战后初期日本经济恢复机理刍议

日本经济在战后初期的恢复时期之所以能够迅速从战败后的阴影中走出来,恢复了经济实力,并为高速增长奠定基础,其机理非简单的重建可以概括。一方面,日本经济本身在战争中所受损失并不像渲染的那么严重;另一方面,日本作为战败国更有其非战败则不可得的意外好处。同时,不容忽视的是,二战后世界政治格局的演变使日本经济命运有了奇迹般的转机,不仅免受惩罚,而且大享美国主导下世界经济体系的利益。     

Basel II and Bankers’ Propensity to Take or Avoid Excessive Risk

Both Basel I and Basel II are concerned (indeed, obsessed) with risk taking by bankers. But risk is an essential part of banking. The essential issues are “when are such risks excessive and does Basel II effectively constrain bankers from taking excessive risks?” I answer these questions by outlining alternative definitions of excessive risk and analyzing the extent to which Basel II deals effectively with this risk. I find the Basel II measures both costly and inadequate, and likely increase excessive risk taking. I conclude with a preferable alternative procedure – including subordinated debt fully in required capital and prompt corrective action based on prestructured capital/asset ratios.     

Mathematical foundation of the replicating portfolio approach

In the last few years, the first theoretical foundations for replicating portfolios – probably the most prevailing technique for risk capital calculation in life insurance – have been given in a series of papers by Beutner, Pelsser and Schweizer. In these papers, the asymptotic behaviour of replicating portfolios concerning the approximation of the terminal value (TVL) and the fair value distribution of the liabilities (FVL) has been investigated in detail. We complement this line of research by providing results on approximations based on a finite number of replicating instruments. We do so by providing the link between the approximation error of the TVL distribution, the FVL distribution and the error in the resulting risk capital figure, either value at risk or some coherent risk measure. We further allow for a variety of practically relevant formulations of the replication problem, including cash flow matching approaches. In contrast to the existing literature, all our results apply to approaches both under the risk-neutral and the real-world measure. Our strongest bounds are due to the observation that in discrete time, the measure change from the real-world to the risk-neutral measure can be both bounded below and above by a suitable constant in the first period.     

Auditors’ going concern reporting accuracy during and after the global financial crisis

Motivated by concerns that one of the reasons for the Global Financial Crisis (GFC) is poor quality auditing, this study examines the accuracy of going concern modifications for a sample of United States (U.S.) companies in the pre-GFC (2005–2006), GFC (2007–2008), and post-GFC (2009–2010) periods. The results show that the type I misclassification is lower during the GFC but not different in the post-GFC period compared with the pre-GFC period. The type II misclassification is not significantly different in the GFC and post-GFC periods compared with the pre-GFC period. Additionally, the results suggest that non-Big 4 auditors, compared with Big 4 auditors, have become more conservative on clients’ going concern problems in the post-GFC period, which reduces their type II misclassification.     

Stress scenario generation for solvency and risk management

We derive worst-case scenarios in a life insurance model in the case where the interest rate and the various transition intensities are mutually dependent. Examples of this dependence are that (a) surrender intensities and interest rates are high at the same time, (b) mortality intensities of a policyholder as active and disabled, respectively, are low at the same time, and (c) mortality intensities of the policyholders in a portfolio are low at the same time. The set from which the worst-case scenario is taken reflects the dependence structure and allows us to relate the worst-case scenario-based reserve, qualitatively, to a Value-at-Risk-based calculation of solvency capital requirements. This brings out perspectives for our results in relation to qualifying the standard formula of Solvency II or using a scenario-based approach in internal models. Our results are powerful for various applications and the techniques are non-standard in control theory, exactly because our worst-case scenario is deterministic and not adapted to the stochastic development of the portfolio. The formalistic results are exemplified in a series of numerical studies.     

Pricing catastrophe risk in life (re)insurance

What is the catastrophe risk a life insurance company faces? What is the correct price of a catastrophe cover? During a review of the current standard model, due to Strickler, we found that this model has some serious shortcomings. We therefore present a new model for the pricing of catastrophe excess of loss cover (Cat XL). The new model for annual claim cost C is based on a compound Poisson process of catastrophe costs. To evaluate the distribution of the cost of each catastrophe, we use the Peaks Over Threshold model for the total number of lost lives in each catastrophe and the beta binomial model for the proportion of these corresponding to customers of the insurance company. To be able to estimate the parameters of the model, international and Swedish data were collected and compiled, listing accidents claiming at least twenty and four lives, respectively. Fitting the new model to data, we find the fit to be good. Finally we give the price of a Cat XL contract and perform a sensitivity analysis of how some of the parameters affect the expected value and standard deviation of the cost and thus the price.     

Signs of dependence and heavy tails in non-life insurance data

In this paper, we study data from the yearly reports the four major Swedish non-life insurers have sent to the Swedish Financial Supervisory Authority (FSA). We aim at finding marginal distributions of, and dependence between, losses on the five largest lines of business (LoBs) in order to create models for solvency capital requirement (SCR) calculation. We try to use data in an optimal way by sensibly defining an accounting year loss in terms of actuarial liability predictions and by pooling observations from several companies when possible to decrease the uncertainty about the underlying distributions and their parameters. We find that dependence between LoBs is weaker in our data than what is assumed in the Solvency II standard formula. We also find dependence between companies that may affect financial stability and must be taken into account when estimating loss distribution parameters. Moreover, we discuss under what circumstances an insurer is better (or worse) off using an internal model for SCR calculation, instead of the standard formula.     

肯尼亚基苏木铁路枢纽分工布局研究

肯尼亚内马铁路二期引入基苏木后,将与既有米轨铁路共同形成基苏木铁路枢纽,形成基苏木铁路枢纽内各铁路系统功能分工布局。基于基苏木铁路枢纽构成,结合既有米轨铁路现状、城市功能规划及客货运量分析,提出基苏木铁路枢纽客货分设方案和客货合设方案,经比选推荐采用客货分设方案;同时,提出港区支线接入基苏木北站南侧接轨和北侧接轨方案,经比选推荐采用南侧接轨方案。基苏木铁路枢纽分工布局符合基苏木城市功能和规划,有利于形成基苏木地区的综合交通枢纽。     

Leverage-induced systemic risk under Basle II and other credit risk policies

We use a simple agent based model of value investors in financial markets to test three credit regulation policies. The first is the unregulated case, which only imposes limits on maximum leverage. The second is Basle II and the third is a hypothetical alternative in which banks perfectly hedge all of their leverage-induced risk with options. When compared to the unregulated case both Basle II and the perfect hedge policy reduce the risk of default when leverage is low but increase it when leverage is high. This is because both regulation policies increase the amount of synchronized buying and selling needed to achieve deleveraging, which can destabilize the market. None of these policies are optimal for everyone: risk neutral investors prefer the unregulated case with low maximum leverage, banks prefer the perfect hedge policy, and fund managers prefer the unregulated case with high maximum leverage. No one prefers Basle II.     

Recognizing consumerism as an “illness of an empty soul”: A catholic morality perspective

Catholics personalist authors have been always concerned about consumerism, which is considered a radical dissatisfaction that compulsively tries to fill the emptiness of the inner self. It is a form of idolatry where malls are modern cathedrals. What are the antecedents and consequences of this moral approach, inducing consumers’ engagement in anti-consumption behaviors? This conceptual paper updates the literature review about this research topic, acknowledging the thoughts written in encyclical letters of three Popes of Catholic Church: John Paul II, Benedict XVI, and Francis. This paper also proposes a new model of ethical decision-making model that aims to describe the implications of recognizing consumerism as a moral/spiritual issue according to the Catholic Church teaching. This paper provides useful insights into the influence of Catholic teaching on the adoption of anti-consumption behaviors.