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Insurance by Government or Against Government? Overview of Public Risk Management Policies 由政府投保还是向政府投保?公共风险管理政策概述
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2017-04-01 DOI: 10.1111/joes.12144
J. Libich, M. Macháček
{"title":"Insurance by Government or Against Government? Overview of Public Risk Management Policies","authors":"J. Libich, M. Macháček","doi":"10.1111/joes.12144","DOIUrl":"https://doi.org/10.1111/joes.12144","url":null,"abstract":"In what contexts is it desirable that the government, rather than the private sector, takes on the role of an insurer and helps people reduce risks? Our discussion implies that while in a number of areas individuals benefit from well-designed insurance provided by their government, ill-designed public policies (for example existing pay-as-you-go pension systems) force individuals to insure against their government. It is further discussed how governments could improve their risk managing role in many areas by using income contingent loans, provided the country has high-quality institutions and governance. Such loans to artists, sportspeople, flood victims or collapsing financial institutions would replace the existing nonrepayable transfers, grants, subsidies and bailouts. Using a simple efficiency-equity-sustainability framework for comparing income contingent schemes with conventional public and private insurance policies, we document that this would enable governments to extend their insurance assistance to a greater number of people and institutions – in a way that is not only equitable but also efficient and fiscally sustainable.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129458423","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
An Algorithm to Approximate the Optimal Expected Inner Product of Two Vectors with Given Marginals 一种具有给定边界的两个向量的最优期望内积近似算法
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2017-02-02 DOI: 10.2139/ssrn.2741105
Giovanni Puccetti
{"title":"An Algorithm to Approximate the Optimal Expected Inner Product of Two Vectors with Given Marginals","authors":"Giovanni Puccetti","doi":"10.2139/ssrn.2741105","DOIUrl":"https://doi.org/10.2139/ssrn.2741105","url":null,"abstract":"We introduce a new algorithm, called the swapping algorithm, to approximate numerically the minimal and maximal expected inner product of two random vectors with given marginal distributions. As a direct application, the algorithm computes an approximation of the L2-Wasserstein distance between two multivariate measures. The algorithm is simple to implement, accurate and less computationally expensive than the algorithms generally used in the literature for this problem. The algorithm also provides a discretized image of optimal measures and can be extended to more general cost functionals.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125308564","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Compositional Methods Applied to Capital Allocation Problems 组合方法在资本配置问题中的应用
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-10-27 DOI: 10.21314/JOR.2016.345
Jaume Belles-Sampera, Montserrat Guillén, Miguel Santolino
{"title":"Compositional Methods Applied to Capital Allocation Problems","authors":"Jaume Belles-Sampera, Montserrat Guillén, Miguel Santolino","doi":"10.21314/JOR.2016.345","DOIUrl":"https://doi.org/10.21314/JOR.2016.345","url":null,"abstract":"In this paper, we examine the relationship between capital allocation problems and compositional data, i.e., information that refers to the parts of a whole conveying relative information. We show that capital allocation principles can be interpreted as compositions. The natural geometry and vector space structure of compositional data are used to operate with capital allocation solutions. The distance and average that are appropriated in the geometric structure of compositions are presented.We demonstrate that these two concepts can be used to compare capital allocation principles and merge them. An illustration is provided to show how the distance between capital allocation solutions and the average of these solutions can be computed, and interpreted, by risk managers in practice.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"154 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114902573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Empirical Evidence on the Topological Properties of Structural Paths and Some Notes on Its Theoretical Explanation 结构路径拓扑性质的经验证据及其理论解释注解
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-10-12 DOI: 10.2139/ssrn.3066621
Denis Stijepic
{"title":"Empirical Evidence on the Topological Properties of Structural Paths and Some Notes on Its Theoretical Explanation","authors":"Denis Stijepic","doi":"10.2139/ssrn.3066621","DOIUrl":"https://doi.org/10.2139/ssrn.3066621","url":null,"abstract":"The mathematical literature has developed a large pool of topological concepts and theorems for dynamic systems analysis. The aim of our paper is to make a first step towards the application of these concepts and theorems in the analysis of (long-run) structural change (in the three-sector framework). Our approach focuses on two of the most basic topological notions, namely intersection and self-intersection of trajectories on a two-dimensional domain. We discuss the mathematical foundations of the application of these concepts in structural change analysis, use them for analyzing empirical data, and elaborate new stylized facts stating that different countries’ structural change trajectories are (non-self-)intersecting. Finally, we discuss briefly the theoretical explanations of (non-self-)intersection and a wide range of new research topics relating to (a) the topological classification and comparison of models and evidence and (b) the application of (further) topological concepts in standard branches of growth and development theory.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124497085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Modeling Partial Greeks of Variable Annuities with Dependence 具有相关性的可变年金的部分希腊模型
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-09-27 DOI: 10.2139/ssrn.2844509
Guojun Gan, Emiliano A. Valdez
{"title":"Modeling Partial Greeks of Variable Annuities with Dependence","authors":"Guojun Gan, Emiliano A. Valdez","doi":"10.2139/ssrn.2844509","DOIUrl":"https://doi.org/10.2139/ssrn.2844509","url":null,"abstract":"Dynamic hedging used to mitigate the financial risks associated with large portfolios of variable annuities requires calculating partial dollar deltas on major market indices. Metamodeling approaches have been proposed in the past few years to address the computational issues related to the calculation of partial dollar deltas. In this paper, we investigate whether the additional complication of modeling the dependence between the partial dollar deltas improves the accuracy of the metamodeling approaches. We use several copulas to model the dependence structures of the partial dollar deltas and conduct numerical experiments to compare different metamodels. Despite the evidence of strong dependence in the estimated models, our numerical results show that modeling the dependence structures in the metamodels does not improve the accuracy of the estimations at the portfolio level. This is because the dependence between the partial dollar deltas is well captured by the covariates used in the marginal models. This finding suggests that we should focus more on marginal models than specifying the dependence structure explicitly.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116499704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
On Maximal Vector Spaces of Finite Non-Cooperative Games 有限非合作对策的极大向量空间
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-09-19 DOI: 10.2139/ssrn.2840819
V. Kreps
{"title":"On Maximal Vector Spaces of Finite Non-Cooperative Games","authors":"V. Kreps","doi":"10.2139/ssrn.2840819","DOIUrl":"https://doi.org/10.2139/ssrn.2840819","url":null,"abstract":"We consider finite non-cooperative N person games with fixed numbers mi, i = 1, . . . , N , of pure strategies of player i. We propose the following question: is it possible to extend the vector space of finite non-cooperative m1 ? m2 ? . . . ? mN - games in mixed strategies such that all games of a broader vector space of non- cooperative N person games on the product of unit (mi ? 1)-dimensional simpleces have Nash equilibrium points? We get a necessary and sufficient condition for the negative answer. This condition consists of a relation between the numbers of pure strategies of the players. For two-person games the condition is that the numbers of pure strategies of the both players are equal","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121981201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
An Assessment of Operational Loss Data and Its Implications for Risk Capital Modeling 经营损失数据的评估及其对风险资本建模的影响
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-09-12 DOI: 10.21314/JOP.2016.178
Ruben D. Cohen
{"title":"An Assessment of Operational Loss Data and Its Implications for Risk Capital Modeling","authors":"Ruben D. Cohen","doi":"10.21314/JOP.2016.178","DOIUrl":"https://doi.org/10.21314/JOP.2016.178","url":null,"abstract":"A mathematical method based on a special dimensional transformation is employed to assess operational loss data from a new perspective. The procedure, which is formally known as the Buckingham (Pi) Theorem, is used broadly in the field of experimental engineering to extrapolate the results of tests conducted on models to prototypes. When applied to the operational loss data considered in this paper, the approach leads to a seemingly universal trend underlying the resulting distributions regardless of how the data set is divided (e.g., by event type, business line, revenue band). This dominating trend, which appears to also acquire a tail parameter of 1, could have profound implications for how operational risk capital is computed.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123891293","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Lie Symmetry Methods for Local Volatility Models 局部波动模型的Lie对称方法
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-09-06 DOI: 10.2139/ssrn.2836817
M. Craddock, M. Grasselli
{"title":"Lie Symmetry Methods for Local Volatility Models","authors":"M. Craddock, M. Grasselli","doi":"10.2139/ssrn.2836817","DOIUrl":"https://doi.org/10.2139/ssrn.2836817","url":null,"abstract":"We investigate PDEs of the form ut = 1/2 s^2 (t, x)u_xx - g(x)u which are associated with the calculation of expectations for a large class of local volatility models. We find nontrivial symmetry groups that can be used to obtain standard integral transforms of fundamental solutions of the PDE. We detail explicit computations in the separable volatility case when s(t, x) = h(t)(a + sx + ?x^2), g = 0, corresponding to the so called Quadratic Normal Volatility Model. We also consider choices of g for which we can obtain exact fundamental solutions that are also positive and continuous probability densities.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"21 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113971585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
On the Market-Neutrality of Optimal Pairs-Trading Strategies 论最优配对交易策略的市场中立性
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-08-29 DOI: 10.2139/ssrn.2831836
Bahman Angoshtari
{"title":"On the Market-Neutrality of Optimal Pairs-Trading Strategies","authors":"Bahman Angoshtari","doi":"10.2139/ssrn.2831836","DOIUrl":"https://doi.org/10.2139/ssrn.2831836","url":null,"abstract":"We consider the problem of optimal investment in a market with two cointegrated stocks and an agent with CRRA utility. We extend the findings of Liu and Timmermann [The Review of Financial Studies, 26(4):1048-1086, 2013] by paying special attention to when/if the associated stochastic control problem is well-posed and providing a verification result. Our new findings lead to a sharp well-posedness condition which is, surprisingly, also the necessary and sufficient condition for the optimal investment to be market-neutral (i.e. having offsetting long/short positions in the stocks). Hence, we provide a theoretical justification for market-neutral pairs-trading which, despite having a strong practical relevance, has been lacking a theoretical ground.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114266823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Integral Representation of Vega for American Put Options 美国看跌期权的Vega积分表示
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-07-25 DOI: 10.2139/ssrn.2827037
Yanchu Liu, Zhenyu Cui, Ning Zhang
{"title":"Integral Representation of Vega for American Put Options","authors":"Yanchu Liu, Zhenyu Cui, Ning Zhang","doi":"10.2139/ssrn.2827037","DOIUrl":"https://doi.org/10.2139/ssrn.2827037","url":null,"abstract":"There is an inaccurate formula in Huang et al. (1996). In fact, a substantial term is missing in their equation (14) for computing the value of an important option hedging parameter, i.e., the vega. We fix it in this note by providing its correct form and characterizing an associated (new) integral equation. Some related explanations and arguments are also corrected.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131099889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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