Investment Under Demand Uncertainty: the Newsboy Problem Revisited.

In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product. The unit profit of operation is known with certainty but there is no flexibility in our one-period framework. We show how the introduction of global uncertainty reduces the investment of the risk neutral entrepreneur and, even more, that the risk averse one. We also show how marginal increases in risk reduce the optimal capacity of both the risk neutral and the risk averse entrepreneur, without any restriction on the concave utility function and with limited restrictions on the definition of a mean preserving spread. These general results are explained by the fact that the newsboy has a piecewise-linear, and concave, monetary payoff witha kink endogenously determined at the level of optimal capacity. Our results are compared with those in the two literatures on price uncertainty and demand uncertainty, and particularly, with the recent contributions of Eeckhoudt, Gollier and Schlesinger (1991, 1995).

A Theory of Random Consumer Demand

This paper presents a new theory of random consumer demand. The primitive is a collection of probability distributions, rather than a binary preference. Various assumptions constrain these distributions, including analogues of common assumptions about preferences such as transitivity, monotonicity and convexity. Two results establish a complete representation of theoretically consistent random demand. The purpose of this theory of random consumer demand is application to empirical consumer demand problems. To this end, the theory has several desirable properties. It is intrinsically stochastic, so the econometrician can apply it directly without adding extrinsic randomness in the form of residuals. Random demand is parsimoniously represented by a single function on the consumption set. Finally, we have a practical method for statistical inference based on the theory, described in McCausland (2004), a companion paper.

Bayesian Analysis for a Theory of Random Consumer Demand: The Case of Indivisible Goods

McCausland (2004a) describes a new theory of random consumer demand. Theoretically consistent random demand can be represented by a \"regular\" \"L-utility\" function on the consumption set X. The present paper is about Bayesian inference for regular L-utility functions. We express prior and posterior uncertainty in terms of distributions over the indefinite-dimensional parameter set of a flexible functional form. We propose a class of proper priors on the parameter set. The priors are flexible, in the sense that they put positive probability in the neighborhood of any L-utility function that is regular on a large subset bar(X) of X; and regular, in the sense that they assign zero probability to the set of L-utility functions that are irregular on bar(X). We propose methods of Bayesian inference for an environment with indivisible goods, leaving the more difficult case of indefinitely divisible goods for another paper. We analyse individual choice data from a consumer experiment described in Harbaugh et al. (2001).

ITEM : An Integrated Transport Economy Model - Price Elasticities of Freight Transport Demand in Canada : Three Canadian Markets and Four Commodities.

Rapport de recherche

Investment Under Demand Uncertainty: the Newsboy Problem Revisited.

In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product. The unit profit of operation is known with certainty but there is no flexibility in our one-period framework. We show how the introduction of global uncertainty reduces the investment of the risk neutral entrepreneur and, even more, that the risk averse one. We also show how marginal increases in risk reduce the optimal capacity of both the risk neutral and the risk averse entrepreneur, without any restriction on the concave utility function and with limited restrictions on the definition of a mean preserving spread. These general results are explained by the fact that the newsboy has a piecewise-linear, and concave, monetary payoff witha kink endogenously determined at the level of optimal capacity. Our results are compared with those in the two literatures on price uncertainty and demand uncertainty, and particularly, with the recent contributions of Eeckhoudt, Gollier and Schlesinger (1991, 1995).

Demand-driven type analysis for dynamically-typed functional languages

Thèse diffusée initialement dans le cadre d'un projet pilote des Presses de l'Université de Montréal/Centre d'édition numérique UdeM (1997-2008) avec l'autorisation de l'auteur.

Dietary supplement use and its impact on nutritional adequacy for British Columbia and Manitoba First Nations adults living on reserve.

Contexte: L'utilisation de suppléments alimentaires est répandue chez les populations américaines et canadiennes en général, mais on en sait peu sur la consommation de suppléments alimentaires dans la population autochtone canadienne. Objectif: L'objectif général de cette étude est de prendre en compte l'utilisation de suppléments alimentaires dans l'évaluation nutritionnelle des apports alimentaires des adultes des Premières nations vivant dans les réserves en Colombie-Britannique et Manitoba. Conception: Les données ont été recueillies par l’étude ‘First Nations Food, Nutrition, and Environment Study’ de 1103 (Colombie-Britannique) et 706 (Manitoba) adultes des Premières Nations âgés de 19 à 70 ans. L'étude a utilisé un rappel alimentaire des dernières 24 heures (avec un deuxième rappel pour un sous-échantillon) pour évaluer la diète alimentaire. L'utilisation de suppléments alimentaires et des antiacides ont été recueillis par un questionnaire de fréquence. En utilisant le logiciel SIDE pour tenir compte des variations intra-individuelles dans la prise alimentaire et la technique du bootstrap pour obtenir des estimations représentatives des différentes régions, l'utilisation de suppléments de la vitamine A, D, C et de calcium ont été intégrées aux estimations de la consommation alimentaire. Résultats: Environ 30% des adultes des Premières Nations de la Colombie-Britannique et seulement 13,2% des adultes des Premières Nations du Manitoba âgés entre 19-70 ans vivant dans les réserves ont déclaré utiliser au moins un supplément alimentaire durant les 30 jours précédents. Lors de l'examen des nutriments d'intérêt, un plus faible pourcentage de la population en a fait usage, de 14,8 à 18,5% en Colombie-Britannique et de 4,9 à 8% de la population du Manitoba. La prévalence de l'usage de tout supplément alimentaire était plus élevée chez les femmes que chez les hommes dans tous les groupes d'âge et augmente avec l'âge dans les deux sexes. La plus forte prévalence d'un apport insuffisant provenant de la nourriture a été observée pour la vitamine D et le calcium en Colombie-Britannique et Manitoba, variant de 75 à 100%, et de la vitamine A dans le Manitoba (73-96%). Après avoir examiné l'utilisation de suppléments alimentaires, plus des trois quarts des participants n’ont toujours pas réussi à répondre au besoin moyen estimatif pour ces nutriments. La vitamine C est l'oligo-élément avec le plus faible pourcentage sous le besoin moyen estimatif (avec au sans suppléments) pour la Colombie-Britannique et le Manitoba. Conclusion: La majorité des adultes des Premières nations de la Colombie-Britannique et du Manitoba, même après prise en compte de l'utilisation de suppléments alimentaires, avaient des apports en vitamines A, D et des apports de calcium sous les niveaux recommandés. L'utilisation de compléments alimentaires n'a pas contribué de façon significative à l'apport total en nutriments sélectionnés sauf pour la vitamine C dans certains groupes d'âge.

Ambiguity on the insurer's side: the demand for insurance

Empirical evidence suggests that ambiguity is prevalent in insurance pricing and underwriting, and that often insurers tend to exhibit more ambiguity than the insured individuals (e.g., [23]). Motivated by these findings, we consider a problem of demand for insurance indemnity schedules, where the insurer has ambiguous beliefs about the realizations of the insurable loss, whereas the insured is an expected-utility maximizer. We show that if the ambiguous beliefs of the insurer satisfy a property of compatibility with the non-ambiguous beliefs of the insured, then there exist optimal monotonic indemnity schedules. By virtue of monotonicity, no ex-post moral hazard issues arise at our solutions (e.g., [25]). In addition, in the case where the insurer is either ambiguity-seeking or ambiguity-averse, we show that the problem of determining the optimal indemnity schedule reduces to that of solving an auxiliary problem that is simpler than the original one in that it does not involve ambiguity. Finally, under additional assumptions, we give an explicit characterization of the optimal indemnity schedule for the insured, and we show how our results naturally extend the classical result of Arrow [5] on the optimality of the deductible indemnity schedule.

Ambiguity on the insurer's side: the demand for insurance

Empirical evidence suggests that ambiguity is prevalent in insurance pricing and underwriting, and that often insurers tend to exhibit more ambiguity than the insured individuals (e.g., [23]). Motivated by these findings, we consider a problem of demand for insurance indemnity schedules, where the insurer has ambiguous beliefs about the realizations of the insurable loss, whereas the insured is an expected-utility maximizer. We show that if the ambiguous beliefs of the insurer satisfy a property of compatibility with the non-ambiguous beliefs of the insured, then there exist optimal monotonic indemnity schedules. By virtue of monotonicity, no ex-post moral hazard issues arise at our solutions (e.g., [25]). In addition, in the case where the insurer is either ambiguity-seeking or ambiguity-averse, we show that the problem of determining the optimal indemnity schedule reduces to that of solving an auxiliary problem that is simpler than the original one in that it does not involve ambiguity. Finally, under additional assumptions, we give an explicit characterization of the optimal indemnity schedule for the insured, and we show how our results naturally extend the classical result of Arrow [5] on the optimality of the deductible indemnity schedule.