This dissertation consists of six separate papers dealing with the valuation of financial guarantees and risky debt contract. Each of these papers is independent and distinct. The main theme is the valuation of securities by contingent claims analysis (CCA). Paper 1: Valuation of Financial Guarantees – A Presentation and a Critique.One purpose of this paper is to derive a pricing formula for a deposit guarantee, when the assets of the bank exhibit downward jumps due to extraordinary loan defaults. In this respect, we use the framework of Merton (1976), where a stock option is priced under the assumption of a jump-diffusion process for the underlying stock. Paper 2: Valuation of Deposit Insurance – An Alternative Approach.This paper extends paper 1 in the respect that the guarantor, in this case a deposit insurance agency, will nullify the guarantee contract and liquidate the bank when it gets insolvent. The liquidation is assumed to involve some costs like legal and realization costs. In fact, since the guarantee contract will never get in-the-money, the guarantee will receive value only from these liquidation costs. Paper 3: Financial Guarantees and Asymmetric Information.In this paper, we make the assumption that the guarantor cannot observe the solvency process, unless it carries out audits. This is different from the normal perfect information assumption for this kind of analysis. Since audits are often costly, and this burdens the guarantee value, the guarantor will search for an audit strategy, which minimizes the guarantee value. Paper 4: Valuation of Barrier Contracts – A Simplified Approach.Many types of financial contracts can be classified as "barrier contracts". This description comes from their feature of allowing either contractual part to take some kind of action during the lifetime of the contract contingent on some pre-specified event. In this sense, the deposit insurance contract in analysed in paper 2 can be regarded as a barrier contract. The previous valuation models of barrier contracts are often considerably advanced and have tended to obscure the underlying economics. It is the path-dependence and stopping-time features that primarily make the derivation of these pricing formulas complicated. Our model simplifies this procedure by deriving the important "first passage time" distribution from a binomial model instead of using the reflection principle. Paper 5: Valuation of Risky Debt in the Presence of Jumps, Safety Barriers and Collaterals.This paper deals with different aspects of risky debt valuation with the CCA approach. The term. "risky", refers to the probability of default on the promised payment by the borrower. Paper 6: Portfolio Selection and the Pricing of Personal Loan Contracts.The CCA literature that follows Black and Scholes (1973), has mainly taken the underlying asset dynamics for given. Although it may be appropriate for stock options, we consider this assumption too simplifying with regards to personal loan contracts. It is obvious that the borrower’s consumption-investment decision affects his wealth process, on which the loan contract is contingent. Moreover, we believe that individuals actually have preferences to repay loans for different reasons such as the existence of reputational costs or legal penalties that affect the borrower in case of loan default. / Diss. av båda förf.  Stockholm : Handelshögskolan

The thesis builds a model for pricing the liabilities of a firm. The liabilities - stocks, loans, bonds - fundamentally all depend on the value of the firm's assets. By looking at balance sheet data, such as the nominal amount of debt outstanding, and market prices, such as time series of stock prices, the value and volatility of the assets can be estimated. Finally, e.g. bank loans to the same firm can be priced in terms of these values. Thus, the purpose of the whole exercise is to use the information content in stock prices to infer the value of loans. / Diss. Stockholm : Handelshögsk.

<p>It has been over a century since African people were forcibly removed by official decree in 1901, from the Cape Town dockland barracks and District Six, to Uitvlugt, a farm where a location of corrugated iron &lsquo / huts&rsquo / had just been constructed. This occurrence followed an outbreak of a bubonic plague in Cape Town in 1901, which became predominant among the Africans who worked at the docks, and who were in direct and constant contact with the main carriers of the disease, i.e., the rats coming out of ships from Europe. The outbreak resulted in African being stigmatised as diseased, and being banished to the outskirts of the city. Since then, knowledge about this historical occurrence has been continuously produced, presented and communicated in many ways. It has featured in many representations through memory, heritage and history.In 1902, the new residents of Uitvlugt gave the location the name kwa-Ndabeni. Ndabeni was a nickname that the residents had given to Walter Stanford who had chaired the commission that recommended for the establishment of the location in 1901. The prefix kwa- was added to the name so that it meant in Xhosa language, the place of Ndabeni. In that way, the residents, who at that time did not consider the location as a potential place of their permanent abode, named it in a way that disassociated them from the place.</p>

Many factors such as unforeseeable events, managerial or financial problems of Contractor, insufficient technical capacity of Engineer&#039 / s site team and so on may lead to delays in construction projects. Proper analysis of compensability and quantum of a delay event is very important. Any delay analysis application can be considered as a result of the combination of contract documents, scheduler, record keeping mechanism at site, communication among project participants, delay analyst and delay analysis methodology. The main purpose of this study is to analyze the shortcomings frequently encountered in implementation of delay analysis applications and propose an integrated solution which synthesizes the solution methods for each. For this purpose seventeen (17) shortcomings were identified and solution methods were suggested for each. Moreover, these shortcomings were attributed to the previously identified elements of delay analysis applications such as contract documents, scheduler etc. Furthermore, an integrated approach is developed which synthesizes the suggested solution methods at different stages of delay analysis applications in order to obtain accurate and reliable results. In order to test the validity of the proposed integrated approach on a real project, a resource and cost loaded construction schedule with approximately four thousand (4000) activities is created by using Primavera software which is currently being used to monitor &quot / Construction of One Reception Center and One Removal Center Project in Erzurum&quot / . In the case study, the necessary events are created in order to be able to compare the results of the proposed integrated approach and the likely result of erroneous delay analysis applications. It was apparently figured out that the proposed integrated approach has yielded accurate and reliable results and a comparison table was prepared showing the difference between the results of the proposed integrated approach and the likely result of an erroneous application.

This volume consists of four papers, which in principle could be read in any order. The common denominator is that they deal with contingent claims models of a firm's securities or related derivatives. A Framework for Valuing Corporate Securities Early applications of contingent claims analysis to the pricing of corporate liabilities tend to restrict themselves to situations where debt is perpetual or where financial distress can only occur at debt maturity. This paper relaxes these restrictions and provides an exposition of how most corporate liabilities can be valued as packages of two fundamental barrier contingent claims: a down-and-out call and a binary option. Furthermore, it is shown how the comparative statics of the resulting pricing formulae can be derived.A New Compound Option Pricing ModelThis paper extends the Geske (1979) compound option pricing model to the case where the security on which the option is written is a down-and-out call as opposed to a standard Black and Scholes call. Furthermore, we develop a general and flexible framework for valuing options on more complex packages of contingent claims - any claim that can be valued using the ideas in chapter 1. This allows us to study the interaction between the detailed characteristics of a firm's capital structure and the prices of for example stock options.Implementing Firm Value Based ModelsThis paper evaluates an implementation procedure for contingent claims models suggested by Duan (1994). Duan's idea is to use time series data of traded securities such as shares of common stock in order to estimate the dynamics of the firm's asset value. Furthermore, we provide an argument which allows us to relax the (common) assumption that the firm's assets may be continuously traded. It is sufficient to assume that the firm's assets are traded at one particular point in time.Asset Substitution, Debt Pricing, Optimal Leverage and MaturityChapters 1-3 have focused on the problem of pricing corporate securities.They have thus abstracted strategic aspects of corporate finance theory. This paper is an attempt to combine the contingent claims literature with the non-dynamic corporate finance literature. I allow the management of the firm to alter its investment policy strategically. This yields a model which allows us to examine the relationship between bond prices, agency costs, optimal leverage and maturity. / Diss. Stockholm : Handelshögsk.

After the 1999 Marmara Earthquake, social, economic and engineering studies on earthquakes became more intensive. The Turkish Catastrophe Insurance Pool (TCIP) was established after the Marmara Earthquake to share the deficit in the budget of the Government. The TCIP has become a data source for researchers, consisting of variables such as number of claims, claim amount and magnitude. In this thesis, the TCIP earthquake claims, collected between 2000 and 2008, are studied. The number of claims and claim payments (aggregate claim amount) are modeled by using Generalized Linear Models (GLM). Observed sudden jumps in claim data are represented by using the exponential kernel function. Model parameters are estimated by using the Maximum Likelihood Estimation (MLE). The results can be used as recommendation in the computation of expected value of the aggregate claim amounts and the premiums of the TCIP.

This thesis is constituted of three chapters. he first part of my Ph.D. dissertation develops a Bayesian stochastic model for computing the reserves of a non-life insurance company. The first chapter is the product of my research experience as an intern at the Risk Management Department of Fondiaria-Sai S.p.A.. I present a short review of the deterministic and stochastic claims reserving methods currently applied in practice and I develop a (standard) Over-Dispersed Poisson (ODP) Bayesian model for the estimation of the Outstanding Loss Liabilities (OLLs) of a line of business (LoB). I present the model, I illustrate the theoretical foundations of the MCMC (Markov Chain Monte Carlo) method and the Metropolis-Hastings algorithm used in order to generate the non-standard posterior distributions. I apply the model to the Motor Third Party Liabil- ity LoB of Fondiaria-Sai S.p.A.. Moreover, I explore the problem of computing the prudential reserve level of a multi-line non-life insurance company. In the second chapter, then, I present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. The model combines the Bayesian approach for the estimation of marginal distribution for the single Lines of Business and a Bayesian copula procedure for their aggregation. First, I consider standard copula aggregation for different copula choices. Second, I present the Bayesian copula technique. Up to my knowledge, this approach is totally new to stochastic claims reserving. The model allows to "mix" own-assessments of dependence between LoBs at a company level and market wide estimates. I present an application to an Italian multi-line insurance company and compare the results obtained aggregating using standard copulas and a Bayesian Gaussian copula. In the second part of my Dissertation I propose a theoretical model that studies optimal capital and organizational structure choices of financial groups which incorporate two or more business units. The group faces a VaR-type regulatory capital requirement. Financial conglomerates incorporate activities in different sectors either into a unique integrated entity, into legally separated divisions or in ownership-linked holding company/subsidiary structures. I model these different arrangements in a structural framework through different coinsurance links between units in the form of conditional guarantees issued by equityholders of a firm towards the debtholders of a unit of the same group. I study the effects of the use of such guarantees on optimal capital structural and organizational form choices. I calibrate model parameters to observed financial institutions' characteristics. I study how the capital is optimally held, the costs and benefits of limiting undercapitalization in some units and I address the issues of diversification at the holding's level and regulatory capital arbitrage. The last part of my Ph.D. Dissertation studies the hedging problem of life insurance policies, when the mortality rate is stochastic. The field developed recently, adapting well-established techniques widely used in finance to describe the evolution of rates of mortality. The chapter is joint work with my supervisor, prof. Elisa Luciano and Elena Vigna. It studies the hedging problem of life insurance policies, when the mortality and interest rates are stochastic. We focus primarily on stochastic mortality. We represent death arrival as the first jump time of a doubly stochastic process, i.e. a jump process with stochastic intensity. We propose a Delta-Gamma Hedging technique for mortality risk in this context. The risk factor against which to hedge is the difference between the actual mortality intensity in the future and its "forecast" today, the instantaneous forward intensity. We specialize the hedging technique first to the case in which survival intensities are affine, then to Ornstein-Uhlenbeck and Feller processes, providing actuarial justifications for this restriction. We show that, without imposing no arbitrage, we can get equivalent probability measures under which the HJM condition for no arbitrage is satisfied. Last, we extend our results to the presence of both interest rate and mortality risk, when the forward interest rate follows a constant-parameter Hull and White process. We provide a UK calibrated example of Delta and Gamma Hedging of both mortality and interest rate risk.

The growing interest among consumers in the link between diet and health makes functional food one of the fastest growing sectors in the global food industry, especially functional dairy products. Understanding consumer choices with respect to functional food is an important and relatively new research area. Given the credence nature of functional food attributes, labelling plays a key role in allowing consumers to make informed choices about foods with enhanced health attributes. In 2007, Canada launched a review of the regulatory system for health claims on functional foods, which included rules concerning the approval, labelling and verification of health claims. In 2010 two new health claims related to oat products and plant sterols were approved by Health Canada. An analysis of how consumers respond to health claim information is therefore timely. This thesis focuses on examining the effects of different types of labelling and verification of health claims on consumers stated preferences for a specific functional food product, Omega-3 milk. The analysis incorporates reference-dependent effects. This study improves the knowledge of Canadian consumer understanding of health claims and the impact of health claims on consumer choice. This research is one of the first studies to simultaneously examine the effects of different types of health claims (e.g. function claims, risk reduction claims and disease prevention claims) and other ways of signalling or implying health benefits (e.g. symbols) on Canadian consumers' functional food choices. This study contributes to the knowledge in this domain by providing a comparative analysis of different types of labelling strategies. The extant knowledge of labelling effects in the formats of risk reduction claims, disease prevention claims and symbols or imagery on functional foods is limited. One of the primary contributions of this study is addressing this gap in the literature. The theoretical framework of this thesis is based on random utility theory. A stated preference choice experiment is designed to examine consumers' response to Omega-3 milk under different labelling scenarios. Using data from an online survey of 740 Canadians conducted in summer 2009, discrete choice models, including Conditional Logit, Random Parameter Logit and Latent Class models, and Willingness-To-Pay (WTP) values are estimated. The results suggest that full labelling (function claims, risk reduction claims and disease prevention claims) is preferred over partial labelling (e.g. the use of a heart symbol to imply a health claim), but primarily for risk reduction claims. There is no significant difference between a function claim, such as "good for your heart" and partial labelling in the form of a red heart symbol. The results also suggest that consumers on average respond positively to verification of health claims by government and the third party agencies, however, the Latent Class models reveal considerable heterogeneity in consumer attitudes toward the source of verification. The influences of key-socio-demographic (e.g. income, education and health status) and attitudinal factors (e.g. attitude, trust and knowledge) provide further insights into consumer responses in the choice experiment to identify different consumer segments. Moreover, the results reveal reference-dependent effects where perceived losses of ingredient or price attributes have a greater influence on consumer choice than perceived gains. In terms of industry and public policy implications, this study suggests that food manufacturers in Canada would benefit from the ability to make more precise health claims. The implications derived from the Latent Class Models could help the Canadian functional food industry to identify target consumer segments with different characteristics for the purpose of developing marketing strategies. Furthermore, the results of this study suggest that Canadian consumers are receptive to both full labelling and partial labelling. It indicates that public policy makers need to pay attention to effectively regulating health claims for functional foods so as to balance the need for credible health claims to facilitate the development of the functional food sector with the imperative of protecting consumers from misleading health claims. Public policy makers should also be aware that the verification of health claims plays an important role in reducing consumers' uncertainty and making health claims more credible.

This thesis questions the adequacy of the Department of the Interior's response to the land claims of Metis settlers in Green Lake, Saskatchewan.<p> Metis people originally settled in Green Lake because of the pattern of development of the fur trade. Green Lake was a major nexus on the fur trade transportation system, which encouraged Metis settlement and community development. After Confederation, when the national policy generated regional differentiation through uneven development, Green Lake remained under fur-trade domination.<P> National policy expansion reached Green Lake with surveys in 1909 and 1911, replacing fur-trade property relations with the Dominion Lands Act. The surveys revealed Green Lake as a fur trade settlement with property claims consistent with the fur trade economy. Prior treatment of such claims under national policy regulations promised recognition of Metis claims based on prior settlement.<P> Economic recession and World War I led to the abatement of national policy expansion. As a result, the department postponed action on the Metis claims until renewed interest in national policy settlement. Legislation passed in 1919 provided new direction to departmental consideration of the Green Lake claims. The only remnant of recognition of fur trade settlement was reference to 1908 legislation requiring occupancy at the time of treaty. The department subsequently disposed of Metis claims by offering most claimants only a right to purchase claimed land.<P> Departmental response to Metis claims at Green Lake was inadequate on several grounds. It failed to consider adequately property relations extant from the fur trade economy. It acted without due consideration for established precedents associated with the national policy. It acted ultra vires to carry out and justify a restrictive and mean spirited response to Metis claims. The retroactive nature of 1908 legislation unfairly penalized claimants in the Treaty Six area. The department's limitation of the eligibility of claimants by constrictive criteria was compounded by its failure to examine seriously the evidence of Metis settlement that would have met such criteria.<P> At the time of the 1930 transfer of land administration to the prairie provinces, the land claims of the Metis settlers of Green Lake remained unsatisfied.

The central problem of the thesis is to investigate the international legal validity of the Canadian claim to the Arctic Archipelago. In order to consider the bearing on the problem of the "sector principl" the area investigated comprised the islands, waters and permanent ice lying between the the 60th and 141st meridians of west longitude extended to the North Pole, which meridians are northerly projections of Canada's easternmost and westernmost boundaries.<p> After a brief review of the facts and law surrounding the transfer of British Arctic possessions to Canada in 1870 and 1800, the international law applicable to archipelagic formations and to the acquisition of title to terrae nullius was examined. There followed, in the perspective of international law and the historical precedents, an examination of the Canadian claims to (a) the islands of the Arctic Archipelago, and (b) the adjacent waters, especially the aftermath of the two voyages of the Manhattan and the Canadian legislation of June, 1970, extending territorial waters to a breadth of twelve miles and creating a large anti-pollution zone.<p> It was concluded that Canada's claim to the islands was very strong, either under the "prescription" or the "consolidation" doctrines, especially in the absence of serious adverse claims, and in the light of a vigorous Canadian manifestation of animus occupandi for several decades, at least.<p> Although the validity of the recent Canadian Maritime claims had been questioned by the United States, it was suggested either on the basis of the "consolidation" doctrine or in view of the evolving, norms of the international law of the sea that here also Canada could make out a strong case in support of the legislation of June, 1970.