Pricing a stochastic car value depreciation deal

This paper deals with pricing a contract under which a dealer buys back a car from a client, for a cash amount contained in a given depreciation table. The value of the car is supposed to depreciate according to a stochastic model with random repairs modeled by a Poisson process. Copyright © 2013 John Wiley & Sons, Ltd.     

Optimal Dynamic Investment Policy for Different Tax Depreciation Rates and Economic Depreciation Rates

This paper analyzes the investment policy consequences of incorporating a tax depreciation rate different from the economic depreciation rate. Most often, firms choose their tax depreciation rate in a strategic way. Therefore, it would be a coincidence, should the optimization process lead to a tax depreciation rate that equals the economic depreciation rate. The implications of a difference between tax depreciation rate and economic depreciation rate are investigated in an optimal control model for the determination of the firm investment policy over time.     

Bankruptcy prediction by generalized additive models

We compare several accounting‐based models for bankruptcy prediction. The models are developed and tested on large data sets containing annual financial statements for Norwegian limited liability firms. Out‐of‐sample and out‐of‐time validation shows that generalized additive models significantly outperform popular models like linear discriminant analysis, generalized linear models and neural networks at all levels of risk. Further, important issues like default horizon and performance depreciation are examined. We clearly see a performance depreciation as the default horizon is increased and as time goes by. Finally a multi‐year model, developed on all available data from three consecutive years, is compared with a one‐year model, developed on data from the most recent year only. The multi‐year model exhibits a desirable robustness to yearly fluctuations that is not present in the one‐year model. Copyright © 2006 John Wiley & Sons, Ltd.     

Stochastic optimization approach of car value depreciation

This paper presents a stochastic model for a car's value and its depreciation under random repairs modeled by a Poisson process; the usage functional is defined, and the optimal selling time is estimated. Exact or approximative formulas are provided where possible. The car's value is evaluated as an asset with negative return and paying random normally distributed dividends at stochastic times, which are Erlang distributed. Copyright © 2012 John Wiley & Sons, Ltd.     

The effect of tax depreciation on the stochastic replacement policy

The optimal replacement policy for an asset subject to a stochastic deteriorating operating cost is determined for three different tax depreciation schedules and a known re-investment cost, as the solution to a two-factor model using a quasi-analytical method. We find that tax depreciation exerts a critical influence over the replacement policy by lowering the operating cost thresholds. Although typically a decline in the corporate tax rate, increase in any initial capital allowance, or decrease in the depreciation lifetime (increase in depreciation rate) results in a lower operating cost threshold which justifies replacing older equipment, these results are not universal, and indeed for younger age assets the result may be the opposite. An accelerating depreciation schedule may incentivize early replacement in a deterministic context, but not necessarily for an environment of uncertainty.     

固定资产折旧方法比较

固定资产折旧方法很多,常见的有直线折旧法、工作量法、双倍余额递减法和年数总和法。直线折旧法的优点是简单明了、易于掌握,缺点是没有考虑固定资产的利用程度和使用强度;年数总和法是以递减分数作为折旧率,分别乘以固定资产净值的折旧方法。相比而言,它是一种比较合理、系统的方法     

Optimal smoothing of accounting earnings

Accountants seeking to estimate the profitability of a firmvia the calculation of earnings utilize information about thenumber and current lifespan of unfinished activities by incorporatinga smoothing device—depreciation—into their calculations.This paper considers a firm in steady state, carrying out alarge number of similar activities with random starts and completiondates. By developing a stochastic model for the firm's activities,a difference equation for the minimum-variance smoothing functionis obtained. This can be solved explicitly in the case of aperiodic Poisson process of start times and independent exponentialdurations and is a variant of declining-balance depreciation.     

Stationary dual prices and depreciation

This paper models a machine replacement and capacity expansion problem as an infinite-horizon linear program. We establish a strong duality result and show that stationary dual prices are optimal, regardless of initial conditions. These prices measure the economic value of owning vintage machinery and thus define depreciation schedules. We present necessary and sufficient conditions for straight-line depreciation.This work was partially supported by grants ECS-8312008 and ECS-8619732 from the National Science Foundation.