Search results

1 – 10 of 169
Article
Publication date: 16 August 2011

Mariarosaria Coppola, Emilia Di Lorenzo, Albina Orlando and Marilena Sibillo

The demographic risk is the risk due to the uncertainty in the demographic scenario assumptions by which life insurance products are designed and valued. The uncertainty…

2368

Abstract

Purpose

The demographic risk is the risk due to the uncertainty in the demographic scenario assumptions by which life insurance products are designed and valued. The uncertainty lies both in the accidental (insurance risk) and systematic (longevity risk) deviations of the number of deaths from the value anticipated for it. This last component gives rise to the risk due to the randomness in the choice of the survival model for valuations (model risk or projection risk). If the insurance risk component can be assumed negligible for well‐diversified portfolios, as in the case of pension annuities, longevity risk is crucial in the actuarial valuations. The question is particularly decisive in contexts in which the longevity phenomenon of the population is strong and pension annuity portfolios constitute a meaningful slice of the financial market – both typical elements of Western economies. The paper aims to focus on the solvency appraisal for a portfolio of life annuities, deepening the impact of the demographic risk according to suitable risk indexes apt to describe its evolution in time.

Design/methodology/approach

The financial quantity proposed for representing the economic wealth of the life insurance company is the stochastic surplus, and the paper analyses the impact on it of different demographic assumptions by means of risk indicators as the projection risk index, the quantile surplus valuation and the ruin probability. By means of the proposed models, the longevity risk is mainly taken into account in a stochastic scenario for the financial risk component, in order to consider their interactions, too. In order to furnish practical details significant in the portfolio risk management, several numerical applications clarify the practical meaning of the models in the solvency context.

Findings

This paper studies the impact on the portfolio surplus of the systematic demographic risk, taking into account their interaction with the financial risk sources. In this order of ideas, the internal risk profile of a life annuity portfolio is deeply investigated by means of suitable risk indexes: in a solvency analysis perspective, some possible scenarios for the evolution of death rates (generated by different survival models) are considered and this paper evaluates the impact on the portfolio surplus caused by different choices of the demographic model. The first index is deduced by a variance decomposition formula, the other ones involve the conditional quantile calculus and the ruin probability. Such indexes constitute benchmarks, whose conjoined use provides useful information to the meeting of the solvency requirements.

Originality/value

With respect to the recent actuarial literature, in which the most important contribution on the surplus analysis has been given by Lisenko et al. – where the analysis focuses on the financial aspect applied to portfolios of temporary and endowment contracts – the paper considers life annuity portfolios, taking into account the effect of the systematic demographic risk and its interactions with the financial risk components.

Details

The Journal of Risk Finance, vol. 12 no. 4
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 18 January 2022

Zhen-Yu Chen

Most epidemic transmission forecasting methods can only provide deterministic outputs. This study aims to show that probabilistic forecasting, in contrast, is suitable for…

Abstract

Purpose

Most epidemic transmission forecasting methods can only provide deterministic outputs. This study aims to show that probabilistic forecasting, in contrast, is suitable for stochastic demand modeling and emergency medical resource planning under uncertainty.

Design/methodology/approach

Two probabilistic forecasting methods, i.e. quantile regression convolutional neural network and kernel density estimation, are combined to provide the conditional quantiles and conditional densities of infected populations. The value of probabilistic forecasting in improving decision performances and controlling decision risks is investigated by an empirical study on the emergency medical resource planning for the COVID-19 pandemic.

Findings

The managerial implications obtained from the empirical results include (1) the optimization models using the conditional quantile or the point forecasting result obtain better results than those using the conditional density; (2) for sufficient resources, decision-makers' risk preferences can be incorporated to make tradeoffs between the possible surpluses and shortages of resources in the emergency medical resource planning at different quantile levels; and (3) for scarce resources, the differences in emergency medical resource planning at different quantile levels greatly decrease or disappear because of the existing of forecasting errors and supply quantity constraints.

Originality/value

Very few studies concern probabilistic epidemic transmission forecasting methods, and this is the first attempt to incorporate deep learning methods into a two-phase framework for data-driven emergency medical resource planning under uncertainty. Moreover, the findings from the empirical results are valuable to select a suitable forecasting method and design an efficient emergency medical resource plan.

Details

Kybernetes, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0368-492X

Keywords

Article
Publication date: 26 June 2009

Indunil De Silva

The main purpose of this paper is to investigate the sheepskin effects in the returns to education in the Sri Lankan labor market by ethnicity.

Abstract

Purpose

The main purpose of this paper is to investigate the sheepskin effects in the returns to education in the Sri Lankan labor market by ethnicity.

Design/methodology/approach

The study is based on the latest Sri Lankan Consumer Finance and Socio‐economic Survey. The study employs the quantile regression method for each conditional quantile wage group, rather than the mean regression analysis used in most labor market analysis. The quantile regression technique fits hyperplanes through out the conditional wage and is ideal for characterizing the entire wage distribution. The standard Mincerian wage equation was estimated for the full sample of male workers and separately for the two main ethnic groups in Sri Lanka.

Findings

The empirical findings are broadly encouraging. Quantile regression results suggest that average returns to education for both ethnic groups differs significantly from the returns at the two extreme ends of the wage distribution. In general, the returns to education are positive for both groups, but the returns are higher for Sinhalese workers than for Tamil. An increasing trend in returns to education is evident for both ethnic groups when moving up wage distribution. Sinhalese workers experience higher returns to education than for Tamil especially at the bottom of the wage distribution, but the difference becomes less at the upper part of the distribution. Estimated results with spline in years of education suggest that returns to secondary education are higher for Sinhalese workers, but the returns to tertiary education are greater for Tamil workers at the upper part of the wage distribution. Findings indicate that returns to experience are also higher for Sinhalese workers than for Tamil workers.

Originality/value

This is the first study that examines sheepskin effects in the returns to education by ethnicity in Sri Lanka in a Mincerian framework, employing quantile regression models.

Details

International Journal of Development Issues, vol. 8 no. 1
Type: Research Article
ISSN: 1446-8956

Keywords

Article
Publication date: 4 March 2014

Simplice Asongu

The issue of which financial initial conditions are necessary to materialize the benefits of financial globalization remains open to debate in the literature. In this…

2007

Abstract

Purpose

The issue of which financial initial conditions are necessary to materialize the benefits of financial globalization remains open to debate in the literature. In this paper, the author tries to put some empirical structure on the concept of financial threshold conditions in order to give policymakers guidance on the Kose et al. and Henry hypothesis. Its object is to assess whether financial benefits of financial globalization are questionable until greater domestic financial development has taken place in African countries. The paper aims to discuss these issues.

Design/methodology/approach

In framing the financial dimension in a more concrete and tractable manner, the author examines the concerns of how domestic financial initial dynamics of depth (economic and financial systems), efficiency (banking and financial systems), activity (banking and financial systems) and size, play out in the financial development benefits of financial globalization. The estimation approach consists of assessing the impact of financial globalization through out the conditional distributions of domestic financial development dynamics.

Findings

The introduction of previously missing financial dimensions into the debate generates a number of important findings. Only financial initial (threshold) conditions of size are necessary to materialize the benefits of financial globalization. While financial depth only partially validates the hypothesis, dynamics of efficiency and activity (credit) do not confirm the hypothesis.

Practical implications

Addressing the issue of surplus liquidity in African financial institutions could improve the benefits of financial size and potentially reverse the trends of financial efficiency and activity. Depending on the context of sampled countries, the appropriate role of policy has always been either to stem the tide of capital flows or encourage them. Policymakers who have been viewing their challenges exclusively from the latter perspective for benefits in growth (finance) might be getting the financial dynamics badly wrong.

Originality/value

Blanket financial development policies may not reap the financial benefits of financial globalization until domestic financial dynamics of depth, efficiency, activity and size are critically considered. The introduction of the last three previously missing components in the literature sheds more light on the globalization-development nexus.

Details

Journal of Economic Studies, vol. 41 no. 2
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 3 May 2016

Mirella Damiani, Fabrizio Pompei and Andrea Ricci

– The purpose of this paper is to analyse the role of performance-related pay (PRP) on productivity and wages of Italian firms.

1644

Abstract

Purpose

The purpose of this paper is to analyse the role of performance-related pay (PRP) on productivity and wages of Italian firms.

Design/methodology/approach

A unique data set for the Italian economy, obtained from the ISFOL Employer and Employee Surveys (2005, 2007, 2010), is used to estimate the relationship between PRP, labour productivity and wages, also controlling for an ample set of covariates. The authors performed standard quantile regressions (QRs) to investigate heterogeneity in associations of PRP with labour productivity and wages. In a second stage, the endogeneity of PRP was taken into account by using instrumental variable QR techniques.

Findings

The econometric estimates suggests that PRP are incentive schemes that substantially lead to efficiency enhancements and wage gains. These findings are confirmed for firms under union governance and suggest that well-designed policies, that circumvent the limited implementation of PRP practices, would guarantee productivity improvement and wage premiums for employees.

Research limitations/implications

The main limitation of the findings concerns PRP data, that do not offer statistical information on different types of schemes, at group or individual level.

Originality/value

This paper is the first to investigate, on a national scale for the Italian economy, the role of PRP on both productivity and wages, in order to shed light on the efficiency and distributive implications, whereas most of the studies of related literature are restricted to one of those aspects.

Details

International Journal of Manpower, vol. 37 no. 2
Type: Research Article
ISSN: 0143-7720

Keywords

Article
Publication date: 23 November 2021

Bao-Guang Chang and Kun-Shan Wu

The purpose of this paper is to study the influence of financial flexibility (FF) on enterprise performance (EP) within Taiwan’s hospitality industry during the COVID-19…

Abstract

Purpose

The purpose of this paper is to study the influence of financial flexibility (FF) on enterprise performance (EP) within Taiwan’s hospitality industry during the COVID-19 shock and explore whether EP varies with hospitality industry characteristics.

Design/methodology/approach

Secondary data of 39 Taiwan Stock Exchange-listed hospitality firms were collected from the Taiwan Economic Journal databases. Quantile regression analysis was applied to examine the FF-EP relationship

Findings

The results evidence that there is a U-shaped (convex) FF-EP relationship for hospitality firms in the 10th, 25th and 50th Tobin’s Q quantiles and in asset-heavy firms. For asset-light firms, FF has an inverted U-shaped (concave) effect on EP in the 90th Tobin’s Q quantile

Practical implications

The empirical results highlight the need for Taiwan’s hospitality industry as a whole to take rolling adjustment and optimization of FF and concentrate on liquidity risk management after the COVID-19 pandemic and for long-term sustainability.

Originality/value

To the best of the authors’ knowledge, this study is one of the first to examine the nonlinear FF-EP relationship in the hospitality industry of Taiwan, particularly amid the COVID-19 shock. Moreover, this study extends current literature by revealing the hospitality industry’s FF-EP relationship and highlights the importance of the pandemic crisis context.

Details

International Journal of Contemporary Hospitality Management, vol. 34 no. 2
Type: Research Article
ISSN: 0959-6119

Keywords

Article
Publication date: 8 October 2018

Gonzalo Gomez-Bengoechea and Alfredo Arahuetes

This paper aims to provide an empirical analysis of the macroeconomic determinants of sovereign bond yield spreads in the Eurozone from 2000 until August 2012, when the…

Abstract

Purpose

This paper aims to provide an empirical analysis of the macroeconomic determinants of sovereign bond yield spreads in the Eurozone from 2000 until August 2012, when the Outright Monetary Transactions programme was launched.

Design/methodology/approach

The authors constructed an unbalanced panel with quarterly data from 2000 Q1 to 2012 Q2 for the 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Luxembourg, Italy, The Netherlands, Portugal and Spain. The authors propose a model that explains spreads through the main categories of variables observed in the literature. The relationship between variables is analysed using ordinary least squares and quantile regressions. As discussed by the authors, quantile regressions provide a more precise estimation, given the huge heterogeneity across counties that can be observed in the Eurozone.

Findings

Results show that the relationship between sovereign risk and macroeconomic fundamentals is affected by a strong country sentiment effect. The impact of country sentiment on sovereign risk is larger for those countries that were already experiencing higher spreads. Regardless the impact that European Central Bank’s (ECB) intervention had on sovereign risk from 2012, quantile regression results suggest that policy recommendations and goals should be adapted to each country’s market perception.

Originality/value

The results obtained improve on previous findings on this topic (De Grauwe and Ji, 2012) in two ways. First, they show that even introducing every category of determinants found in the literature in the main specification, fundamentals can only partially explain the evolution of sovereign risk in the Eurozone. Second, they find there is a country-sentiment effect that affects the relationship between macroeconomic indicators and sovereign risk. Furthermore, the paper finds that the country-sentiment effect is larger for countries facing high spreads.

Details

Journal of Financial Economic Policy, vol. 11 no. 1
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 12 March 2021

Santi Gopal Maji and Farah Hussain

This paper examines the impacts of technical efficiency and intellectual capital efficiency (ICE) on bank performance in India after controlling other bank-…

Abstract

Purpose

This paper examines the impacts of technical efficiency and intellectual capital efficiency (ICE) on bank performance in India after controlling other bank-, industry-specific and macroeconomic variables.

Design/methodology/approach

The authors use secondary data on listed Indian commercial banks for the period 2005–2018. The authors use data envelopment analysis (DEA) technique-based Malmquist index (MI) to obtain technical efficiency and value-added intellectual coefficient (VAIC) model for computing ICE. System generalized method of moments (GMM) (SGMM) model in a dynamic framework is used to estimate the parameters, which takes into consideration issues of endogeneity, heterogeneity and persistence of bank performance. Further, the authors use quantile regression model to examine whether the impacts of covariates are homogeneous at different locations of the conditional distribution of bank performance.

Findings

The authors find positive impact of technical efficiency and negative influence of market concentration on bank performance. The results of the study support the efficient structure (ES) hypothesis (ESH). The authors observe positive influence of intellectual capital (IC) on bank performance, which indicates the relevance of intellectual resources in enhancing banks' value. Further, the results of quantile regression indicate that the impacts of technical efficiency and ICE are more pronounced at higher quantiles of the conditional distribution of bank performance.

Originality/value

This paper in the Indian context examines the influences of technical efficiency and ICE after controlling bank-, industry-specific and macroeconomic factors.

Details

Journal of Advances in Management Research, vol. 18 no. 5
Type: Research Article
ISSN: 0972-7981

Keywords

Article
Publication date: 29 April 2020

Cicero Francisco De Lima, Edward Martins Costa, Francisca Zilania Mariano, Wellington Ribeiro Justo and Pablo Urano de Carvalho Castelar

The objective of this work was to analyze the income differential of the rural–urban worker in relation to the rural–rural worker and in relation to the urban–urban worker…

Abstract

Purpose

The objective of this work was to analyze the income differential of the rural–urban worker in relation to the rural–rural worker and in relation to the urban–urban worker in the Brazilian labor market. Two databases were used, the 2005 and 2015 PNADs (Pesquisa Nacional Por Amostra de Domicílios).

Design/methodology/approach

The methodology is the decomposition approach proposed by Firpo et al. (2007, 2009). This method adopts estimates of unconditional quantile regressions, based on the concepts of influence function and recentered influence function (RIF).

Findings

Among the main results, income differentials were shown to benefit the urban–urban worker when compared to the rural–urban worker, and income differences to the benefit of the rural–urban workers, when these were compared to the rural–rural workers. The educational variable was relevant in explaining the income disparity and expressing increasing effects in the higher quantiles.

Originality/value

The methodology used in this work is considered recent in the literature as it is based on the RIF regression (Firpo et al., 2007, 2009). The main advantage of this method is the possibility of assigning a “composition effect” and a “wage structure effect” for each variable that determines the level of income at different points of the income distribution.

Details

Journal of Economic Studies, vol. 47 no. 4
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 9 April 2018

Francieli Tonet Maciel and Ana Maria Hermeto C. Oliveira

The purpose of this paper is to examine the effects of changes in the relative composition and in the segmentation between formal and informal labour on earnings…

Abstract

Purpose

The purpose of this paper is to examine the effects of changes in the relative composition and in the segmentation between formal and informal labour on earnings differentials among women over the last decade in Brazil.

Design/methodology/approach

The authors follow Machado and Mata’s method to decompose the changes along the earnings distribution, with correction for sample selection and using microdata from the Demographic Census of 2000 and 2010. Informal labour was divided into informal salaried labour and self-employment, and both groups were compared with the formal labour separately.

Findings

The results indicate that, in both cases, an increase in earnings differentials in the bottom of the earnings distribution due to segmentation, suggesting that the returns to formal labour have grown relatively to informal labour during the period. On the other hand, earnings differentials decrease as one moves up the earnings distribution due to the composition effect, which is stronger on the top of the distribution relatively to the bottom. Furthermore, there are compensating differentials for self-employed women above the 30th quantile, which contributed to reduce the inequality between this group and formal workers.

Originality/value

The paper contributes to a better understanding of the changes taking place in female labour, shedding some light on how they affect different points along the earnings distribution. Furthermore, the adopted approach proposes a new application for the correction of sample bias in the context of quantile regression by employing a logit multinomial, and using the Demographic Census data.

Details

International Journal of Social Economics, vol. 45 no. 4
Type: Research Article
ISSN: 0306-8293

Keywords

1 – 10 of 169