Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor

In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process with stationary independent increments to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continuous-time limit of the model is also discussed. This research was supported by Open Research Center Project for Private Universities: matching fund subsidy from MEXT, 2004–2008 and also by Grants-in-Aids for Scientific Research (No. 18540146) from the Japan Society for Promotion of Sciences.     

Marketing versus public relations in selling nuclear power

All too often, the terminology and practices of public relations are used when marketing is what is really needed. This misapplication appears most often when a concept, an idea, or an intangible product is involved. Webster defines public relations as: relations with the general public through publicity; those functions of a corporation, organization, branch of military service, etc., concerned with informing the public of its activities, policies, etc., and attempting to create favorable public opinion.This definition implies a general, ongoing effort to supply information supporting the image of an organization. There is, however, a considerable difference between this kind of activity and the specific, overt process of marketing. This difference has been particularly apparent in attempts of public utilities to “sell” nuclear power plants. Utilities, of course, are monopoly suppliers and, as such, must seek a favorable image in the community. Thus, when public opposition to nuclear power plants mounted, many utilities responded with stepped-up public relations programs; the method they knew best. This article examines the experience of several utilities in locating nuclear plants and suggests how marketing techniques might be used in selling this intangible product.     

Challenges for multinational corporations

The author presents some thoughts about multinational corporations, traces the evolution of the multinational operations of his organization, and outlines some of the broad challenges ahead for multinational companies.     

Multi-population mortality models: fitting,forecasting and comparisons

We review a number of multi-population mortality models: variations of the Li & Lee model, and the common-age-effect (CAE) model of Kleinow. Model parameters are estimated using maximum likelihood. Although this introduces some challenging identifiability problems and complicates the estimation process it allows a fair comparison of the different models. We propose to solve these identifiability problems by applying two-dimensional constraints over the parameters. Using data from six countries, we compare and rank, both visually and numerically, the models’ fitting qualities and develop forecasting models that produce non-diverging, joint mortality rate scenarios. It is found that the CAE model fits best. But we also find that the Li and Lee model potentially suffers from robustness problems when calibrated using maximum likelihood.     

Forecasting mortality with a hyperbolic spatial temporal VAR model

Accurate forecasts of mortality rates are essential to various types of demographic research like population projection, and to the pricing of insurance products such as pensions and annuities. Recent studies have considered a spatial–temporal vector autoregressive (STVAR) model for the mortality surface, where mortality rates of each age depend on the historical values for that age (temporality) and the neighboring cohorts ages (spatiality). This model has sound statistical properties including co-integrated dependent variables, the existence of closed-form solutions and a simple error structure. Despite its improved forecasting performance over the famous Lee–Carter (LC) model, the constraint that only the effects of the same and neighboring cohorts are significant can be too restrictive. In this study, we adopt the concept of hyperbolic memory to the spatial dimension and propose a hyperbolic STVAR (HSTVAR) model. Retaining all desirable features of the STVAR, our model uniformly beats the LC, the weighted functional demographic model, STVAR and sparse VAR counterparties for forecasting accuracy, when French and Spanish mortality data over 1950–2016 are considered. Simulation results also lead to robust conclusions. Long-term forecasting analyses up to 2050 comparing the four models are further performed. To illustrate the extensible feature of HSTVAR to a multi-population case, a two-population illustrative example using the same sample is further presented.     

李树青生平与伊黎、魏尔万合著之《土地经济学》的中译

研究目的：探讨李树青的生平和他翻译伊黎与魏尔万合著之《土地经济学》一书的经过。研究方法：文献分析法。研究结果：李树青将伊黎与魏尔万合著的《土地经济学》翻译成中文,是中国土地经济学界的一大盛事。研究结论：李树青在中国土地经济学史上具有重要的地位。     

On the performance of the tick test

In financial research, the sign of a trade (or identity of trade aggressor) is not always available in the transaction dataset and it can be estimated using a simple set of rules called the tick test. In this paper we investigate the accuracy of the tick test from an analytical perspective by providing a closed formula for the performance of the prediction algorithm. By analyzing the derived equation, we provide formal arguments for the use of the tick test by proving that it is bounded to perform better than chance (50/50) and that the set of rules from the tick test provides an unbiased estimator of the trade signs. On the empirical side of the research, we compare the values from the analytical formula against the empirical performance of the tick test for fifteen heavily traded stocks in the Brazilian equity market. The results show that the formula is quite realistic in assessing the accuracy of the prediction algorithm in a real data situation.     

Incorporating the Bühlmann credibility into mortality models to improve forecasting performances

In this paper, we incorporate the Bühlmann credibility into three mortality models (the Lee–Carter model, the Cairns–Blake–Dowd model, and a linear relational model) to improve their forecasting performances, as measured by the MAPE (mean absolute percentage error), using mortality data for the UK. The results show that the MAPE reduction ratios for the three mortality models with the Bühlmann credibility are all significant. More importantly, the MAPEs under the three mortality models with the Bühlmann credibility are very close to each other for each age and forecast year. Thus, by incorporating the Bühlmann credibility we are able to converge the forecasting MAPEs resulting from the three different mortality models to a lower and more consistent level. Moreover, we provide a credibility interpretation with an individual time trend for age x and a group time trend for all ages. Finally, we apply the forecasted mortality rates both with and without the Bühlmann credibility to the net single premiums of life insurance products, and compare the corresponding MAPEs.     

A Comment on “The Dilemmas of Technology”

This paper documents Hohfeld's influence on interwar American institutionalism. We will mainly focus on three leading figures of the movement: John Rogers Commons, Robert Lee Hale, and John Maurice Clark. They regarded Hohfeld's contribution on jural relations as a preliminary step toward the understanding of the adversarial nature of legal rights. Albeit with substantial differences in style, method and emphasis, Hohfeld's schema provided a powerful analytical and rhetorical tool for their analysis.     

Stochastic mortality under measure changes

We provide a self-contained analysis of a class of continuous-time stochastic mortality models that have gained popularity in the last few years. We describe some of their advantages and limitations, examining whether their features survive equivalent changes of measures. This is important when using the same model for both market-consistent valuation and risk management of life insurance liabilities. We provide a numerical example based on the calibration to the French annuity market of a risk-neutral version of the model proposed by Lee & Carter (1992).