A saddlepoint approximation to the distribution of the sum of independent non‐identically uniform random variables

Calculating the probability of the corresponding significance point is important for finite sample sizes. However, it is difficult to evaluate this probability when the sample sizes are moderate to large. Under these circumstances, consideration of a more accurate approximation for the distribution function is extremely important. Herein, we performed a saddlepoint approximation in the upper tails for the distribution of the sum of independent non‐identically uniform random variables under finite sample sizes. Saddlepoint approximation results were compared with those for a normal approximation. Additionally, the order of errors of the saddlepoint approximation was derived. © 2014 The Authors. Statistica Neerlandica © 2014 VVS.     

Food scandals,media attention and habit persistence among desensitised meat consumers

Consumer reactions to food scandals and their resulting economic implication are well documented. However, studies have typically neglected the roles that consumption habits and media usage behaviours may play in explaining household’s response to food safety incidences. In this study we develop a model of heterogeneous media usage intensity, information impacts and decay over time to estimate household’s behavioural responses to the 2011 German Dioxin scandal. We are specifically interested in determining the degree of heterogeneity in household’s short-term adjustments demand patterns versus persisting long-term consumption habits of meat products (chicken and pork) directly affected by the incident. The empirical analysis employs detailed household-level retail scanner and media usage data collected by the GfK Consumer Scan panel for a total of 16,023 households over a period of 104 calendar weeks. Results of dynamic correlated random effect Tobit models indicate an important role of unobserved heterogeneity in explaining household responses during the food scandal. We find strong empirical evidence supporting our hypothesis that short-term marginal adjustments in demand and propensity to buy affected products triggered by the negative impact of household media exposure were over-compensated by habit persistence. The question of how consumption patterns evolve over time in the presence of food scandals is expected to be of interest for both policy makers and the food industry. The potential biases in the projection of economic impacts resulting from simplifying assumptions of household’s response patterns to a proliferating numbers of food safety incidences has implications for risk management and public policy.     

Cox Point Processes: Why One Realisation Is Not Enough

We review a rich class of point process models, Cox point processes, and illustrate the necessity of more than one observation (point patterns) in performing parameter estimation. Furthermore, we introduce a new Cox point process model by treating the intensity function of the underlying Poisson point process as a random mixture of normal components. The behaviour and performance of the new model are compared with those of popular Cox point process models. The new model is exemplified with an application that involves a single point pattern corresponding to earthquake events in California, USA.     

Food values and heterogeneous consumer responses to nanotechnology

Agricultural applications of nanotechnology are at a relatively early stage and little is known about consumer responses to the technology. Canadian consumer responses to food nanotechnology are examined through the lens of the Food Value Scale. Data from a survey of Canadian consumers are used to evaluate the relative importance of eleven food values to food purchase decisions. We find that taste, safety, nutrition, and price are among the most important food values to Canadians, however, consumers exhibit considerable heterogeneity with respect to the priority placed on these values. A discrete choice experiment (DCE) explores the effect of food values on choice behavior. The DCE is positioned as a sliced apple product with non-browning and antioxidant-enhanced features introduced through the use of nanocoating or a conventional coating method. Random parameters logit (RPL) and latent class models (LCM) confirm the existence of significant preference heterogeneity. The LCM identifies three classes of consumers: “supporters,” “doubters,” and “opponents” who differ in their reaction to nanotechnology and in the relative importance placed on food values such as naturalness, novelty, and convenience. The analysis shows that food values provide additional insights into consumers’ food choices and their attitudes toward novel food technologies.     

Is There a Causal Effect of Working Part‐Time on Current and Future Wages?

In this paper, I study the causal effects of part‐time work on current and future wages. To estimate these effects, I use a random effects model with a wage equation capturing the employment history and a dynamic multinomial probit component for the choice of employment status. Exclusion restrictions from the institutional context are exploited to support identification. The results suggest that working part‐time with few hours has a large causal effect on current wages, but more extensive part‐time work does not reduce current wages. However, both types of part‐time work lead to negative long‐term wage effects.     

The Role of Financial Ratios in the Variance of Stock Trading Volume in Emerging Stock Markets

The study used quarterly panel data of 6 years from 2010 to 2015 of all companies listed on both Vietnamese stock markets including the Ho Chi Minh City Stock Exchange and Ha Noi Stock Exchange, and on three leading industries consisting of insurance-banking, foodstuff, and real estate to explore the relationship among four key financial ratios and stock trading volume. Two models, fixed effects model (FEM) and random effects model (REM), with robust standard errors, were applied for this study. The key findings showed that earnings before tax on sales, debt on owner’s equity, and owner’s equity on total assets significantly influenced trading volume.     

Optimal investment-consumption-insurance with random parameters

This paper discusses an optimal investment, consumption, and life insurance purchase problem for a wage earner in a complete market with Brownian information. Specifically, we assume that the parameters governing the market model and the wage earner, including the interest rate, appreciation rate, volatility, force of mortality, premium-insurance ratio, income and discount rate, are all random processes adapted to the Brownian motion filtration. Our modeling framework is very general, which allows these random parameters to be unbounded, non-Markovian functionals of the underlying Brownian motion. Suppose that the wage earner’s preference is described by a power utility. The wage earner’s problem is then to choose an optimal investment-consumption-insurance strategy so as to maximize the expected, discounted utilities from intertemporal consumption, legacy and terminal wealth over an uncertain lifetime horizon. We use a novel approach, which combines the Hamilton–Jacobi–Bellman equation and backward stochastic differential equation (BSDE) to solve this problem. In general, we give explicit expressions for the optimal investment-consumption-insurance strategy and the value function in terms of the solutions to two BSDEs. To illustrate our results, we provide closed-form solutions to the problem with stochastic income, stochastic mortality, and stochastic appreciation rate, respectively.     

随机数在随机事件与概率教学中的应用探索

本文对在随机事件与概率中的常见问题提出了一种新的借助于计算机实现的解决思路,即通过机器自动产生随机数后构建相应的数学模型,再通过编程计算得到最后结果。该方法既为概率论的教学带来了创新性思维,也为当前的教师提出了新的挑战。     

考虑BI保险的供应链中断模型分析

突发事件引起的供应链中断,会造成供应链成员巨大的经济损失。以一个二级供应链为基础,考虑存在供应中断风险情况下,引入BI保险,建立供应中断下制造商不投保、制造商单独投保、以及制造商和零售商联合投保模型,探究零售商和制造商利润、最优订购量、最优批发价等参数的变化趋势,其理论分析结果为决策部门提供指导。     

Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience

This study examines the effect of transaction costs on the time series behavior of stock returns over a period surrounding the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant decreases in estimates of the first-order autocorrelation in returns for Japanese stocks listed in Japan, but no changes for Japanese stocks dually listed in the United States as American Depository Receipts (ADRs), which were not subject to the tax law change. We also find lower price basis between the ADRs and their underlying Japanese stocks. These results are consistent with the hypothesis that a reduction in transaction costs improves the efficiency of the price discovery process.