Deferred life annuities: on the combined effects of stochastic mortality and interest rates

The paper analyzes the systematic risk which is inherent in a portfolio of deferred life annuities. We take into account stochastic mortality as well as stochastic interest rates. For the specification of the mortality rate dynamics, we consider a pure diffusion model as well as a compound Poisson jump model. The interest rate dynamics are given by a one-factor Hull–White model. All models, interest rate and mortality rate, are calibrated to financial market as well as demographic data. We use Monte Carlo simulations to approximate the variance of the discounted cash flow and its decomposition into a pooling and a non-pooling risk part. We also consider pricing effects using the principle of zero expected utility and the quantile principle. The estimated risk premiums are benchmarked to the equivalence premium. Finally, we focus on solvency requirements which are based on the investment decisions and the associated shortfall probability of the annuity provider.     

Evaluation of scheduling strategies for a dynamic job shop in a tool-shared,flexible manufacturing environment

A two-phase approach is used to examine the impact of job scheduling rules and tool selection policies for a dynamic job shop system in a tool-shared, flexible manufacturing environment. The first phase develops a generalized simulation model and analyses 'simple' job scheduling rules and tool selection policies under various operating scenarios. The results from this investigation are then used to develop and analyse various bi-criteria rules in the second phase of this study. The results show that the scheduling rules have the most significant impact on system performance, particularly at high shop load levels. Tool selection policies affect some of the performance measures, most notably, proportion of tardy jobs, to a lesser degree. Higher machine utilizations can be obtained at higher tool duplication levels but at the expense of increased tooling costs and lower tool utilization. The results also show that using different processing time distributions may have a significant impact on shop performance.     

城市的精神

面对全球化的挑战,城市风尚具有越来越重要的政治意蕴.这是因为,全球化正在使不同的文化传统、不同的生活方式迅速同一化和均质化,在国家层面,对抗这种同一化和均质化是相当困难的,而在城市层面,城市风尚的培养或恢复可以有效地保护文化多样性.     

Does product complexity matter for competition in experimental retail markets?

We describe a first experiment on whether product complexity affects competition and consumers in retail markets. We are unable to detect a significant effect of product complexity on prices, except insofar as the demand elasticity for complex products is higher. However, there is qualified evidence that complex products have the potential to induce consumers to buy more than they would otherwise. In this sense, consumer exploitability in quantities cannot be ruled out. We also find evidence for shaping effects: consumers’ preferences are shaped by past experience with prices, and firms may in principle exploit this to sell more.     

Racial capitalism and STEM education in Chicago Public Schools

ABSTRACT

This article analyzes the role of STEM initiatives designed by city and corporate elites in a large urban district and outlines an alternative, grassroots vision for (STEM) education and city schools. Within a neoliberal context of gentrification, displacement, disinvestment, and privatization, STEM schools have become strategic components of Chicago’s ‘portfolio district’ that serve the interests of racial capitalism in three ways. First, STEM schools provide a claim to fairness in the midst of racist school closures. Second, STEM high schools are a corporate strategy for racially stratified labor force preparation that restricts curriculum and reifies tracking. Third, curriculum restriction prioritizes corporate interests over students’ capacity to shape their communities and the world. The authors draw on the wisdom of Chicago communities who have led resistance against corporate education reform to critique Chicago STEM policy and point to critical mathematics and science education as part of a model for sustainable community schools.     

Identification Properties of Recent Production Function Estimators

This paper examines some of the recent literature on the estimation of production functions. We focus on techniques suggested in two recent papers, Olley and Pakes (1996) and Levinsohn and Petrin (2003). While there are some solid and intuitive identification ideas in these papers, we argue that the techniques can suffer from functional dependence problems. We suggest an alternative approach that is based on the ideas in these papers, but does not suffer from the functional dependence problems and produces consistent estimates under alternative data generating processes for which the original procedures do not.     

Robust Bayesian model selection for variable clustering with the Gaussian graphical model

Statistics and Computing - Variable clustering is important for explanatory analysis. However, only few dedicated methods for variable clustering with the Gaussian graphical model have been...     

基于一种半开式滑槽球副的3-PSP并联平台设计

提出在并联机构中应用一种1移动3转动半开式滑槽球副结构,该运动副将1个移动副和1个球副集成为一个复合的运动副,可以缩短并联机构中支链的尺寸链,有助于提高并联机构精度。基于半开式滑槽球副设计了一种3自由度(3-DOF)PSP三轴并联平台,通过对此机构进行的运动分析和支链的精度分析,导出各个支链的逆解方程,同时根据影响支链运动精度的各个因素给出支链系统误差的线性补偿方程,证明此并联机构具有易于控制、运动精度高的优势。     

Linear Increments with Non‐monotone Missing Data and Measurement Error

Linear increments (LI) are used to analyse repeated outcome data with missing values. Previously, two LI methods have been proposed, one allowing non‐monotone missingness but not independent measurement error and one allowing independent measurement error but only monotone missingness. In both, it was suggested that the expected increment could depend on current outcome. We show that LI can allow non‐monotone missingness and either independent measurement error of unknown variance or dependence of expected increment on current outcome but not both. A popular alternative to LI is a multivariate normal model ignoring the missingness pattern. This gives consistent estimation when data are normally distributed and missing at random (MAR). We clarify the relation between MAR and the assumptions of LI and show that for continuous outcomes multivariate normal estimators are also consistent under (non‐MAR and non‐normal) assumptions not much stronger than those of LI. Moreover, when missingness is non‐monotone, they are typically more efficient.