Die systematische Entstehung von versicherungsmathematischen Gewinnen und Verlusten bei der Bewertung von Pensionsverpflichtungen

The accounting for pension obligations is based upon numerous parameters, whose future developments must be forecasted for valuation purposes. If the actual realizations of theses parameters deviate from their original estimations there are generated so-called actuarial gains and losses. IAS 19 provides three alternative accounting treatments with respect to these actuarial gains and losses. In particular the equity and the corridor approach, both frequently used in practice, implicitly assume that the actuarial gains and losses offset each other in the long run. However different studies have demonstrated by using the Monte-Carlo-Simulation-technique that this long-term offset is not assured. But those studies do not propose a rationale for the observed generation of systematic actuarial gains and losses. The present paper provides an analytic rationale for the systematic appearance of actuarial gains and losses and comes to the following conclusion: The long-term offset of actuarial gains and losses is assured only if the parameters that must be estimated for valuation purposes are independent. However if there is an interdependence between those parameters, which seems to be a sound assumption in reality, the offset of actuarial gains and losses is not given. In case of a positive correlation actuarial losses are generated on a systematic basis, whereas a negative correlation results in actuarial gains.     

Book reviews

Statistical Papers -     

加拿大采矿业注重培养技术工人

采矿业面临着内外因素困扰,前进路上步履艰难,外部矿产品价格低迷,内部作业条件与环境恶劣.在这种严峻的情况下,矿业要千方百计克服矿产品开采与加工中的各种困难(挖掘深度加大、矿种品位降低、环保要求严格等等),除了提高生产效率、降低成本,最重要的是加快人才培养,改善人力资源管理.要达到上述目的,依靠传统办法,无法实现.所幸的是,进入21世纪后,以微电子技术为核心的科技进步为此提供了可靠的技术保证.这种需要与可能相结合就会诱导出一场变革,即技术革新,其中矿山自动化是这场变革中的主角.     

A structured variational learning approach for switching latent factor models

A data-driven approach for modeling volatility dynamics and co-movements in financial markets is introduced. Special emphasis is given to multivariate conditionally heteroscedastic factor models in which the volatilities of the latent factors depend on their past values, and the parameters are driven by regime switching in a latent state variable. We propose an innovative indirect estimation method based on the generalized EM algorithm principle combined with a structured variational approach that can handle models with large cross-sectional dimensions. Extensive Monte Carlo simulations and preliminary experiments with financial data show promising results.     

The two-sample t test versus satterthwaite's approximate f test

A comparison between the two-sample t test and Satterthwaite's approximate F test is made, assuming the choice between these two tests is based on a preliminary test on the variances. Exact formulas for the sizes and powers of the tests are derived. Sizes and powers are then calculated and compared for several situations.     

Sequential Pattern Analysis: A Statistical Investigation of Sequence Length and Support

In sequential pattern analysis, the frequency of patterns is evaluated by the support. While computed efficiently from large databases, we show that the support cannot be compared between different databases, since it is influenced by the actual sequence length distribution. Models for this sequence length distribution are surveyed. One of these models, the Good distribution, appears to be sufficiently flexible for practice. It is used to exemplify an approach for adjusting the relative support such that the resulting adjusted support values are better comparable between different databases. We illustrate our findings with texts from the bilingual FinDe corpus.     

Male victims of child sexual abuse

Despite the increased attention the subject of child sexual abuse has received in recent years, rarely has much consideration been given to the boys and adolescent males who are the victims of such abuse. That young girls are consistently the clear majority of sexual abuse victims is not disputed, however the extent to which they are the majority is in question. A review of existing literature has indicated that one of the leading factors for this inadvertent negligence in presenting a truer picture of the magnitude of the problem for male victims concerns the area of under-reporting of the incidence of abuse of young males. Under-reporting has served to give a false sense of the scope of child sexual abuse, particularly for male children. Many societal and methodological factors contribute to under-reporting. Reasons for the discrepancy in reporting abuse will be presented and implications for practice will be discussed.