Dynamic entry deterrence in the UK pathology services market

This paper describes work on a dynamic model of entry deterrence applied to the UK National Health Service (NHS) market for pathology services. The model, based on a game theoretical framework, is concerned with decision support applications. Presented in this paper is a case study analysis of a geographical region in which a provider of pathology services is concerned at the prospect of being exposed to competition from a new entrant. The incumbent provider may undertake strategic investments to create a stock of knowledge and goodwill with the intention of dissuading others from entering the market. The effect of a new entrant is modelled as perturbation of a pre-existing stable Nash-Cournot equilibrium in an oligopolistic market, and is influenced by market forces subject to Government regulation. The original contribution of this study is to identify the nature of these potential strategic investments and their interaction with cash flows. Recent historical data and managerial analysis are used to characterise market growth. An estimate of the incumbent provider's market share which is at risk can be found by examining the local geographical distribution of providers and purchasers of pathology services. On the basis of this analysis we propose a method for obtaining the strategic investment profile which minimises the total investment required to deter entry.     

高校公共就业服务个人自愿供给对就业水平影响机理的实证研究

“多中心治理”框架下完善的公共就业服务体系应该是政府供给、市场供给和自愿供给的有效融合,公共就业服务自愿供给机制能否有效弥补政府供给和市场供给的相对不足。文章构建了公共就业服务个人自愿供给影响就业的逻辑回归模型,基于4所高校3336份问卷调查的实际数据进行了实证检验,实证结果表明,无论是基于个体自选择信息还是利用个体志愿者多维行为特征的整合来确定个体志愿者的身份,大学生公共就业服务自愿供给均对就业产生显著正向影响,而且不同类型的公共就业服务自愿供给对就业影响存在显著差异,提供就业信息、传授求职经验、介绍面试技巧3类自愿供给服务对就业影响最显著,而介绍简历制作技巧类自愿供给对提升就业无影响。     

Quality adjusted measures of services in public schools

This study considers specification and estimation of cost functions in public schools. A number of production characteristics are included in the specification to control for observable differences between municipalities in the provision of their school services. Both parametric and non-parametric approaches are used to take into account the quality differences in school services. These approaches are then compared to the alternative output measure without any adjustment for quality differences. The sensitivity of different elasticities and returns to scale (RTS) measures with respect to alternative model specifications and quality adjustments are also analyzed. In the empirical section we examine performances of 286 Swedish municipalities in the production of primary and secondary school education during the 1992/3–1994/5 school years.     

Simple measure of similarity for the market graph construction

A simple measure of similarity for the construction of the market graph is proposed. The measure is based on the probability of the coincidence of the signs of the stock returns. This measure is robust, has a simple interpretation, is easy to calculate and can be used as measure of similarity between any number of random variables. For the case of pairwise similarity the connection of this measure with the sign correlation of Fechner is noted. The properties of the proposed measure of pairwise similarity in comparison with the classic Pearson correlation are studied. The simple measure of pairwise similarity is applied (in parallel with the classic correlation) for the study of Russian and Swedish market graphs. The new measure of similarity for more than two random variables is introduced and applied to the additional deeper analysis of Russian and Swedish markets. Some interesting phenomena for the cliques and independent sets of the obtained market graphs are observed.     

Long-tail longitudinal modeling of insurance company expenses

The insurance industry is known to have high operating expenses in the financial services sector. Insurers, investors and regulators are interested in models to understand the behavior of expenses. However, the current practice ignores skewness, occasional negative values as well as their temporal dependence.Addressing these three features, this paper develops a longitudinal model of insurance company expenses that can be used for prediction, to identify unusual behavior, and to measure firm efficiency. Specifically, we use a three-parameter asymmetric Laplace density for the marginal distribution of insurers’ expenses in each year. Copula functions are employed to accommodate their temporal dependence. As a function of explanatory variables, the location parameter allows us to analyze an insurer’s expenses in light of the firm’s characteristics. Our model can be interpreted as a longitudinal quantile regression.The analysis is performed using property-casualty insurance company data from the National Association of Insurance Commissioners of years 2001-2006. Due to the long-tailed nature of insurers’ expenses, two alternative approaches are proposed to improve the performance of the longitudinal quantile regression model: rescaling and transformation. Predictive densities are derived that allow one to compare the predictions for individual insurers in a hold-out-sample. Both predictive models are shown to be reasonable with the rescaling method outperforming the transformation method. Compared with standard longitudinal models, our model is shown to be superior in identifying insurers’ unusual behavior.     

福建农村剩余劳动力的影响因素及转移趋势——基于超越对数生产函数模型

在新形势下,农村剩余劳动力转移对经济发展和社会稳定具有重要的影响.对福建省的13个农村剩余劳动力转移的影响因素进行数据分析,首先用相关分析确定5个重要因素,再基于逐步回归分析建立超越对数生产函数模型,确定影响农村剩余劳动力转移的2个关键因素:第二产业就业比重和第三产业就业比重,并结合灰色预测的结果,预测2011-2013年农村剩余劳动力转移趋势.最后,结合实际情况,提出针对性的建议.     

A calibrated model of local food system of Hawaii: What are the economic implications of the state's food goals and policies?

We develop a fully calibrated positive mathematical programming model for Hawaii's local food systems—which captures the production and the consumer sides of the market. Then we use the model to assess two proposed policies—a general excise tax (GET) exemption on locally produced foods, and an investment in agricultural infrastructure. For the GET exemption case, our results indicate an economic gain of $118 per $100 cost. On the other hand, an investment in 1,200 acres of land injected to support local production may generate an economic gain of up to $357 per $100 annual cost of the investment. However, these estimates should be considered preliminary, and thus viewed with caution. Although the model is used to capture Hawaii's local food systems, we believe that our model is generalizable and can be adopted by other economies to assess their respective food localization policies. Recommendations for Resource Managers

• Local food policies need to be based on quantitative terms instead of mere armchair speculation because often their potential outcomes may vary significantly.

• The current modeling framework demonstrates the potential of using positive mathematical programming (PMP) in capturing the intricacies of local food systems. However, this exploratory exercise should be viewed as preliminary in nature and the ensuing results were taken with caution because many important factors such as labor availability may have been left out.

• Thus, further model refinements are necessary to better capture the complexities of local food systems such as farm heterogeneity, availability of farm labor, water availability, and interisland transportation of farm products in the case of Hawaii.

     

台商投资大陆区位选择影响因素的实证分析

台商对大陆投资区位选择受地区市场因素、集聚因素、劳动力因素及基础设施基本政策等因素的影响.研究利用1995年至2007年台商投资区位选择的面板数据,首先验证了台商投资区位选择受到经济规模、区域开放程度、台商集聚度、劳动成本等关键因素的影响;并在此基础上,采用变系数面板数据模型重点分析了影响因素的时变特征.主要结论包括:外贸依存度指标的变化表现了台商投资由向外出口产品的模式逐渐转向在国内市场销售的模式;区域资金配套能力表明台商企业近些年呈现了对当地资金配套的需求;集聚因素影响显著性极高,说明台资企业的集聚现象非常显著,这与当前实际发展情况相似;劳动力因素结果说明台商对于劳动力的关注已从劳动力成本向劳动力质量转变等等.这些因素的时变特征,对台商投资大陆区位选择的行为是具有较强的解释力度.     

Estimating consumers' willingness to pay for individual quality attributes with DEA

In a highly competitive environment, a product's commercial success depends increasingly more upon the ability to satisfy consumers' preferences that are highly diversified. Since a product typically comprises a host of technological attributes, its market value incorporates all of the individual values of technological attributes. If the willingness-to-pay (WTP) for individual quality attributes of a product is known, one can conjecture the overall WTP or the imputed market price for the product. The market price listed by the producer has to be equal to or lower than this WTP for the commercial survival of the product. In this paper, we propose a methodology for estimating the value of individual product characteristics and thus the overall WTP of the product with DEA. Our methodology is based on a model derived from consumer demand theory on the one hand, and the recent developments in DEA on the other hand. The paper also presents a real case study for the mobile phone market, which is characterized by its high speed of innovation. On the theoretical side, we expect our framework to provide a possibility of combining DEA and consumer demand theory. We also expect that the empirical application will shed some light on the nature of the process of product differentiation based on consumers' valuation.     

城镇就业人数影响因素分析

就业问题是宏观调控的四大目标之一,由于就业涉及的影响因素众多,仅仅只从数据来判断影响因子是缺乏理论依据的.首先对就业理论做了简单的回顾和综述后,通过对城镇就业人数的时间序列建立GARCH(1,1)模型,得到目标波动受自身特点影响占总原因的31%,而外部因素的冲击占69%的结论.随后,对综述部分定性分析总结的经济指标和劳动指标逐个进行格兰杰因果检验,发现部分宏观经济指标与目标指标间具有相互的因果关系,并且以城镇就业人数作为被解释变量以宏观指标作为解释变量建立VAR模型,发现城镇就业人数受就业总人数、经济活动人数、居民消费支出和固定资产投资影响很大.     

Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts

We develop a theory of local risk minimization for payment processes in discrete time, and apply this theory to the pricing and hedging of equity-linked life-insurance contracts. Thus, we extend the work of Møller (2001a) in several directions: from risk minimization (which is done under a martingale measure) to local risk minimization (which is done under an arbitrary measure), from single claims to payment processes, from complete financial markets to possibly incomplete financial markets, from a single risky asset to several risky assets, and from finite state spaces to general state spaces.Moreover, we show that, when tradable financial assets are independent of mortality, a locally risk-minimizing hedging strategy for most claims in the combined financial and mortality market (such as those arising from equity-indexed annuities) may be expressed as the product of two simpler locally risk-minimizing hedging strategies: one for a purely financial claim, the other for a traditional (i.e. non-equity-linked) life-insurance claim.Finally, we also show, under general assumptions, that the minimal measure for the combined market is the product of the minimal measure for the financial market and the physical measure for the mortality.     

Long-tail longitudinal modeling of insurance company expenses

The insurance industry is known to have high operating expenses in the financial services sector. Insurers, investors and regulators are interested in models to understand the behavior of expenses. However, the current practice ignores skewness, occasional negative values as well as their temporal dependence.Addressing these three features, this paper develops a longitudinal model of insurance company expenses that can be used for prediction, to identify unusual behavior, and to measure firm efficiency. Specifically, we use a three-parameter asymmetric Laplace density for the marginal distribution of insurers’ expenses in each year. Copula functions are employed to accommodate their temporal dependence. As a function of explanatory variables, the location parameter allows us to analyze an insurer’s expenses in light of the firm’s characteristics. Our model can be interpreted as a longitudinal quantile regression.The analysis is performed using property–casualty insurance company data from the National Association of Insurance Commissioners of years 2001–2006. Due to the long-tailed nature of insurers’ expenses, two alternative approaches are proposed to improve the performance of the longitudinal quantile regression model: rescaling and transformation. Predictive densities are derived that allow one to compare the predictions for individual insurers in a hold-out-sample. Both predictive models are shown to be reasonable with the rescaling method outperforming the transformation method. Compared with standard longitudinal models, our model is shown to be superior in identifying insurers’ unusual behavior.     

Polynomial processes in stochastic portfolio theory

We introduce polynomial processes in the context of stochastic portfolio theory to model simultaneously companies’ market capitalizations and the corresponding market weights. These models substantially extend volatility stabilized market models considered in Fernholz and Karatzas (2005), in particular they allow for correlation between the individual stocks. At the same time they remain remarkably tractable which makes them applicable in practice, especially for estimation and calibration to high dimensional equity index data. In the diffusion case we characterize the polynomial property of the market capitalizations and their weights, exploiting the fact that the transformation between absolute and relative quantities perfectly fits the structural properties of polynomial processes. Explicit parameter conditions assuring the existence of a local martingale deflator and relative arbitrages with respect to the market portfolio are given and the connection to non-attainment of the boundary of the unit simplex is discussed. We also consider extensions to models with jumps and the computation of optimal relative arbitrage strategies.     

山东省三次产业就业需求结构分析与预测研究

本文采用成分数据建模方法,构建了山东省三次产业就业结构预测模型和偏最小二乘通径分析模型,并利用所构建的模型对山东省2007年～2010年三次产业就业结构进行了预测分析,分析了山东省三次产业就业需求结构与产业投资结构、三次产业产值结构之间的关联关系.研究发现,山东省第一、二、三次产业就业需求结构由2000年的(53.1%:23.6%:23.3%)逐步优化,到2010年将演变为(23.6%:43.5%:32.9%),与现代产业发展规律相比还滞后很多.第二产业就业需求呈增长趋势,与我国经济发展处于工业化中期相符,为适应这种发展,第三产业就业比重尚显不足,急需大力发展第三产业以促进就业需求.通径分析模型测算结果显示,山东省产业就业需求结构发展呈现出较明显的投资拉动模式.其中,第一、三产业的投资对GDP,GDP对就业均有较强的拉动作用,且拉动效率较高;第二产业的投资对GDP有较强的拉动作用,随着制造产业的技术进步,第二产业产值的增大将通过促进第三产业的发展拉动就业.加大对三次产业的投资特别是第三产业的投资以增强第三产业吸纳就业的能力是提高就业需求的有效途径.     

Optimal skill mix: An application of the maximum principle for systems with retarded controls

In this paper, we analyze the optimal skill mix in a model with two kinds of imperfectly substitutable labor, skilled and unskilled. The population is characterized by a distribution of innate abilities, and individuals are trained according to optimal rules or market rules (with imperfect expectations); the length of each individual's training period depends upon his innate ability. The market and optimal rules are characterized and compared, and corrective policies are investigated. This model represents a major advance over earlier models, which are based on the following assumptions: (a) either unskilled and skilled labor are perfectly substitutable or training is a necessary condition for employment; (b) individuals are innately identical; (c) in most cases, training occurs either instantaneously or with fixed lag.Earlier versions of this paper were delivered at the IFAC/IFORS International Conference on Dynamic Modelling of National Economies held in Coventry, England. A Guest Lecture was delivered by the first author to the 14th Biennial Seminar of the Canadian Mathematical Congress on Optimal Control Theory and its Applications held in London, Ontario, 1973. The authors acknowledge with appreciation support from a National Science Foundation Grant in Economics to Carnegie-Mellon University; in addition, the second author was supported by a Ford Foundation Faculty Research Fellowship during the academic year 1970–71. The authors are indebted to D. Cass, R. E. Lucas, and G. L. Thompson for valuable comments on an earlier draft, although all remaining errors of commission and omission are ours.     

Bargaining solutions at work: Qualitative differences in policy implications

Traditional bargaining theory characterizes solutions to bargaining problems by their properties in the utility space. In applications, however, one is usually interested in the implications of the conflict resolution within the economic environment, where the properties of axiomatic bargaining solutions are less well understood. By means of a standard bargaining model for the labor market we demonstrate that economic policy implications may be very sensitive to the choice of the bargaining solution. More specifically, the induced employment effects of a change in the reservation wage under the Nash-solution may differ substantially from those under the Kalai–Smorodinsky, the egalitarian, or the equal-loss solution. Hence, the choice of the bargaining solution is not innocuous, even if one is only interested in qualitative policy conclusions.     

Optimal inventory management for a retail chain with diverse store demands

Item demands at individual retail stores in a chain often differ significantly, due to local economic conditions, cultural and demographic differences and variations in store format. Accounting for these variations appropriately in inventory management can significantly improve retailers’ profits. For example, it is shown that having greater differences across the mean store demands leads to a higher expected profit, for a given inventory and total mean demand. If more than one inventory shipment per season is possible, the analysis becomes dynamic by including updated demand forecasts for each store and re-optimizing store inventory policies in midseason. In this paper, we formulate a dynamic stochastic optimization model that determines the total order size and the optimal inventory allocation across nonidentical stores in each period. A generalized Bayesian inference model is used for demands that are partially correlated across the stores and time periods. We also derive a normal approximation for the excess inventory from the previous period, which allows the dynamic programming formulation to be easily solved. We analyze the tradeoffs between obtaining information and profitability, e.g., stocking more stores in period 1 provides more demand information for period 2, but does not necessarily lead to higher total profit. Numerical analyses compare the expected profits of alternative supply chain strategies, as well as the sensitivity to different distributions of demand across the stores. This leads to novel strategic insights that arise from adopting inventory policies that vary by store type.     

Risk Minimization for a Filtering Micromovement Model of Asset Price

Abstract

The classical option hedging problems have mostly been studied under continuous-time or equally spaced discrete-time models, which ignore two important components in the actual price: random trading times and market microstructure noise. In this paper, we study optimal hedging strategies for European derivatives based on a filtering micromovement model of asset prices with the two commonly ignored characteristics. We employ the local risk-minimization criterion to develop optimal hedging strategies under full information. Then, we project the hedging strategies on the observed information to obtain hedging strategies under partial information. Furthermore, we develop a related nonlinear filtering technique under the minimal martingale measure for the computation of such hedging strategies.     

Optimal liquidation under partial information with price impact

We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model is consistent with stylized facts of high frequency data such as the discrete nature of tick data and the clustering in the order flow. We include both temporary and permanent effects into our analysis. We use stochastic filtering to reduce the optimal liquidation problem to an equivalent optimization problem under complete information. This leads to a stochastic control problem for piecewise deterministic Markov processes (PDMPs). We carry out a detailed mathematical analysis of this problem. In particular, we derive the optimality equation for the value function, we characterize the value function as continuous viscosity solution of the associated dynamic programming equation, and we prove a novel comparison result. The paper concludes with numerical results illustrating the impact of partial information and price impact on the value function and on the optimal liquidation rate.     

Bank-level estimates of market power

The aim of this study is to provide an empirical methodology for the estimation of market power of individual banks. The new method employs the well-known model of Panzar and Rosse (1987) and proposes its estimation using the local regression technique. Local regression yields coefficient estimates equal to the number of observations and, thus, market power is estimated for each bank at each point in time. In addition, a number of restrictive assumptions regarding the properties of the production function of banks are relaxed. A panel of banks from transition countries that has been recently employed by Delis (2010) to obtain market power estimates using the Panzar and Rosse model at the country level is used for comparative purposes. We find that country averages of the bank-level results exhibit a very close relationship with standard, industry-level Panzar-Rosse estimates. However, the empirical results suggest that many banks in countries with fairly competitive banking systems deviate significantly from the country averages and that market power varies substantially across banks in each country.