Cette thèse s'articule autour de deux grands thèmes: l'amélioration de la gestion des risques assurantiels souscrits par les entreprises d'assurance et l'intégration des techniques actuarielles et financières. L'intérêt majeur de notre démarche est de proposer de nouvelles méthodes modernes de gestion des risques pour les sociétés d'assurance, fournissant des alternatives pertinentes aux approches classiques des actuaires. Dans bon nombre de problèmes actuariels, l'information dont on dispose à propos des risques en présence n'est que partielle et il peut être intéressant d'obtenir des approximations de quantités d'intérêt (fonctions de répartition, primes stop-loss, coefficients d'ajustement, probabilités de ruine, etc.) basées sur les premiers moments des risques en présence. Dans tous les cas, il est évidemment très important de pouvoir évaluer la qualité de ces approximations. A cet égard, l'obtention de bornes sur ces quantités d'intérêt permet de contrôler l'erreur qui pourrait entacher l'approximation. Dans une telle perspective, la majeure partie de la thèse a pour cadre de travail les classes de risques partageant les mêmes premiers moments (notamment, moyenne, variance et coefficient de dissymétrie). L'existence de risques extrémaux par rapport à certaines relations d'ordres stochastiques de type convexe permet alors d'obtenir des bornes sur les quantités d'intérêt considérées. Dans certains cas, et ce afin d'obtenir des bornes plus précises, il peut également s'avérer intéressant de se restreindre à d'autres classes de risques. Par exemple, la classe des risques discrets, qui constitue un cas particulier de première importance en sciences actuarielles, a retenu toute notre attention. Cette thèse est composée d'articles (rédigés en anglais) publiés dans des revues nationales et internationales.

Recent corporate scandals and subsequent regulatory actions have heightened both the academic communities and the public's interest in corporate governance issues. Academics have long argued that voting rights constitute a critical component of a system of corporate governance. We provide evidence on the importance of one aspect of the firm's corporate governance system, namely shareholders' voting rights, by examining the determinants of the decision to grant equity-based compensation to the employees of the firm with or without shareholder approval. We find that poorly-performing firms and poorly-governed firms are more likely to adopt equity-based compensation plans without shareholder approval. Furthermore, when we examine financial performance subsequent to adoption of equity-based compensation plans, we find that poorly-governed firms that adopt equity-based compensation plans without consulting shareholder do not appear to gain any significant benefits associated with the incentives the plans are supposed to provide. In fact, in the year after an equity-based compensation plan is adopted, these firms perform worse than firms that have good systems of corporate governance or firms that place equity-based compensation plans to a shareholder vote. Overall, our results suggest that shareholder voting rights are an important tool of corporate governa

This thesis explored the development of infants’ ability to preserve spatio-temporal continuity of moving objects in situations where they disappeared completely (Study I & II) or partially (Study III) behind other objects (occluders). We recorded infants gaze direction with the help of two different techniques: 1) infants’ gaze shifts in Study I were measured with electro-oculogram (EOG) in combination with a motion analyzing system (Qualisys) that recorded the reflected infrared light from markers placed on the infant’s head and the moving object; 2) in Studies II and III a cornea reflection eye tracker was used (Tobii 1750) . The results presented in this thesis demonstrate that 4-month-old infants are able to represent the temporal aspects of object motion during different periods of complete occlusion (Study I). At 6 months of age infants are able not only to predict the time when a moving object will reappear after complete occlusion but they are also capable to extrapolate pre-occlusion trajectory of the moving object and, thus, to accurately predict its reappearance (Study II). Moreover, in the situation where a linear pre-occlusion trajectory of the moving object is violated (the object turns by 90 degrees behind the occluder), infants at this age are capable of rapidly learning this new experience and base their future gaze shifts over occluder on the newly acquired knowledge. They are also able to preserve this new experience over a 24-hour period. In the situations where occlusion is not complete and some visual information is still available (Study III), 9-month-old infants and to a lesser extent 5-month-old infants are able to reconstruct the moving pattern and to follow its direction of motion with the smooth eye movements. Moreover, 9-month-olds are capable to produce such smooth pursuit at an adult-like level.

Analyzing ranking data is an essential component in a wide range of important applications including web-search and recommendation systems. Rankings are difficult to visualize or model due to the computational difficulties associated with the large number of items. On the other hand, partial or incomplete rankings induce more difficulties since approaches that adapt well to typical types of rankings cannot apply generally to all types. While analyzing ranking data has a long history in statistics, construction of an efficient framework to analyze incomplete ranking data (with or without ties) is currently an open problem. This thesis addresses the problem of scalability for visualizing and modeling partial incomplete rankings. In particular, we propose a distance measure for top-k rankings with the following three properties: (1) metric, (2) emphasis on top ranks, and (3) computational efficiency. Given the distance measure, the data can be projected into a low dimensional continuous vector space via multi-dimensional scaling (MDS) for easy visualization. We further propose a non-parametric model for estimating distributions of partial incomplete rankings. For the non-parametric estimator, we use a triangular kernel that is a direct analogue of the Euclidean triangular kernel. The computational difficulties for large n are simplified using combinatorial properties and generating functions associated with symmetric groups. We show that our estimator is computational efficient for rankings of arbitrary incompleteness and tie structure. Moreover, we propose an efficient learning algorithm to construct a preference elicitation system from partial incomplete rankings, which can be used to solve the cold-start problems in ranking recommendations. The proposed approaches are examined in experiments with real search engine and movie recommendation data.

This thesis consists of three self-contained essays dealing with different aspects of macroeconomics and political Economy. The Relative Price of Investment Goods and Sectoral Contract Dependence I develop a quantitative model to explain the relationship between TFPs at the aggregate and sector levels and contracting institutions across countries. The incomplete contract enforcement induces distortions in the production process which come from the “hold up” problem between a final goods firm and its suppliers. Because investment goods sector is more contract dependent, its productivity suffers more from the distortion. In turn, countries endowed with weaker contract enforcement institutions face higher relative prices of investment goods. A Ricardian Model of the Labor Market with Directed Search I analyze how search friction affects the allocation in a Ricardian model of the labor market. The equilibrium shows that the matching pattern is partially mixed: Some tasks are only performed by skilled workers; some are only performed by unskilled workers; the remaining tasks are performed by both skilled and unskilled workers. The mixed matching pattern implies a mismatch in equilibrium. It turns out that the reason for the mismatch has its roots in search friction. In addition, I show labor market institutions have interesting implications for the unemployment rate and mismatch. A Dynamic Analysis of the Free-rider Problem I argue that special interest groups overcome their free-rider problem thanks to distorted government policy. As policy confers monopoly privileges on a group, it can also preserve and promote group’s organization. The key to sustaining the organization of the group is a dynamic incentive: when distorted policy generates rents for a group, each member of the group wish to make contributions not just to raise their rents today; they want to sustain their cooperation so that they will be able to influence policy in the future.

This dissertation studies a class of path-dependent stochastic control problems with applications to Finance. In particular, we solve the open problem of the continuous time expected utility maximization with addictive consumption habit formation in incomplete markets under two independent scenarios. In the first project, we study the continuous time utility optimization problem with consumption habit formation in general incomplete semimartingale financial markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into an abstract time-separable utility maximization problem with a shadow random endowment on the product space. We establish existence and uniqueness of the optimal solution using convex duality by defining the primal value function as depending on two variables, i.e., the initial wealth and the initial standard of living. We also provide market independent sufficient conditions both on the stochastic discounting processes of the habit formation process and on the utility function for the well-posedness of our original optimization problem. Under the same assumptions, we can carefully modify the classical proofs in the approach of convex duality analysis when the auxiliary dual process is not necessarily integrable. In the second project, we examine an example of the optimal investment and consumption problem with both habit-formation and partial observations in incomplete markets driven by It\^{o} processes. The individual investor develops addictive consumption habits gradually while only observing the market stock prices but not the instantaneous rates of return, which follow an Ornstein-Uhlenbeck process. Applying the Kalman-Bucy filtering theorem and Dynamic Programming arguments, we solve the associated Hamilton-Jacobi-Bellman(HJB) equation fully explicitly for this path dependent stochastic control problem in the case of power utility preferences. We provide the optimal investment and consumption policy in explicit feedback form using rigorous verification arguments. / text

Chapter 2 considers technology adoption under both technological and subsidy uncertainties. Uncertainty in subsidies for green technologies is considered as an example. Technological progress is exogenous and modeled as a jump process with a drift. The analytical solution is presented for cases when there is no subsidy uncertainty and when the subsidy changes once. The case when the subsidy follows a time invariant Markov process is analyzed numerically. The results show that improving the innovation process raises the investment thresholds. When technological jumps are small or rare, this improvement reduces the expected time before technology adoption. However, when technological jumps are large or abundant, this improvement may raise this expected time. Chapter 3 studies technology adoption in a duopoly where the unbiased technological change improves production efficiency. Technological progress is exogenous and modeled as a jump process with a drift. There is always a Markov perfect equilibrium in which the firm with more efficient technology never preempts its rival. Also, a class of equilibria may exist that lead to a smaller industry surplus. In these equilibria either of the firms may preempt its rival in a set of technology efficiency values. The first investment does not necessarily happen at the boundary of this set due to the discrete nature of the technology progress. The set shrinks and eventually disappears when the difference between firms’ efficiencies increases. Chapter 4 studies the behavior of two firms after a new investment opportunity arises. Firms either invest immediately or wait until market uncertainty is resolved. Two types of separating equilibrium are possible when sunk costs are private information. In the first type the firm with lower cost invests first. In the second type the firm with higher cost invests first leading to a smaller industry surplus. The results indicate that the second type is possible only for strictly negatively correlated sunk costs. Numerical analysis illustrates that when first mover advantage is large, the firm that delays the investment should be almost certain about its rival’s sunk cost. When market risk increases, the equilibria can exist when the firm is less certain. / text

This thesis analyzes the optimal strategies of rational agents in incomplete financial markets. The incompleteness may arise from the stochastic volatility of stock prices, in which case we study the optimal pricing and hedging strategies of an option trader. We introduce a new concept that we call the relative indifference price, which is the price at which a trader is indifferent to trade in an additional option, given that he is currently holding and dynamically hedging a portfolio of options. We find that the appropriate volatility risk premium depends on the trader's risk aversion coeffcient and his portfolio position before selling or buying the additional option. More generally, the incompleteness of the market may arise from both the drift and volatility of the stock being driven by a correlated factor. In this setting, we study the optimal consumption and investment policies of CARA, conservative CRRA and aggressive CRRA agents. In particular, we provide interpretations of the non-myopic investment in terms of martingale measures and the risk monitoring strategy of a path-dependent option. / text

Thesis (MComm (Logistics))--University of Stellenbosch, 2010. / ENGLISH ABSTRACT: Suppose a lottery draw consists of forming a winning ticket by randomly choosing t m distinct numbers from a universal set Um = f1; : : : ;mg. Each lottery participant forms a set of tickets prior to the draw, each ticket consisting of n m distinct numbers from Um, and is awarded a prize if k minfn; tg or more numbers in at least one of his/her tickets matches those of the winning ticket. A lottery of this form is denoted by the quadruple hm; n; t; ki, and the prize is known as a k-prize. The participant's set of tickets is also known as a playing set. The participant may wish to form a playing set in such a way that the probability of winning a k-prize is at least 0 < 1. Naturally, the participant will want to minimise the cost of forming such a playing set, which means that the cardinality of the playing set should be as small as possible. This combinatorial minimisation problem is known as the incomplete lottery problem and was introduced by Gr undlingh [16], who also formulated a related problem called the resource utilisation problem. In this problem one attempts to select a playing set of pre-speci ed cardinality ` in such a way that the probability of winning a k-prize is maximised. Gr undlingh [16] studied the incomplete lottery problem and the resource utilisation problem in the special case where n = t. In this thesis both problems are considered in the general case where n 6= t. Exact and approximate solution methods are presented and compared to each other in terms of solution quality achieved, execution time and practical feasibility. The rst solution method involves a mathematical programming formulation of both problems. Using this solution method, both problems are solved for small lottery instances. An exhaustive enumeration solution method, which uses the concept of overlapping playing set structures [5, 16], is reviewed and used to solve both combinatorial optimisation problems for the same small lottery instances. The concept of an overlapping playing set structure is further explored and incorporated in an attempt to solve both combinatorial optimisation problems approximately by means of various metaheuristic solution approaches, including a simulated annealing algorithm, a tabu search and a genetic algorithm. The focus of the thesis nally shifts to a di erent problem involving lotteries. An investigation is conducted into the probability, P(N; ), of participants sharing a k-prize if a total of N tickets are purchased by participants of the lottery hm; n; t; ki. Special attention is a orded in this problem to the jackpot prize of the South African national lottery, Lotto, represented by the quadruple h49; 6; 6; 6i and how the value of P(N; ) is a ected by the way that participants select their playing sets. / AFRIKAANSE OPSOMMING: Gestel 'n lotery-trekking bestaan uit die ewekansige seleksie van 'n wenkaartjie bestaande uit t m verskillende getalle uit 'n universele versameling Um = f1; : : : ;mg. Elke lotery-deelnemer vorm 'n versameling kaartjies voor die trekking, wat elk uit n m verskillende getalle in Um bestaan, en wen 'n prys indien k minfn; tg of meer getalle in minstens een van sy/haar kaartjies ooreenstem met di e in die wenkaartjie. 'n Lotery van hierdie vorm word deur die viertal hm; n; t; ki aangedui, en die prys staan as 'n k-prys bekend. 'n Deelnemer se kaartjies staan ook as a spelversameling bekend. 'n Lotery-deelnemer mag poog om sy spelversameling s o te selekteer dat die waarskynlikheid om 'n k-prys te wen, minstens 0 < 1 is. Die deelnemer sal natuurlik die koste wat met so 'n spelversameling gepaard gaan, wil minimeer, wat beteken dat die kardinaliteit van sy spelversameling so klein as moontlik moet wees. Hierdie kombinatoriese minimeringsprobleem staan as die onvolledige lottery-probleem bekend en is vir die eerste keer deur Gr undlingh [16] bestudeer, wat ook die verwante hulpbronbenuttingsprobleem geformuleer het. In laasgenoemde probleem word daar gesoek na 'n spelversameling van vooraf-gespesi seerde kardinaliteit wat die waarskynlikheid om 'n k-prys te wen, maksimeer. Gr undlingh [16] het die onvolledige lottery-probleem en die hulpbronbenuttingsprobleem in die spesiale geval oorweeg waar n = t. In hierdie tesis word beide probleme in die algemeen oorweeg waar n 6= t. Eksakte en heuristiese oplossingstegnieke word vir beide probleme daargestel en met mekaar in terme van oplossingskwaliteit, oplossingstyd en praktiese haalbaarheid vergelyk. Die eerste oplossingstegniek behels 'n wiskundige programmeringsformulering van beide probleme. Die probleme word deur middel van hierdie benadering vir klein loterye opgelos. 'n Uitputtende enumerasietegniek, wat gebruik maak van die konsep van spelversameling oorvleuelingstrukture [5, 16], word daarna in o enskou geneem en beide kombinatoriese optimeringsprobleme word vir dieselfde klein loterye met behulp van hierdie tegniek opgelos. Die konsep van 'n spelversameling oorvleuelingstruktuur word verder ondersoek en in 'n benaderde oplossingstegniek vir beide kombinatoriese optimeringsprobleme ge nkorporeer deur gebruik te maak van verskeie metaheuristiese oplossingsbenaderings, insluitende 'n gesimuleerde afkoelingsalgoritme, 'n tabu-soektog en 'n genetiese algoritme. Die fokus in die tesis verskuif laastens na 'n ander probleem oor loterye. 'n Ondersoek word geloots na die waarskynlikheid, P(N; ), dat lottery-deelnemers 'n k-prys sal deel indien 'n totaal van N kaartjies in die lotery hm; n; t; ki gekoop word. Spesiale aandag word aan hierdie probleem geskenk in die geval van die boerpot-prys in die Suid-Afrikaanse nasionale lotery, Lotto, wat deur die viertal h49; 6; 6; 6i voorgestel word, en hoe die waarde van P(N; ) be nvloed word deur die manier waarop deelnmers hul spelversamelings selekteer.

abstract: The number of community college honors programs has significantly increased since the 1980s. This study analyzes qualitative data collected from employee, student, and faculty participants associated with a community college honors program in the western United States during the months of April 2011 and January-March 2012. Using a theoretical framework derived from literature on Institutional Isomorphism and Academic Capitalism, this work explores the motivations behind the creation of a community college honors program, the implementation of the program, and the program's effects on the micro-level experiences of those affiliated. The data analysis reveals that the motivations for the incorporation and continuation of the Honors Program are driven by hopes of improving the college's reputation and attracting new funding sources for its academic programs. These findings are consistent with arguments about Institutional Isomorphism and Academic Capitalism. However, consistent with literature on program implementation, I identified barriers in the form of staff and student perceptions that impede Honor's program conformity to ideal standards. I refer to this finding as "incomplete isomorphism." / Dissertation/Thesis / M.A. Sociology 2012