A market-consistent framework for the fair evaluation of insurance contracts under Solvency II

Decisions in Economics and Finance - The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet,...     

Trade networks and economic fluctuations in Asian countries

The paper presents a new methodology, based on tensor decomposition, to map dynamic trade networks and to assess its strength in forecasting economic fluctuations at different periods of time in Asia. Using the monthly merchandise import and export data across 33 Asian economies, together with the US, EU and UK, we detect the community structure of the evolving network and we identify clusters and central nodes inside each of them. Our findings show that data are well represented by two communities, in which People's Republic of China and Japan play the major role. We then analyze the synchronisation between GDP growth and trade. Furthermore we apply our model to the prediction of economic fluctuations. Our findings show that the model leads to an increase in predictive accuracy, as higher order interactions between countries are taken into account.     

Monopoly with resale

We examine the intricacies associated with the design of revenue‐maximizing mechanisms for a monopolist who expects her buyers to resell. We consider two cases: resale to a third party who does not participate in the primary market and interbidder resale, where the winner resells to the losers. To influence the resale outcome, the monopolist must design an allocation rule and a disclosure policy that optimally fashion the beliefs of the participants in the secondary market. Our results show that the revenue‐maximizing mechanism may require a stochastic selling procedure and a disclosure policy richer than the simple announcement of the decision to sell to a particular buyer.     

Strategic Certification and Provision of Quality

We study the effect of the presence of a certification intermediary in an environment where information asymmetries are particularly severe. The intermediary improves the information that buyers have about quality. This in turn increases the incentives that the seller has to provide high-quality goods. Efficiency is increased by the presence of the intermediary, but quality is underprovided in equilibrium relative to full information. The intermediary can implement the optimal policy in many ways. The amount of information revealed ranges from full disclosure to partial, noisy disclosure.     

New firm formation in Italian industry: 1985–89

This paper deals with the process of new firm formation in Italian manufacturing industry during the second half of the 1980s. For this purpose we use the data base made available by the National Institute of Social Security, which provides information on both newly and already established firms with at least one employee. Two birth rates are computed and analysed for the relevant industries: the first one is the ratio between new enterprises and already established firms and the second is the share of new enterprises on industry employees. We show that Italian industries are characterized by marked differences in terms of birth rates but also that the ranking of industries is different by using the first or the second index of new firm formation. Looking at the determinants of this process, we found that industry growth affects positively both birth rates; small firm presence is effective only when the second index of new firm formation is used while inter-industry differences in profitability are always not significant. These results seem peculiar to the Italian case in which the size of newly established firms is very small in comparison with the size of previously existing firms.     

Exploring efficient sets and equilibria on risky assets with APABO DSS prototype version 2.1

ABAPO 2.1 (Assets/Business(es) Analyser and Portfolio Optimizer) is a DSS prototype for portfolio managers. It assists the decision maker in two important stages of his task. First, it provides an integrated synthesis of the returns scenario in order to support the decision maker in the selection of the assets to retain, in accordance with his strategy. Second, on the retained assets it computes and shows the E- efficient solutions. For each efficient portfolio ABAPO supplies immediately a lot of information that should help the decision maker to single out the portfolio which fits his goals best.ABAPO works on an integration of elements derived from the Portfolio Selection Theory, the Capital Asset Pricing Model, the Utility Theory. ABAPO uses the principal component, the univariate, the bivariate regression and the correlation analysis, a parametric quadratic programming model and an algorithm based on the critical line method.ABAPO is implemented in C language under AIX operating system and runs on a IBM RT PC 6150. It is a ductile, interactive procedure that involves graphics in order to increase the efficiency and the effectiveness of the what if simulations.This version 2.1 improves upon the previous one by the evaluation of the Security Market Line, some statistics on the returns of the efficient portfolios, the evaluation of the quadratic indifference curves associated to the efficient portfolios.Research supported by the Italian National Research Council (CNR), grant n. 88.03065.10. ABAPO DSS 2.1 prototype has been developed with the support of the CNR (grant n. 87.1210.10), of the Banca Popolare di Verona, of the Cassa di Risparmio di Verona Vicenza e Belluno, of the Società Cattolica di Assicurazione, at the Istituto di Matematica, Università di Verona.     

Product attributes and models of multiple discreteness

Demand for product characteristics is examined within the context of models that allow for both corner and interior solutions corresponding to zero and non-zero demand. Product attribute information is associated with marginal utility and curvature (satiation) parameters of various utility functions. Empirical applications demonstrate the need for incorporating characteristics in a fairly general way. We also compare our approach to an ideal point and pure Lancasterian versions of our nonlinear utility model. The data support our model over either the ideal point or Lancasterian variants.     

Remote control and maintenance outsourcing networks and its applications in supply chain management

The paper analyzes the impact of e-business technologies on maintenance management and supply chain operations. The aim of this work is to investigate the network organization level of supply chains in case of remote maintenance application and to understand how maintenance policies are coupled with information technology (IT) solutions. To this purpose two literature reviews are presented: firstly, on the supply chain and network integration, and then on the evolution of maintenance using information technology. Following this, the paper present four specific industrial case-studies of eMRO network organisation. They have been chosen as reference models from a set of practical applications and pilot tests performed by the authors in different production sectors in the last 5 years. Technology complexity environments, maintenance outsourcing level, and supply chain integration context are discussed for each case-studies with particular regards to the profitable forms of collaboration provided by the introduction of IT and the Web. This analysis work toward the development of a framework useful to: (1) classify different e-maintenance systems and understand the relationships between the different members of the network, and (2) identify the variables which can influence the introduction and development of the systems.     

Optimal exercise of American put options near maturity: A new economic perspective

Review of Derivatives Research - The critical price $$S^{*}\left( t\right) $$ of an American put option is the underlying stock price level that triggers its immediate optimal exercise. We provide...     

Is Private R & D Spending Sensitive to Its Price? Empirical Evidence on Panel Data for Italy

In this paper empirical evidence is presented on theelasticity of private R & D spending on its price. Acensored panel-data regression model with random effectsis applied to a balanced panel of 726 Italian firms overthe 1992–1997 period. Implied estimates point out thatItalian firms' response to policy measures (including taxcredits), aimed at reducing the user cost of R & D capital,is likely to be substantial (1.50–1.77). Furthermore, wealso find that the elasticity of R & D spending is higherin recession (2.01) than in expansion (0.87).