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Hedging Costs for Variable AnnuitiesAzimzadeh, Parsiad January 2013 (has links)
A general methodology is described in which policyholder behaviour is decoupled from the pricing of a variable annuity based on the cost of hedging it, yielding two sequences of weakly coupled systems of partial differential equations (PDEs): the pricing and utility systems. The utility systems are used to generate policyholder withdrawal behaviour, which is in turn fed into the pricing systems as a means to determine the cost of hedging the contract. This approach allows us to incorporate the effects of utility-based pricing and factors such as taxation. As a case study, we consider the Guaranteed Lifelong Withdrawal and Death Benefits (GLWDB) contract. The pricing and utility systems for the GLWDB are derived under the assumption that the underlying asset follows a Markov regime-switching process. An implicit PDE method is used to solve both systems in tandem. We show that for a large class of utility functions, the two systems preserve homogeneity, allowing us to decrease the dimensionality of solutions. We also show that the associated control for the GLWDB is bang-bang, under which the work required to compute the optimal strategy is significantly reduced. We extend this result to provide the reader with sufficient conditions for a bang-bang control for a general variable annuity with a countable number of events (e.g. discontinuous withdrawals). Homogeneity and bang-bangness yield significant reductions in complexity and allow us to rapidly generate numerical solutions. Results are presented which demonstrate the sensitivity of the hedging expense to various parameters. The costly nature of the death benefit is documented. It is also shown that for a typical contract, the fee required to fund the cost of hedging calculated under the assumption that the policyholder withdraws at the contract rate is an appropriate approximation to the fee calculated assuming optimal consumption.
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The Path of the Law: An Econometric Analysis of Ontario Municipal Board Decisions on Land Severance AppealsGuillemette, Ann-Renee 28 May 2012 (has links)
The Ontario Municipal Board (OMB) is a provincial land use planning and development appeal board. The powers of the board are vast in comparison to other land appeal boards in Canada. One of the most frequent appeals that the OMB adjudicates emerges from disputes between municipalities and landowners (or other members of the public) regarding the severance of land.
In this thesis I empirically examine factors that influence OMB decisions. More specifically, I model the decision of an OMB adjudicator to affirm, or overturn, the decision of the municipality with regards to severance appeals. The explanatory variables include characterizations of the adjudicator – e.g., professional background, gender, experience, etc. – as well as characterizations of the OMB hearing – e.g., the number of participants (public and professional), etc. The empirical analysis allows for a better understanding of theoretical issues in the law-economic literature concerning judicial utility functions and the extent to which judges take into consideration their public and peer reputation (Posner, 1993).
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Price Differences in a Durable Products Secondary Market: A Hedonic Price AnalysisFumasi, Roland J 16 December 2013 (has links)
Secondary markets have not historically possessed the characteristics necessary
for market power to emerge, or effective product differentiation to be implemented. The
potential effects of these characteristics on primary – secondary market interaction is
generally not considered. The law of one price is expected to hold in secondary markets.
By applying the hedonic technique to producer theory, and integrating the durability of
the product directly into the profit maximizing conditions, potential differences in
implicit prices between customer segments in the used bucket truck market are
estimated.
Applying weighted least squares to the hedonic equation, parameters were
estimated to indicate whether differences in hedonic prices exist between customer
segments in the secondary, utility construction equipment market. The hedonic
approach accounted for differences in price due to physical characteristics, while
underlying supply and demand conditions were accounted for using indicator variables
for time. Estimated differences in the effects of physical characteristics on price,
between industries, were identified using interaction terms. Results of the econometric
estimation indicate that differences in physical product characteristics do not fully
account for differences in price between customer segments in the secondary bucket
truck market.
If the law of one price can be violated in a secondary market, this could
indicate market power. Future research on primary – secondary market interaction
should consider the potential effects, if such market power does indeed exist.
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Decision Making for Information Security InvestmentsYeo, M. Lisa Unknown Date
No description available.
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The Connected Customer: Essays on Individualistic-Collectivistic Decision-makingEnström, Rickard Unknown Date
No description available.
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A model of pension portfolios with salary and surplus processMtemeri, Nyika January 2010 (has links)
<p>Essentially this project report is a discussion of mathematical modelling in pension funds, presenting sections from Cairns, A.J.D., Blake, D., Dowd, K., Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Volume 30, Issue 2006, Pages 843-877, with added details and background material in order to demonstrate the mathematical methods. In the investigation of the management of the investment portfolio, we only use one risky asset together with a bond and cash as other assets in a  / continuous time framework. The particular model is very much designed according to the members&rsquo / preference and then the funds are invested by the fund manager in the financial market. At the end, we are going to show various simulations of these models. Our methods include stochastic control for utility maximisation among others. The optimisation problem entails the optimal  / investment portfolio to maximise a certain power utility function. We use MATLAB and MAPLE programming languages to generate results in the form of graphs and tables</p>
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Investigating Place-based Pedagogy Utilizations In Curricular PracticesBrown, Nikeitha 2011 December 1900 (has links)
Outlets for students to develop mathematical ideas and skills to solve real-life problems and applicable situations have been neglected in secondary classrooms (Gainsburg, 2008). Designing curricula that applies real-life situations has been promoted by the National Council of Teachers of Mathematics (2000), the National Research Council (1998), and the Commission on Behavioral and Social Sciences and Education (2000) and also is an expectation of state standards for student learning (Texas Education Agency, 2009). Contrary, evidence has shown low benefits to classroom real-life examples perceived by students.
This study served dual purposes: 1) Determine the relationship between place-based education and mathematics learning, and 2) Investigate teacher conceptions of place-based education opportunities in high school, mathematics curriculum. This study employed two methodologies. A mixed-methods approach was employed for the meta-analysis of place-based programs and the second employed qualitative methods of structured interviewing to determine teachers’ conceptions of place-based pedagogy. Upon completion of the study, I concluded: 1) Place-based pedagogies align toward more foundational mathematic skills (e.g. measurement, number sense) when implemented, and 2) Teachers’ conceive place-based as a general effective tool for student engagement and real-world context of how mathematics functions in society.
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The relationship between age, gender, physical work capacity profile and a worksite wellness program for workers in an electricity supply company / J.P.H. LubbeLubbe, Jacob Pieter Hendrik January 2007 (has links)
1. The problem and objective of study
Workers in physically demanding jobs have, over the last decade, shown a high incidence of work-related injuries as well as other related physical disorders (Dempsey & Hashemi, 1999:183; Mital & Ramakrishnan, 1999:74; WHO, 1999:1; Weir & Nielson, 2001:128; Cox et al, 2003:6). This has been shown to lead to absenteeism, lost work time and poor work quality which in turn give rise to increased costs of yearly worker compensation claims, medical treatment and general loss of production (Ciriello & Snook, 1999:149; Mital, 1999:246-247; Cox et al., 2003:6). For example, the World Health Organization indicates that work related injuries and illness kill an estimated 1.1 million people worldwide every year. This is roughly equal to the number of worldwide deaths due to malaria each year (WHO, 1999:1). Research indicates that these types of injuries and/or work disability usually occur when the physical demands of the work tasks exceed the physical work capacity of the worker (Chaffin, 1974:251-254; Fraser, 1992:24; Shrey, 1997a:8). Two types of workers are usually pointed out by management in this regard, namely the older workers and females that are exposed to tasks with a high physical demand (Ayoub & Mital, 1989:9; Smith & Mustard, 2004:755; Sluiter, 2006:438).
The above-mentioned problem seems to be a global concern (Mital, 1999:246; WHO, 1999:1) and forces companies to better manage the physical incapacity of workers in physical demanding jobs. The management of the electricity supply company in South Africa (hereafter the company) who realised that this problem was also prevalent in their workforce, developed minimum physical ability task requirements, that represent the physical work demands, for all the physically demanding jobs (Lubbe, 2003b:4). These minimum requirements enable the company to determine which workers do not have the physical work capacity to perform their physical
work demands and to implement the necessary management process, such as a worksite wellness program, to address the problem.
Hence the objective of the study were to determine the:
a) role of gender on the physical work capacity profile of workers in the company based on the minimum physical ability task requirements of their job;
b) role of age on the physical work capacity profile of workers in the company based on the minimum physical ability task requirements of their job;
c) effect of a worksite wellness program on the physical work capacity profile of workers in the company based on the minimum physical ability task requirements of their job.
2. Summary of results
a) The physical work capacity of male workers in this population are practically significant greater than that of female workers with the same job-related minimum physical ability task requirements.
b) Practically significant more female workers do not have the minimum physical work capacity required by their job, than male workers.
c) The physical work capacity of workers in physically demanding jobs within this company declines with aging.
d) The age-related decline in physical work capacity for male workers is to such an extent that from the age of 60, the physical work demands of their job exceed their physical work capacity.
e) The age-related decline in physical work capacity for female workers is to such an extent that, in general, the indication is that they will never have the required physical work capacity based on the minimum physical ability task requirements of their job, for it is predicted that from the age of 18, the physical work demands of their job exceed their physical work capacity.
f) A worksite wellness program assists workers whose physical work capacity profile does not meet the minimum physical ability task requirements of their job, to regain the required physical work capacity.
g) A worksite wellness program provide an alternative option to managing the physical work capacity of their workers, other than ill-health retirement, retrenchments or prolonged sick-leave. / Thesis (Ph.D. (Human Movement Science))--North-West University, Potchefstroom Campus, 2008.
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SUPPLIER SUSTAINABILITY EVALUATION UTILIZING MULTI ATTRIBUTE UTILITY MODELINGLadd, Scott E. 01 January 2013 (has links)
Conventionally, the focus during supplier evaluation has been to assess cost, quality and delivery effectiveness due to their impact on profitability. In recent years, there has been increased emphasis on promoting more sustainable business practices that focus on reducing environmental impact and improve societal well-being, in addition to economic benefits. However, most of the existing supplier evaluation methods in literature as well as those used by leading companies fall short of comprehensively assessing suppliers from a Triple Bottom Line (TBL) perspective. TBL defined as holistically looking at the economic, environmental, and societal aspects of an entity. This paper presents a review and selection of metrics for economic, environmental and societal sustainability evaluation. In addition, this work proposes a methodology for combining the scores into a comprehensive score that can be used to compare two entities performance relative to the TBL.
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Improving User Experience of Internet Services in Cellular Networks / Improving User Experience of Internet Services in Cellular NetworksKlockar, Annika January 2015 (has links)
The Internet has grown enormously since the introduction of the World Wide Web in the early 90's. The evolution and wide spread deployment of cellular networks have contributed to make the Internet accessible to more people in more places. The cellular networks of today offer data rates high enough for most Internet services. Even so, the service quality experienced by the users is often lower than in wired networks. The performance of TCP has a large impact on user experience. Therefore, we investigate TCP in cellular networks and propose functionality to improve the situation for TCP. We have studied sources of delay and data loss, such as link layer retransmissions, queuing, and handover. Measurements were conducted in a GSM/GPRS testbed. The results indicate that TCP interact efficiently with the GSM link layer protocol in most cases. From experiments of queuing in GPRS, we conclude that with a smaller buffer delay is reduced significantly, but that TCP throughput is about the same as with a larger buffer. Furthermore, we propose an improved buffer management when a connection loses all its resources to traffic with higher priority. We also propose a scheme for data forwarding to avoid negative impact on TCP during handover for WINNER, a research system that was used to test ideas for LTE. The achievable data rates in cellular networks are limited by inter-cell interference that vary over the cell. Inter-cell interference can be mitigated with Coordinated Multipoint techniques (CoMP), techniques that currently are being standardized for LTE-Advanced. System wide CoMP is, however, not an option, since it would be too resource consuming. In order to limit the required resources for CoMP, we propose an approach to select a subset of users for CoMP that is based on user experience. Simulation results indicate that user experience, represented with application utility, and fairness are improved compared to if only rate is considered in the user selection. / The Internet has grown enormously since the introduction of the World Wide Web in the early 90's. The evolution and wide spread deployment of cellular networks have contributed to make the Internet accessible to more people in more places. The cellular networks of today offer data rates high enough for most Internet services. Even so, the service quality experienced by the users is often lower than in wired networks. The performance of TCP has a large impact on user experience. Therefore, we investigate TCP in cellular networks and propose functionality to improve the situation for TCP. We have studied sources of delay and data loss, such as link layer retransmissions, queuing, and handover. The achievable data rates in cellular networks are limited by inter-cell interference that vary over the cell area. Inter-cell interference can be mitigated with Coordinated Multipoint techniques (CoMP), techniques that currently are being standardized for LTE-Advanced. System wide CoMP is, however, not an option, since it would be too resource consuming. In order to limit the required resources for CoMP, we propose an approach to select a subset of the users for CoMP that is based on user experience.
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