A generalized maximum likelihood characterization of the normal distribution

LetP be a probability measure on ℝ andI _x be the set of alln-dimensional rectangles containingx. If for allx ∈ ℝⁿ and θ ∈ ℝ the inequality holds,P is a normal distributioin with mean 0 or the unit mass at 0. The result generalizes Teicher’s (1961) maximum likelihood characterization of the normal density to a characterization ofN(0, σ²) amongall distributions (including those without density). The m.l. principle used is that of Scholz (1980).     

TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market‐consistent evaluation procedure which we call “two‐step market evaluation.” This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two‐step market evaluations. We show further that in a dynamic setting with continuous stock prices every evaluation which is time‐consistent and market‐consistent is a two‐step market evaluation. We also give characterization results and examples in terms of g‐expectations in a Brownian‐Poisson setting.     

Does the ban on trans-fats improve public health? In search of the optimal policy response

This paper examines the contribution of the regulatory ban on trans-fats and voluntary trans-fat regulation to public health outcomes for a sample of 39 countries in the period 1990–2015. To this end, we exploit within-country variation in trans-fat legislation to estimate the impact of the trans fat ban on cardiovascular mortality and obesity rates. Our difference-in-difference estimates indicate modest and beneficial effects of the trans-fats ban in reducing cardiovascular mortality and obesity rate. We find that the ban on trans fats tends to decrease the mortality rate attributed to cardiovascular diseases while the effects on the obesity rates are significant, especially among children and adolescent age group. By contrast, voluntary regulation of trans fats and demand-driven regulatory strategies are generally not associated with a marked drop in the obesity rate. By controlling for country-specific time trends, we show that the estimated mortality- and obesity-related impact of the ban is not driven by pre-existing trends, and does not affect non-cardiovascular mortality rate.

     

A continuous-time sequential testing problem

A Bayesian testing problem for a simple hypothesis against a simple alternative is considered. However the observations on which the test is based are not immediately available, but occur atn i.i.d. random times. Assuming linear cost of time until a decision the task is to construct and to characterize an optimal stopping strategy for a time-sequential testing problem and to compute the Bayes risk. The paper provides a solution to this problem.     

Robustness of banking networks to idiosyncratic and systemic shocks: a network-based approach

We propose a network-based structural model of credit risk to demonstrate how idiosyncratic and systemic shocks propagate across the banking system and evaluate the costs. The banking system is built as a network of heterogeneous banks which are connected with one another. In such a system, single credit events propagate through the interbank market from debtors to creditors and across the system. The shock is imposed as an unexpected event. We demonstrate that while idiosyncratic shocks cannot substantially disturb the banking system, a systemic shock of even a moderate magnitude can be highly detrimental. Such shock includes a huge contagious potential. We demonstrate that the costs of the shock are largely determined by the extent of contagion and range from negligible to catastrophic. The results imply that a severe crisis has to be initiated by a systemic shock of at least moderate magnitude. Capital ratio and the bank size are two additional factors of the banking system stability. Finally, credit risk analysis is sensitive to the network topology and exhibits a profound nonlinear characteristic.     

Bipolarity and/or duality of social survey measurement scales and the question-order effect

When measuring (complex) attitudes within a social survey, researchers often use balanced lists of positive and negative items. The purpose of the present research is to investigate: (a) whether a specific order of measurement scale items can lead to the bipolar (single-dimensional) concept (attitude) being recognised as a dual (bi-dimensional) concept and vice-versa; and (b) whether item order can affect the consistency (metric characteristics) of a measurement scale. An experiment on a group of social science students was conducted: students were randomly split into three subgroups and three different version of a questionnaire (with three differing item orders) were applied. A multi-group confirmatory factor analysis (‘CFA’) and a single group CFA for each item order separately were applied. The final conclusion of the experiment is that there is no general rule about how and when respondents form separate (dual) or unidimensional (continuous) representations of measured concepts. Item-order effects are possible, but they are not as important as one would expect. The results of the experiment also suggest that other factors should be taken into account: the content of the measured concept and the cognitive sophistication of the respondents.     

Some remarks on the average sample number of sequential and non-sequential tests

Summary We prove some inequalities concerning the (mean) number of observations needed to attain a prescribed error sum and apply them to some examples.     

Interbank rules during economic declines: Can banks safeguard capital base?

Journal of Economic Interaction and Coordination - This paper studies the role of interbank credit within an agent-based model of the financial sector. Our main contribution consists in a...