Estimating tail risk measures such as Value at Risk (VaR) and Conditional Tail Expectation (CTE) is a vital component in financial and actuarial risk management. The CTE is a preferred risk measure, due to coherence and a widespread acceptance in actuarial community. In particular we focus on the estimation of the CTE using both parametric and nonparametric approaches. In parametric case the conditional tail expectation and variance are analytically derived for the exponential distribution family and its transformed distributions. For small i.i.d. samples the exact bootstrap (EB) and the influence function are used as nonparametric methods in estimating the bias and the the variance of the empirical CTE. In particular, it is shown that the bias is corrected using the bootstrap for the CTE case. In variance estimation the influence function of the bootstrapped quantile is derived, and can be used to estimate the variance of any bootstrapped L-estimator without simulations, including the VaR and the CTE, via the nonparametric delta method. An industry model are provided by applying theoretical findings on the bias and the variance of the estimated CTE. Finally a new capital allocation method is proposed. Inspired by the allocation of the solvency exchange option by Sherris (2006), this method resembles the CTE allocation in its form and properties, but has its own unique features, such as managerbased decomposition. Through a numerical example the proposed allocation is shown to fail the no undercut axiom, but we argue that this axiom may not be aligned with the economic reality.

With the limited wireless spectrum and the ever-increasing demand for wireless services, two issues are pressing and difficult: efficient spectrum utilization and heterogeneous traffic management. Throughput and utility maximization problems are proposed to quantify these two issues. To exploit the wireless spatial multiplex gain, concurrent transmissions, if controlled appropriately, can lead to overall higher network throughput as well as utility. The optimal scheduling and power control for concurrent transmissions in rate-adaptive wireless networks is a very challenging NPhard problem. In the thesis, we propose efficient power allocation and scheduling algorithms for concurrent transmissions which can improve network throughput and utility with fairness consideration. We first formulate the optimal power allocation and scheduling problem for network throughput and utility maximization individually, and convert the original non-convex problems into a series of convex problems using a two-phase approximation. Then, we propose power and channel allocation with fairness for network throughput maximization (PCAF-NTM) and for network utility maximization (PCAF-NUM) algorithms to solve the converted problems. Extensive simulation results show the substantial improvement in terms of both network throughput and utility, comparing to the previous scheduling algorithms. / Graduate

No description available.

This study is concerned with an aspect of public sector resource allocation, specifically the mechanisms whereby United Kingdom central government public expenditure within the New Towns budget heading was utilised for the planned expansion of the town of Northampton from 1965 to 1985. The distinctive feature of the town expansion process associated with Northampton was that, for the first time in the history of the New Town programme, such expansion involved a designated area which contained within it the whole of a County Borough. The consequences of this were that the central government and its agent, the development corporation, found themselves involved in establishing a pattern of allocative, decision making relationships which included a major role for the County Borough. A partnership was established and codified between central government and the County Borough of Northampton that involved institutional, functional and process arrangements of a unique kind, that have not, in total, been replicated elsewhere in the New Town programme. This unique partnership between central government and the County Borough of Northampton provided a focal point for the wider consideration of the role of 'policy communities' in central-local relations. The detailed consideration of the policy community associated with Northampton's town expansion has been based on the model devised by R A W Rhodes. The use of the model in this way has both tested it as a methodological tool and provided an opportunity for indicating possible further areas for development. In addition, its specific application to the Northampton experience has raised issues and indicated possible policy options that are of significance for other centrally funded urban development schemes such as the regeneration of the United Kingdom's inner city areas.

Haplodiploid Hymenoptera females control the sex of their progeny, and their sex allocation is influenced by several factors. The impact of intra- and interspecific competition and of inbreeding and outbreeding on sex allocation has been studied in some species of the egg parasitoid Trichogramma. The pre-mating dispersion has also been studied. Impact of competition on sex allocation was observed for Trichogramma minutum Riley and Trichogramma pintoi Voegele. These species were chosen because of the ease with which than can be distinguish. Results show that females of both species lay more males under intraspecific competition than alone, following the Local Mate Competition theory, while only T. pintoi modifies its sex ratio under interspecific competition. Multiparasitism and natural habitat could explain this shift in the sex ratio. Trichogramma minutum, T. pintoi and Trichogramma evanescens Westwood pre-mating dispersion show that most matings occur at the emergence site. However, the three species have a potential for off-patch mating, allowing genetic exchange between sub-populations. These three species were chosen because they are classified in different groups in the genus. Finally, T. evanescens did not modify its sex ratio following inbreeding or outbreeding. The incapacity to discriminate between kin and non-kin, insufficient genetic distance in outbreeding, or the population structure could explain these results.

This thesis presents the potential opportunities of global asset allocation and the possible enhancement of these opportunities from using a Markov Switching Model. The thesis extends upon previous conditional asset pricing studies in global asset allocation, such as those done by Ilamnen (1995), Harvey, Solnik and Zhou (1992) and Bilson (1993), where expected future returns are forecast based on conditional variables. The finding of these studies, and many others, are combined with the works on Markov Switching models and market segmentation theories to create a uniform structure for analysing regime switching properties in currencies, international equities and international bond markets. This thesis is segregated into 4 major sections. The chapters 1-4 develop a unified framework that is used in the analysis of markets. The chapters 5-7 are focused on currencies, international equities and international bonds. For each market a model is constructed that is based upon the structure proposed by Frankel and Froot (1988). In this model the market is segmented into two groups ?? value based investors and momentum based investors. To replicate this structure, a two regime Markov Switching model is used, where one regime is constructed as a value regime and the second is constructed as a momentum regime. These models are then compared to linear versions of the models, to see whether there is any additional benefit to the application of regime switching methods. In conjunction with testing the potential benefits of the Markov Regime Switching process, this study also investigates the very nature, or characteristics of regime switching in the international markets. This is undertaken though some alternate models and enhancements to see whether there is any predictability, or characterisations can be made of the switching process. To ensure a comprehensive analysis, several analytical methods have been used, including extensive econometric modelling, statistical analysis of forecasts and portfolio back testing. A number of conclusions can be drawn from the results. Firstly it appears that there is substantial evidence of regime switching in international markets, such as that shown in a Frankel-Froot framework. This in turn has major implication for the understanding of the way in which international markets function, and further the empirical evidence supports many of the anecdotal observations of market based participants. Secondly, there appears to be a strong level of economic relevance to the modelling. The models are shown to generate a theoretical economic profit, which shows that the international markets are only semi efficient. Further, forecasts generated from the Markov Switching models outperform the linear counterparts in economic significance in portfolio tests. However, for both equities and bonds, the general accuracy of the forecast tends to be inferior to the linear counterparts. Finally, the nature of regime switching is investigated in detail, particularly in reference to 3 potential drivers ?? greed, fear and success. The evidence shows that these can help explain the characteristics of regime switching, as in some cases potentially adding economic value. However, it seems that success is more important than a broader economic environment.

Equitable allocation of health care resources is crucial for promoting health equity. Since the emergence of the resource allocation working party (RAWP) formula nearly three decades ago, many countries have implemented resource allocation policy reforms aiming to improve equity. Little is known about whether, how and the extent to which, most of these policies have actually improved equity. This study examined whether, and the extent to which, decentralisation of health resource allocation decision-making in Ghana has improved equity in funding within regions and explored the factors that influenced the equitable allocation of resources for health care in Ghana. The study used a mixture of quantitative and qualitative methods. Two of the ten regions in Ghana: Ashanti and Northern, covering the southern and northern sectors of the country, were purposefully selected. Principal component analysis (PCA) was used to measure levels of relative deprivation of districts applied as a proxy of need. An equity-adjusted share index (EAS) was developed and used as a yardstick against which equity in funding was assessed. Factors influencing the equitable allocation of resources were explored qualitatively through open-ended interviews with policy makers and other health sector stakeholders. The study found that resource allocation in the Ashanti and Northern Regions were largely inequitable, in terms of differentially benefiting the most disadvantaged districts. The proportion of variance in the actual share of funds that could be explained by the predicted EAS was below 50% for all the years examined, except for the allocation of government funds to the Ashanti Region for 1999, where the proportion of variance was 56%. Resource allocation in the Northern Region favoured three urban districts over their rural counterparts. However, in the Ashanti Region, there was a significant shift in resources from richer to poorer districts from 2000 to 2002. The Kumasi Metro district, for example, saw its share of donor-pooled funds reduced drastically from 20% of the total budget in 2000 to 7.2% in 2001 and 5.6% in 2002. Key factors influencing resource allocation and equity included low funding of the health system, local capacity to utilise funds efficiently, manpower availability, politics, donor influence and the nature of collaboration with the local government. The study concluded that intra-regional resource allocation in Ghana???s Ashanti and Northern regions was less equitable than expected, despite efforts to redistribute funds. It recommended more effective mechanisms for promoting equity through intra-regional resource allocation in Ghana.

Thesis (M.S.)--Ohio State University, 2007. / Includes bibliographical references (leaves 100-105). Available online via OhioLINK's ETD Center

Thesis (M.Sc.). / Written for the Dept. of Natural Resource Sciences, Macdonald College of McGill University. Title from title page of PDF (viewed 2008/07/28). Includes bibliographical references.

Thesis (Ph.D.)--Virginia Commonwealth University, 2008. / Prepared for: Dept. of Accounting. Title from title-page of electronic thesis. Bibliography: leaves 81-92.