Asymptotic Representations of the Multivariate Empirical Distribution Function and Applications

Often, many complicated statistics used as estimators or test statistics take the form of the (multivariate) empirical distribution function evaluated at a random vector (V_n). Denote such statistics by S_n. This paper describes methods for the study of various asymptotic properties of S_n. First, under minimal assumptions, a weak asymptotic representation for S_n is derived. This result may be used to show the asymptotic normality of S_n. Second, under slightly more stringent regularity conditions, an almost sure representation of S_n, with suitable order (as.) of the remainder term is studied and then a law of the iterated logarithm for S_n, is derived. In this context, strong convergence results from a sequential point of view are also studied. Finally, weak convergence to a Brownian motion process is established. As an application, we show the limiting normality of S_n, for a random number of summands.     

Stochastic orders and non-Gaussian risk factor models

The main results of this paper are monotonicity statements about the risk measures value-at-risk (VaR) and tail value-at-risk (TVaR) with respect to the parameters of single and multi risk factor models, which are standard models for the quantification of credit and insurance risk. In the context of single risk factor models, non-Gaussian distributed latent risk factors are allowed. It is shown that the TVaR increases with increasing claim amounts, probabilities of claims and correlations, whereas the VaR is in general not monotone in the correlation parameters. To compare the aggregated risks arising from single and multi risk factor models, the usual stochastic order and the increasing convex order are used in this paper, since these stochastic orders can be interpreted as being induced by the VaR-concept and the TVaR-concept, respectively. To derive monotonicity statements about these risk measures, properties of several further stochastic orders are used and their relation to the usual stochastic order and to the increasing convex order are applied.     

A tractable model of process fairness under risk

This paper proposes a social utility model of individual preferences for process fairness that complements the Fehr–Schmidt model for outcome fairness. The model assumes that the outcome generating process rather than the actual outcomes influences fairness perceptions, and that process fairness is evaluated through comparison of expected payoffs. The process model successfully predicts data from bargaining games involving risky payoffs that neither outcome-based nor reciprocity models can explain. In a theoretical application, Machina’s parental example for non-expected utility in a distributional problem (Machina’s Mom) is analyzed by incorporating individual level process fairness preferences under expected utility.     

Friedman, Harsanyi, Rawls, Boulding – or somebody else? An experimental investigation of distributive justice

This paper investigates distributive justice using a fourfold experimental design: The ignorance and the risk scenarios are combined with the self-concern and the umpire modes. We study behavioral switches between self-concern and umpire mode and investigate the goodness of ten standards of behavior. In the ignorance scenario, subjects became, on average, less inequality-averse as umpires. A within-subjects analysis shows that about one half became less inequality-averse, one quarter became more inequality-averse and one quarter remained unchanged as umpires. In the risk scenario, subjects became on average more inequality-averse in their umpire roles. A within-subjects analysis shows that about half became more inequality-averse, one quarter became less inequality-averse, and one quarter remained unchanged as umpires. As to the standards of behavior, several prominent ones (leximin, leximax, Gini, Cobb-Douglas) were not supported, while expected utility, Boulding’s hypothesis, the entropy social welfare function, and randomization preference enjoyed impressive acceptance. For the risk scenario, the tax standard of behavior joins the favorite standards of behavior.Financial Support of the European Commission under TMR Contract No. ERBFMRXCT98-0248 is gratefully acknowledged. We are indebted to Serge-Christophe Kolm, Alf Erling Risa, Peter Zweifel, two anonymous referees and an editor of Social Choice and Welfare for helpful comments. We thank Marc Paolella for improving our English writing style. The usual disclaimer applies. The experimental data can be obtained from the authors (e-mail: traub@bwl.uni-kiel.de).     

International work experience and compensation: Is more always better for CFOs?

The CFO is increasingly considered the second most important executive in the firm after the CEO. Still, little is known about the factors that determine CFOs' compensation. Recently, it has often been claimed that, in MNCs, CFOs should have international work experience. But is a CFO's international work experience also reflected in his or her compensation? We combine human capital and social capital perspectives to account for both the upside and the downside of international work experience. We suggest that working abroad provides CFOs with valuable knowledge and skills which increase compensation; however, staying abroad for too long has an adverse effect due to losses in social network ties. We thus propose an inverted U-shaped relationship between CFOs' international work experience and their compensation. Furthermore, we suggest that this relationship is contingent on the characteristics of the CEO. In testing our hypotheses on a sample of the largest MNCs in Europe, we find support for the proposed relationships. Our study contributes to the literature on top management characteristics and executive compensation, specifically by providing a comprehensive understanding of how and when international work experience pays off for CFOs.     

Impression management in the market for residential care for children and youth in Sweden

In what has become quite a turbulent quasi‐market for residential care for children and youth, providers now compete for public contracts. To create visibility and attract customers, many providers use marketing activities to project the desired impression of themselves to maintain or strengthen their market position. In this article, we analyse how companies that provide residential care for children manage the impressions they project on their websites and in advertisements. The results reveal that residential care providers use a range of impression management strategies to enhance their organizational image and to respond to potentially damaging or threatening images. The information providers choose to disclose leaves customers—in this case, the social workers responsible for choosing and purchasing care on behalf of clients—with rather limited opportunities to evaluate the quality of care. This is a significant problem considering other, more reliable, sources of information are difficult to access.