Likelihood-based risk estimation for variance-gamma models

Although the variance-gamma distribution is a flexible model for log-returns of financial assets, so far it has found rather limited applications in finance and risk management. One of the reasons is that maximum likelihood estimation of its parameters is not straightforward. We develop an EM-type algorithm based on Nitithumbundit and Chan (An ECM algorithm for skewed multivariate variance gamma distribution in normal mean–variance representation, arXiv:1504.01239, 2015) that bypasses the evaluation of the full likelihood, which may be difficult because the density is not in closed form and is unbounded for small values of the shape parameter. Moreover, we study the relative efficiency of our approach with respect to the maximum likelihood estimation procedures implemented in the VarianceGamma and ghyp R packages. Extensive simulation experiments and real-data analyses suggest that the multicycle ECM algorithm gives the best results in terms of root-mean-squared-error, for both parameter and value-at-risk estimation. The performance of the routines in the ghyp R package is similar but not as good, whereas the VarianceGamma package produces worse results, especially when the shape parameter is small.     

Bayesian joint modelling of benefit and risk in drug development

To gain regulatory approval, a new medicine must demonstrate that its benefits outweigh any potential risks, ie, that the benefit‐risk balance is favourable towards the new medicine. For transparency and clarity of the decision, a structured and consistent approach to benefit‐risk assessment that quantifies uncertainties and accounts for underlying dependencies is desirable. This paper proposes two approaches to benefit‐risk evaluation, both based on the idea of joint modelling of mixed outcomes that are potentially dependent at the subject level. Using Bayesian inference, the two approaches offer interpretability and efficiency to enhance qualitative frameworks. Simulation studies show that accounting for correlation leads to a more accurate assessment of the strength of evidence to support benefit‐risk profiles of interest. Several graphical approaches are proposed that can be used to communicate the benefit‐risk balance to project teams. Finally, the two approaches are illustrated in a case study using real clinical trial data.     

Relative Standing and Subjective Well-Being in South Africa: The Role of Perceptions,Expectations and Income Mobility

Most studies that explore the impact of relative standing on subjective well-being use objective measures of the individual’s relative position, such as the mean income of the reference group or the individual’s ranking in the relevant income distribution. In this paper, using a new household survey from South Africa, we are able to derive subjective measures of relative standing, as information is collected on individuals’ perceptions of where they rank in the income distribution. We find considerable differences between objective and subjective measures of an individual’s relative ranking. Furthermore, our results suggest that an individual’s perceived relative status has a significantly larger effect on subjective well-being than objective measures of relative status based on reported income. We also examine the effects on subjective well-being of how individuals perceive their relative position in the income distribution to have changed since childhood, and what they expect their relative position to be in the future. We find that future upward mobility has a smaller effect than upward mobility compared to one’s past, suggesting that life satisfaction is influenced more by what has been achieved than by anticipated achievements.     

The Effect of Maternal Mirroring Behavior on Infants’ Early Social Bidding During the Still‐Face Task

Maternal mirroring behavior, which is a particularly salient form of maternal responsiveness, was investigated as a predictor of infants’ social bids in the Still‐Face Task. Mother–infant dyads engaged in the Still‐Face Task when infants were 5 months, on the cusp of the active emergence of social bidding during the still‐face phase of the task. Maternal mirroring of infants’ behavior during the interactive phases of the task was a primary predictor of infants’ social bids in the still‐face phase. When infants were divided into those who experienced higher maternal mirroring (maternal mirroring above the mean of the sample) and infants who experienced lower maternal mirroring (maternal mirroring at or below the mean), infants with higher maternal mirroring showed increases in nondistress vocalizations during the still‐face phase, indicative of social bidding, whereas the infants with lower maternal mirroring showed little change in nondistress vocalizations across the phases. Maternal mirroring allows infants to readily notice the relation between their own behaviors and those of their mothers, which may enhance infants’ early understanding that they can be active agents in instigating social interactions, as demonstrated by social bidding.     

Vorbereiten, Begleiten und Nachbereiten von Auslandseinsätzen

Briefing, accompanying and debriefing assignments abroad. Topics, settings and occasions of intercultural coaching When managers go abroad, they need intercultural know-how in order to act appropriately. This is because the structure of an organization and even the style of leadership variies with the (national) culture. This article lists typical causes, topics and settings for intercultural coachings. The article follows the classical chronic of an assignment abroad: briefing, accompanying and debriefing. A case study on a German food-manager, who starts to work in France, is included.     

Planned and Unplanned Births and Conceptions in Italy, 1970–1995

Using FFS data on births andofficial data on abortions, focus is firstgiven to trends in planned and unplannedpregnancies during 1970–1995, comparing Italywith the USA and France. The next step is topinpoint groups where unplanned events are morecommon. Finally, the relationship betweenunplanned births and changes in contraceptivebehaviour is examined.The planned fertility decline distinguishesItaly from other Western countries. Unplannedbirths and abortions have also declinedconsiderably during the last twenty years.However, some caution is urged before it may beassumed that Italians are the masters of theirown fertility as, during the first half of1990s, 37% of conceptions were unplanned (atthe moment of the event), reaching 45% amongunder 20 and over 35 years old women.     

Policy development: An analysis of disability inclusion in a selection of African Union policies

Contemporary debates in international development discourse are concerned with the non‐tokenistic inclusion and participation of marginalized groups in the policy‐making process in developing countries. This is directly relevant to disabled people in Africa, which is the focus of this article. The United Nations Convention on the Rights of Persons with Disabilities delineates the principles of inclusion in society. Furthermore, the African Union (AU) plays a key role in advising its Member States about disability issues, and this advice should be reflected in disability‐inclusive policies. This article analyses nine policy or strategy documents produced by the AU, covering the policy domains of education, health, employment and social protection that are crucial to the inclusion of disabled people in international development. These were analysed according to seven discrete elements (rights, accessibility, inclusivity, implementation plans, budgetary allocations, enforcement mechanisms or disaggregated management information systems) using a rating scale of one to four, with four being the highest level of inclusion. The process (for example, level of consultation), the context (for example, the Sustainable Development Goals) and actors involved in the policy development were reviewed as far as was possible from the documents. None of the policies reached even 50% of the total possible score, indicating poor levels of genuine inclusion. Rights scored a highest rating, but still at a low level. This suggests that there is recognition of the rights of disabled people to inclusion, but this is not generally integrated within inclusive implementation plans, budgetary allocations, enforcement mechanisms or disaggregated management information systems for monitoring. The limited socio‐economic inclusion of disability within AU policies is a lost opportunity that should be reviewed and rectified. The findings have broader ramifications for the non‐tokenistic and genuine involvement of poor and marginalized groups in the international policy‐making arena.     

Portuguese healthcare reforms in the context of crisis: External pressure or domestic choice?

As a result of the recent economic crisis, in 2011, Portugal signed a Memorandum of Understanding with the European Central Bank, the European Commission, and the International Monetary Fund (the “Troika”). In exchange for Troika's financial assistance, the Memorandum required the implementation of a specific set of reforms targeted at the healthcare sector. The literature on policy reforms in the context of crisis and conditionality argues that governments have restricted room to manoeuver in responding to external pressure. We challenge this view, finding that even in cases of conditionality and strong external pressures, crisis can be used as a window of opportunity for reforms substantially shaped by domestic policy choices. In the case of Portuguese health reforms, these choices were based on pre‐existing reform plans aimed on resolving country‐specific deficiencies of the healthcare system and were enabled by the two main political parties' strategies of tacit cooperation and blame avoidance. The article emphasizes the need for more fine‐grained analysis of welfare reforms in the crisis that pays equal attention to the institutional characteristics and the political context of the affected countries.     

The Sustainable Development Goal on Water and Sanitation: Learning from the Millennium Development Goals

Social Indicators Research - Target 7c of the Millennium Development Goals (MDG 7c) aimed to halve the population that had no sustainable access to water and basic sanitation before 2015. According...