Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp-optimization

The conditional tail expectation (CTE) is an indicator of tail behavior that takes into account both the frequency and magnitude of a tail event. However, the asymptotic normality of its empirical estimator requires that the underlying distribution possess a finite variance; this can be a strong restriction in actuarial and financial applications. A valuable alternative is the median shortfall (MS), although it only gives information about the frequency of a tail event. We construct a class of tail L^p-medians encompassing the MS and CTE. For p in (1,2), a tail L^p-median depends on both the frequency and magnitude of tail events, and its empirical estimator is, within the range of the data, asymptotically normal under a condition weaker than a finite variance. We extrapolate this estimator and another technique to extreme levels using the heavy-tailed framework. The estimators are showcased on a simulation study and on real fire insurance data.     

Estimation of generalized linear latent variable models

Summary.  Generalized linear latent variable models (GLLVMs), as defined by Bartholomew and Knott, enable modelling of relationships between manifest and latent variables. They extend structural equation modelling techniques, which are powerful tools in the social sciences. However, because of the complexity of the log-likelihood function of a GLLVM, an approximation such as numerical integration must be used for inference. This can limit drastically the number of variables in the model and can lead to biased estimators. We propose a new estimator for the parameters of a GLLVM, based on a Laplace approximation to the likelihood function and which can be computed even for models with a large number of variables. The new estimator can be viewed as an M -estimator, leading to readily available asymptotic properties and correct inference. A simulation study shows its excellent finite sample properties, in particular when compared with a well-established approach such as LISREL. A real data example on the measurement of wealth for the computation of multidimensional inequality is analysed to highlight the importance of the methodology.     

Local dependence estimation using semiparametric archimedean copulas

The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally‐defined dependence parameters. The authors present a penalized constrained least‐squares method to estimate and smooth these parameters. They illustrate the flexibility of their dependence model in a bi‐variate survival example.     

Ethnic Institutions Reconsidered: The Case of Flemish Workers in 19th Century France1

Abstract Traditional perspectives on ethnic institutions tend to consider mainly their role in the preservation of the cultural and social fabric of ethnic communities. Increasing evidence indicates that ethno‐institutional effects are often more varied and complex. France's first industrial‐era immigrants, massively crossing the border from Belgian Flanders during the second half of the 19^th century, are a case in point. Immigrant Flemish workers introduced a new type of institution to the French working class: socialist cooperatives. These would have a long‐term impact not only on the immigrant Flemish community itself, but also on the larger labour movement, on the region, and on the country as a whole. Three elements were important in this process of institutional cross‐fertilization: Belgian workers’ rich institutional repertoire; the coincidence of their settlement with the rise of the French labour movement; and the fact that their institutional innovation was easily transferable.     

Strategically integrating hospital/home care services for improved profitability

Because hospitals and home health agencies have been predominantly separate organizations, coordination of their efforts has not been optimized. However, with the recent proliferation of hospital-based home health agencies, opportunities to integrate these health care service delivery systems have increased. Bethesda Memorial Hospital, Boynton Beach, Fla., is a 362-bed not-for-profit community hospital with a Medicare-certified home health agency organized as a department of the hospital. Until recently, the home health agency was generally perceived as a separate entity whose services were distinct from hospital services. Progress toward integration of hospital and home care services was given impetus through collaboration of the home health agency administrator and a newly appointed director of medical affairs who was given the responsibility as medical director of the home health agency. A prime responsibility of the director of medical affairs was to reduce length of stay and hospital costs through appropriate resource management.     

On the logic of common belief and common knowledge

The paper surveys the currently available axiomatizations of common belief (CB) and common knowledge (CK) by means of modal propositional logics. (Throughout, knowledge — whether individual or common — is defined as true belief.) Section 1 introduces the formal method of axiomatization followed by epistemic logicians, especially the syntax-semantics distinction, and the notion of a soundness and completeness theorem. Section 2 explains the syntactical concepts, while briefly discussing their motivations. Two standard semantic constructions, Kripke structures and neighbourhood structures, are introduced in Sections 3 and 4, respectively. It is recalled that Aumann's partitional model of CK is a particular case of a definition in terms of Kripke structures. The paper also restates the well-known fact that Kripke structures can be regarded as particular cases of neighbourhood structures. Section 3 reviews the soundness and completeness theorems proved w.r.t. the former structures by Fagin, Halpern, Moses and Vardi, as well as related results by Lismont. Section 4 reviews the corresponding theorems derived w.r.t. the latter structures by Lismont and Mongin. A general conclusion of the paper is that the axiomatization of CB does not require as strong systems of individual belief as was originally thought — onlymonotonicity has thusfar proved indispensable. Section 5 explains another consequence of general relevance: despite the infinitary nature of CB, the axiom systems of this paper admit of effective decision procedures, i.e., they aredecidable in the logician's sense.