthquake episodes.     

保险业发展运行中亟待解决的若干问题

保险业在连续多年的快速增长后面临着一系列亟待解决和突破的重大问题,包括发展与转型、区域发展不均衡、如何学习与借鉴国际先进经验、风险防范与支持业务发展、一盘棋与差异化、外部环境配套等问题.保险业的快速发展要兼顾业务结构调整和产品转型.区域发展不均衡既是问题,也意味着中西部存在良好的发展机遇;学习与借鉴国际先进经验要结合中国实际,逐渐推进;风险防范与支持业务发展是辩证统一的关系,不是对立不可调和的;一盘棋思想与差异化政策应该有机结合使用,不可顾此失彼;税收优惠政策的突破与投资渠道的进一步放开是满足广大人民群众保险保障需求和促进保险业健康发展的重要外部环境条件.     

企业财务风险预警体系分析

财务风险预警是现代企业进行战略管理的重要方式之一,本文阐述了建立财务风险预警体系的意义和财务风险产生的原因,构建了企业财务风险预警指标。     

关于影响农业生产经营风险因素的实证分析

在农业生产领域中存在许多非人为的风险及人为因素可以克服或降低的风险,对于前者,我们可能很难解决,但是对于后者,我们可以采取相关的措施来预防与降低农业生产经营风险。具体到本文,主要通过对影响农业生产经营风险的两大因素,即农业投入与农业技术的实证分析,从而为降低农业生产经营风险提供政策导向。