An Analysis of black-box optimization problems in reinsurance: evolutionary-based approaches

Black-box optimization problems (BBOP) are de ned as those optimization problems in which the objective function does not have an algebraic expression, but it is the output of a system (usually a computer program). This paper is focussed on BBOPs that arise in the eld of insurance, and more speci cally in reinsurance problems. In this area, the complexity of the models and assumptions considered to de ne the reinsurance rules and conditions produces hard black-box optimization problems, that must be solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is not possible in BBOP, so new computational paradigms must be applied to solve these problems. In this paper we show the performance of two evolutionary-based techniques (Evolutionary Programming and Particle Swarm Optimization). We provide an analysis in three BBOP in reinsurance, where the evolutionary-based approaches exhibit an excellent behaviour, nding the optimal solution within a fraction of the computational cost used by inspection or enumeration methods.

Assimilació, integració laboral, domini de l'idioma i segregació residencial

La literatura econòmica sobre immigració i mercat de treball ha analitzat dos grans temes. Un és l’efecte que genera la immigració sobre les condicions laborals (ocupació i salaris) dels nadius. L’altre és l’assimilació dels immigrants en el país d’acollida. Aquest projecte s'emmarca en aquesta segona línia de recerca. L’assimilació s’entén com un procés complex en el que un immigrant s’integra completament en el seu país d’acollida en diferents aspectes interrelacionats: l’estatus socioeconòmic, el progrés salarial, el domini de l’idioma o la segregació residencial, entre d'altres. El nostre projecte es centra en l’anàlisi de l’assimilació dels immigrants que han arribat recentment al nostre mercat de treball. Des d'aquesta perspectiva, s'ha analitzat si com a conseqüència de la transferibilitat limitada del capital humà entre països, es produeix o no una degradació ocupacional inicial que porti associada una quantiosa diferència salarial amb els nadius de similars característiques. De fet, com menys transferible sigui el capital humà d'origen, major serà la degradació ocupacional i la consegüent bretxa salarial inicial. També s'ha analitzat de manera més directa quin paper juga la portabilitat del capital humà a l'hora d'explicar el progrés econòmic dels immigrants. L’evidència obtinguda permet concloure que, a mesura que s'amplia el temps de residència al país de destinació, el capital humà es va adaptant als requeriments del mercat laboral del país hoste, especialment a través de l'experiència en el lloc de treball, però també per aprenentatge del nou idioma o fins i tot realització d'estudis. El capital humà així acumulat permet millorar posicions en l'escala ocupacional i augmentar en paral•lel els ingressos, assimilant-los amb el temps als dels nadius d'iguals característiques. Per últim, l’anàlisi del paper de les xarxes socials dels immigrants mostra un efecte positiu sobre la probabilitat de trobar feina però un pitjor emparellament en el mercat de treball.

Multimarket contact externalities: the effect of rival's multimarket contacts on focal firm performance

Given that firms develop their activities in a network of multiple players, interfirm rivalry is not only a matter of direct competitors, but also of indirect competition. In spite of this, the literature on competitive dynamics tends to focus on analyzing rivalry as an exclusive function of the competitive relationship between a focal firm and its direct rivals. In this article, we extend competitive dynamics literature by considering how focal firms are affected by the relationships of their rivals with third-party firms. Specifically, we study the effect that the multimarket contacts of rivals produces on the performance of the focal firm. Additionally, we incorporate the idea that there are different strategic options for operating in an industry that affect the intensity of multimarket contact externalities. Our results show that multimarket contact among firms causes externalities that indirectly affect firms that are not directly involved in this competitive relationship. We find that multimarket contact externalities differ between and within strategic groups.

Vitamin E but not 17B-estradiol protect against vascular toxicity induced by B-amyloid wild type and the Dutch amyploid variant

Amyloid β-peptide (Aβ) fibril deposition on cerebral vessels produces cerebral amyloid angiopathy that appears in the majority of Alzheimer's disease patients. An early onset of a cerebral amyloid angiopathy variant called hereditary cerebral hemorrhage with amyloidosis of the Dutch type is caused by a point mutation in Aβ yielding AβGlu22→Gln. The present study addresses the effect of amyloid fibrils from both wild-type and mutated Aβ on vascular cells, as well as the putative protective role of antioxidants on amyloid angiopathy. For this purpose, we studied the cytotoxicity induced by Aβ1–40 Glu22→Gln and Aβ1–40 wild-type fibrils on human venule endothelial cells and rat aorta smooth muscle cells. We observed that AβGlu22→Gln fibrils are more toxic for vascular cells than the wild-type fibrils. We also evaluated the cytotoxicity of Aβ fibrils bound with acetylcholinesterase (AChE), a common component of amyloid deposits. Aβ1–40 wild-type–AChE fibrillar complexes, similar to neuronal cells, resulted in an increased toxicity on vascular cells. Previous reports showing that antioxidants are able to reduce the toxicity of Aβ fibrils on neuronal cells prompted us to test the effect of vitamin E, vitamin C, and 17β-estradiol on vascular damage induced by Aβwild-type and AβGlu22→Gln. Our data indicate that vitamin E attenuated significantly the Aβ-mediated cytotoxicity on vascular cells, although 17β-estradiol and vitamin C failed to inhibit the cytotoxicity induced by Aβ fibrils.

Motivational effects of cannabinoids are mediated by μ-opioid and k-opioid receptor

Repeated THC administration produces motivational and somaticadaptive changes leading to dependence in rodents. Toinvestigate the molecular basis for cannabinoid dependenceand its possible relationship with the endogenous opioid system,we explored Δ9-tetrahydrocannabinol (THC) activity in mice lacking μ-, δ- or κ-opioid receptor genes. Acute THCinduced hypothermia, antinociception, and ypolocomotion remained unaffected in these mice, whereas THC tolerance and withdrawal were minimally modified in mutant animals. In contrast, profound phenotypic changes are observed in several place conditioning protocols that reveal both THC rewarding and aversive properties. Absence of μ receptors abolishes THC place preference. Deletion of κ receptors ablates THC place aversion and furthermore unmasks THC place preference. Thus, an opposing activity of μ- and κ-opioid receptors in modulating reward pathways forms the basis for the dual euphoric–dysphoric activity of THC.

THC prevents MDMA neurotoxicity in mice

The majority of MDMA (ecstasy) recreational users also consume cannabis. Despite the rewarding effects that both drugs have, they induce several opposite pharmacological responses. MDMA causes hyperthermia, oxidative stress and neuronal damage, especially at warm ambient temperature. However, THC, the main psychoactive compound of cannabis, produces hypothermic, anti-inflammatory and antioxidant effects. Therefore, THC may have a neuroprotective effect against MDMA-induced neurotoxicity. Mice receiving a neurotoxic regimen of MDMA (20 mg/kg ×4) were pretreated with THC (3 mg/kg ×4) at room (21°C) and at warm (26°C) temperature, and body temperature, striatal glial activation and DA terminal loss were assessed. To find out the mechanisms by which THC may prevent MDMA hyperthermia and neurotoxicity, the same procedure was carried out in animals pretreated with the CB1 receptor antagonist AM251 and the CB2 receptor antagonist AM630, as well as in CB1, CB2 and CB1/CB2 deficient mice. THC prevented MDMA-induced-hyperthermia and glial activation in animals housed at both room and warm temperature. Surprisingly, MDMA-induced DA terminal loss was only observed in animals housed at warm but not at room temperature, and this neurotoxic effect was reversed by THC administration. However, THC did not prevent MDMA-induced hyperthermia, glial activation, and DA terminal loss in animals treated with the CB1 receptor antagonist AM251, neither in CB1 and CB1/CB2 knockout mice. On the other hand, THC prevented MDMA-induced hyperthermia and DA terminal loss, but only partially suppressed glial activation in animals treated with the CB2 cannabinoid antagonist and in CB2 knockout animals. Our results indicate that THC protects against MDMA neurotoxicity, and suggest that these neuroprotective actions are primarily mediated by the reduction of hyperthermia through the activation of CB1 receptor, although CB2 receptors may also contribute to attenuate neuroinflammation in this process.

A two-stage approach for tonic identification in indian art music

In this paper we propose a new approach for tonic identification in Indian art music and present a proposal for acomplete iterative system for the same. Our method splits the task of tonic pitch identification into two stages. In the first stage, which is applicable to both vocal and instrumental music, we perform a multi-pitch analysis of the audio signal to identify the tonic pitch-class. Multi-pitch analysisallows us to take advantage of the drone sound, which constantlyreinforces the tonic. In the second stage we estimate the octave in which the tonic of the singer lies and is thusneeded only for the vocal performances. We analyse the predominant melody sung by the lead performer in order to establish the tonic octave. Both stages are individually evaluated on a sizable music collection and are shown toobtain a good accuracy. We also discuss the types of errors made by the method.Further, we present a proposal for a system that aims to incrementally utilize all the available data, both audio and metadata in order to identify the tonic pitch. It produces a tonic estimate and a confidence value, and is iterative in nature. At each iteration, more data is fed into the systemuntil the confidence value for the identified tonic is above a defined threshold. Rather than obtain high overall accuracy for our complete database, ultimately our goal is to develop a system which obtains very high accuracy on a subset of the database with maximum confidence.

The Law of Impersonal Transactions: Meaning and Difficulties

Most economic interactions happen in a context of sequential exchange in which innocent third parties suffer information asymmetry with respect to previous "originative" contracts. The law reduces transaction costs by protecting these third parties but preserves some element of consent by property right holders to avoid damaging property enforcement-e.g., it is they as principals who authorize agents in originative contracts. Judicial verifiability of these originative contracts is obtained either as an automatic byproduct of transactions or, when these would have remained private, by requiring them to be made public. Protecting third parties produces a sort of legal commodity which is easy to trade impersonally, improving the allocation and specialization of resources. Historical delay in generalizing this legal commoditization paradigm is attributed to path dependency-the law first developed for personal trade-and an unbalance in vested interests, as luddite legal professionals face weak public bureaucracies.

Policy and the Evolution of the US Economy: 1948-2002

This paper investigates the relationship between monetary policy and the changes experienced by the US economy using a small scale New-Keynesian model. The model is estimated with Bayesian techniques and the stability of policy parameter estimates and of the transmission of policy shocks examined. The model fits well the data and produces forecasts comparable or superior to those of alternative specifications. The parameters of the policy rule, the variance and the transmission of policy shocks have been remarkably stable. The parameters of the Phillips curve and of the Euler equations are varying.

Credit Constraints, Firms' Precautionary Investment, and the Business Cycle

This paper studies the macroeconomic implications of firms' precautionary investment behavior in response to the anticipation of future financing constraints. Firms increase their demand for liquid and safe investments in order to alleviate future borrowing constraints and decrease the probability of having to forego future profitable investment opportunities. This results in an increase in the share of short-term projects that produces a temporary increase in output, at the expense of lower long-run investment and future output. I show in a calibrated model that this behavior is at the source of a novel and powerful channel of shock transmission of productivity shocks that produces short-run dampening and long-run propagation. Furthermore, it can account for the observed business cycle patterns of the aggregate and firm-level composition of investment.

The persistence of abnormal returns at industry and firm levels

The present paper proposes a model for the persistence of abnormal returnsboth at firm and industry levels, when longitudinal data for the profitsof firms classiffied as industries are available. The model produces a two-way variance decomposition of abnormal returns: (a) at firm versus industrylevels, and (b) for permanent versus transitory components. This variancedecomposition supplies information on the relative importance of thefundamental components of abnormal returns that have been discussed in theliterature. The model is applied to a Spanish sample of firms, obtainingresults such as: (a) there are significant and permanent differences betweenprofit rates both at industry and firm levels; (b) variation of abnormal returnsat firm level is greater than at industry level; and (c) firm and industry levelsdo not differ significantly regarding rates of convergence of abnormal returns.

A portrait of the Spanish accounting community

This study presents a portrait of the Spanish academic accountingcommunity in 1995, based upon a questionnaire circulated to Spanishaccounting academics in 1995 and upon an analysis of authorship andcitations in the main Spanish accounting journals. The approach tothese analyses is grounded in similar studies which have been carriedout in the United States, Spain and elsewhere. but the combination oftechniques used in this study is particularly broad in range.The results of the study are used to describe a range ofcharacteristics of Spanish accounting academics, for example,publications records and length of academic experience. The analysisof publications produces a ranking by institutional affiliation ofthe most significant contributors to current debates on accounting.Citation analysis is used to identify the range and extent ofinternational influences upon the Spanish academic accountingcommunity, and to provide an additional ranking by institutionalaffiliation of the most frequently cited sources A significantfinding was that the nature and extent of international influence hadchanged very little over the ten year period since Spain entered theEuropean Union and started to implement European Directives.Perceptions of journal quality were elicited by questionnaire. Fortyfive journals, Spanish and international are included in a listranked for perceived importance as outlets for publication. and assources of support for teaching and research. The results of thisexercise show that Spanish journals were ranked low relative tojournals published in the United Kingdom and United States.Finally the study examines the extent of purpose upon Spanishaccounting academies to publish, by presenting results of a questionabout criteria for promotion, and also by examining and increasingtendency to publish co-authored work.

Adaptive approach heuristics for the generalized assignment problem

The Generalized Assignment Problem consists in assigning a setof tasks to a set of agents with minimum cost. Each agent hasa limited amount of a single resource and each task must beassigned to one and only one agent, requiring a certain amountof the resource of the agent. We present new metaheuristics forthe generalized assignment problem based on hybrid approaches.One metaheuristic is a MAX-MIN Ant System (MMAS), an improvedversion of the Ant System, which was recently proposed byStutzle and Hoos to combinatorial optimization problems, and itcan be seen has an adaptive sampling algorithm that takes inconsideration the experience gathered in earlier iterations ofthe algorithm. Moreover, the latter heuristic is combined withlocal search and tabu search heuristics to improve the search.A greedy randomized adaptive search heuristic (GRASP) is alsoproposed. Several neighborhoods are studied, including one basedon ejection chains that produces good moves withoutincreasing the computational effort. We present computationalresults of the comparative performance, followed by concludingremarks and ideas on future research in generalized assignmentrelated problems.

Corporate finance and the monetary transmission mechanism

This paper analyzes the transmission mechanisms of monetarypolicy in a general equilibrium model of securities marketsand banking with asymmetric information. Banks' optimal asset/liability policy is such that in equilibrium capital adequacy constraints are always binding. Asymmetric information about banks' net worth adds a cost to outside equity capital, which limits the extent to which banks can relax their capital constraint. In this context monetarypolicy does not affect bank lending through changes in bank liquidity. Rather, it has the effect of changing theaggregate composition of financing by firms. The model also produces multiple equilibria, one of which displays all the features of a "credit crunch". Thus, monetary policy can also have large effects when it induces a shift from one equilibrium to the other.

Health investment complementarities under competing risks

Applying the competing--risks model to multi--cause mortality,this paper provides a theoretical and empirical investigation of the positive complementarities that occur between disease--specific policy interventions. We argue that since an individual cannot die twice, competing risks imply that individuals will not waste resources on causes that are not the most immediate, but will make health investments so as to equalize cause--specific mortality. However, equal mortality risk from a variety of diseases does not imply that disease--specific public health interventions are a waste. Rather, a cause--specific intervention produces spillovers to other disease risks, so that the overall reduction in mortality will generally be larger than the direct effect measured on the targeted disease. The assumption that mortality from non--targeted diseases remains the same after a cause--specific intervention under--estimates the true effect of such programs, since the background mortality is also altered as a result of intervention. Analyzing data from one of the most important public health programs ever introduced, the Expanded Program on Immunization (EPI) of the United Nations, we find evidence for the existence of such complementarities, involving causes that are not biomedically, but behaviorally, linked.