Implications of dynamic trading for insurance markets

We study the interaction between insurance and capital markets within singlebut general framework.We show that capital markets greatly enhance the risksharing capacity of insurance markets and the scope of risks that areinsurable because efficiency does not depend on the number of agents atrisk, nor on risks being independent, nor on the preferences and endowmentsof agents at risk being the same. We show that agents share risks by buyingfull coverage for their individual risks and provide insurance capitalthrough stock markets.We show that aggregate risk enters private insuranceas positive loading on insurance prices and despite that agents will buyfull coverage. The loading is determined by the risk premium of investorsin the stock market and hence does not depend on the agent s willingnessto pay. Agents provide insurance capital by trading an equally weightedportfolio of insurance company shares and riskless asset. We are able toconstruct agents optimal trading strategies explicitly and for verygeneral preferences.

2007 Greenhouse Gas Emissions from Selected Iowa Source Categories

The Department’s 2007 Greenhouse Gas Inventory is a refinement of previous statewide inventories. It is a bottom-up inventory of two sectors – fossil fuel combustion at federally-recognized major sources of air pollution and fossil fuel combustion and ethanol fermentation at dry mill ethanol plants. This is the first bottomup greenhouse gas inventory conducted for Iowa and the first bottom-up greenhouse gas inventory of ethanol plants in the nation that the Department is aware of. In a bottom-up inventory, facility-specific activity data is used to calculate emissions. In a top-down inventory, aggregate activity data is used to calculate emissions. For example, this bottom-up inventory calculates greenhouse gas emissions from the fossil fuel combustion at each individual facility instead of using the total amount of fossil fuel combusted state-wide, which would be a top-down inventory method. The advantage to a bottom-up inventory is that the calculations are more accurate than a top-down inventory. However, because the two methods differ, the results from a bottom-up inventory are not directly comparable to a top-down inventory.

North-South convergence and the allocation of CO2 emissions

We postulate a two-region world, comprised of North (calibrated after the US) and South(calibrated after China). Our optimization results show the compatibility of the following threedesiderata:(1) Global CO2 emissions follow a conservative path that leads to the stabilizationof concentrations at 450 ppm.(2) North and South converge to a path of sustained growth at 1% per year (28.2%per generation) in 2075.(3) During the transition to the steady state, North also grows at 1% per year whileSouth s rates of growth are markedly higher.The transition paths require a drastic reduction of the share of emissions allocated to North,large investments in knowledge, both in North and South, as well as very large investments ineducation in South. Surprisingly, in order to sustain North s utility growth rate, some output mustbe transferred from South to North during the transition.Although undoubtedly subject to many caveats, our results support a degree of optimism byproviding prima facie evidence of the possibility of tackling climate change in a way that is fairboth across generations and across regions while allowing for positive rates of humandevelopment.

How to recognize opportunities: Heterarchical search in a Wall Street trading room

Our task in this paper is to analyze the organization of trading in the era of quantitativefinance. To do so, we conduct an ethnography of arbitrage, the trading strategy that bestexemplifies finance in the wake of the quantitative revolution. In contrast to value andmomentum investing, we argue, arbitrage involves an art of association - the constructionof equivalence (comparability) of properties across different assets. In place of essentialor relationa l characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else - associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

New findings regarding return autocorrelation anomalies and the importance of non-trading periods

In this paper, differences in return autocorrelation across weekdays havebeen investigated. Our research provides strong evidence of the importanceon non-trading periods, not only weekends and holidays but also overnightclosings, to explain return autocorrelation anomalies. While stock returnsare highly autocorrelated, specially on Mondays, when daily returns arecomputed on a open-to-close basis, they do not exhibit any significantlevel of autocorrelation. Our results are compatible with theinformation processing hypotheses as an explanation of the weekendeffect.

Insurance with frequent trading

This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature ofthe implied securities needed for Pareto optimality suggests that insuch contexts complete markets is a very reasonable assumption.

The policy relevance of wear emissions from road transport, now and in the future : an international workshop report and consensus statement

Road transport emissions are a major contributor to ambient particulate matter concentrations and have been associated with adverse health effects. Therefore, these emissions are targeted through increasingly stringent European emission standards. These policies succeed in reducing exhaust emissions, but do not address "nonexhaust" emissions from brake wear, tire wear, road wear, and suspension in air of road dust. Is this a problem? To what extent do nonexhaust emissions contribute to ambient concentrations of PM10 or PM2.5? In the near future, wear emissions may dominate the remaining traffic-related PM10 emissions in Europe, mostly due to the steep decrease in PM exhaust emissions. This underlines the need to determine the relevance of the wear emissions as a contribution to the existing ambient PM concentrations, and the need to assess the health risks related to wear particles, which has not yet received much attention. During a workshop in 2011, available knowledge was reported and evaluated so as to draw conclusions on the relevance of traffic-related wear emissions for air quality policy development. On the basis of available evidence, which is briefly presented in this paper, it was concluded that nonexhaust emissions and in particular suspension in air of road dust are major contributors to exceedances at street locations of the PM10 air quality standards in various European cities. Furthermore, wear-related PM emissions that contain high concentrations of metals may (despite their limited contribution to the mass of nonexhaust emissions) cause significant health risks for the population, especially those living near intensely trafficked locations. To quantify the existing health risks, targeted research is required on wear emissions, their dispersion in urban areas, population exposure, and its effects on health. Such information will be crucial for environmental policymakers as an input for discussions on the need to develop control strategies.

Fossil resource depletion and climate change emissions: the role of physical constrictions

[spa] En lo que concierne al cambio climático, los pronósticos de cercanos picos de combustible fósiles parecen buenas noticias pues la mayoría de las emisiones proceden de la quema de combustibles fósiles. Sin embargo, esto podría resultar engañoso de confirmarse las enormes estimaciones de reservas de carbón pues puede divisarse un intercambio de combustible fósiles con baja concentración de carbono (petróleo y gas) por otros de mayor (carbón). Ciñéndonos a esta hipótesis desarrollamos escenarios donde tan pronto el petróleo y el gas natural alcanzan su cénit la extracción de carbón crece lo necesario para compensar el descenso de los primeros. Estimamos las emisiones que se deriva de tales supuestos y las comparamos con el peor escenario del IPCC. Si bien dicho escenario parece improbable concluimos que los picos de petróleo y gas no son suficientes para evitar peligrosas sendas de gases de efecto invernadero. Las concentraciones de CO2 halladas superan con creces las 450 ppm sin signos de remisión.

Postharvest nitrous oxide emissions from a subtropical oxisol as influenced by summer crop residues and their management

Nitrous oxide (N2O) is the most important non-CO2 greenhouse gas and soil management systems should be evaluated for their N2O mitigation potential. This research evaluated a long-term (22 years) experiment testing the effect of soil management systems on N2O emissions in the postharvest period (autumn) from a subtropical Rhodic Hapludox at the research center FUNDACEP, in Cruz Alta, state of Rio Grande do Sul. Three treatments were evaluated, one under conventional tillage with soybean residues (CTsoybean) and two under no-tillage with soybean (NTsoybean) and maize residues (NTmaize). N2O emissions were measured eight times within 24 days (May 2007) using closed static chambers. Gas flows were obtained based on the relations between gas concentrations in the chamber at regular intervals (0, 15, 30, 45 min) analyzed by gas chromatography. After soybean harvest, accumulated N2O emissions in the period were approximately three times higher in the untilled soil (164 mg m-2 N) than under CT (51 mg m-2 N), with a short-lived N2O peak of 670 mg m-2 h-1 N. In contrast, soil N2O emissions in NT were lower after maize than after soybean, with a N2O peak of 127 g m-2 h-1 N. The multivariate analysis of N2O fluxes and soil variables, which were determined simultaneously with air sampling, demonstrated that the main driving variables of soil N2O emissions were soil microbial activity, temperature, water-filled pore space, and NO3- content. To replace soybean monoculture, crop rotation including maize must be considered as a strategy to decrease soil N2O emissions from NT soils in Southern Brazil in a Autumn.

Mitigation of methane and nitrous oxide emissions from flood-irrigated rice by no incorporation of winter crop residues into the soil

Winter cover crops are sources of C and N in flooded rice production systems, but very little is known about the effect of crop residue management and quality on soil methane (CH4) and nitrous oxide (N2O) emissions. This study was conducted in pots in a greenhouse to evaluate the influence of crop residue management (incorporated into the soil or left on the soil surface) and the type of cover-crop residues (ryegrass and serradella) on CH4 and N2O emissions from a flooded Albaqualf soil cultivated with rice (Oryza sativa L.). The closed chamber technique was used for air sampling and the CH4 and N2O concentrations were analyzed by gas chromatography. Soil solution was sampled at two soil depths (2 and 20 cm), simultaneously to air sampling, and the contents of dissolved organic C (DOC), NO3-, NH4+, Mn2+, and Fe2+ were analyzed. Methane and N2O emissions from the soil where crop residues had been left on the surface were lower than from soil with incorporated residues. The type of crop residue had no effect on the CH4 emissions, while higher N2O emissions were observed from serradella (leguminous) than from ryegrass, but only when the residues were left on the soil surface. The more intense soil reduction verified in the deeper soil layer (20 cm), as evidenced by higher contents of reduced metal species (Mn2+ and Fe2+), and the close relationship between CH4 emission and the DOC contents in the deeper layer indicated that the sub-surface layer was the main CH4 source of the flooded soil with incorporated crop residues. The adoption of management strategies in which crop residues are left on the soil surface is crucial to minimize soil CH4 and N2O emissions from irrigated rice fields. In these production systems, CH4 accounts for more than 90 % of the partial global warming potential (CH4+N2O) and, thus, should be the main focus of research.

Long-term C-CO2 emissions and carbon crop residue mineralization in an oxisol under different tillage and crop rotation systems

Soil C-CO2 emissions are sensitive indicators of management system impacts on soil organic matter (SOM). The main soil C-CO2 sources at the soil-plant interface are the decomposition of crop residues, SOM turnover, and respiration of roots and soil biota. The objectives of this study were to evaluate the impacts of tillage and cropping systems on long-term soil C-CO2 emissions and their relationship with carbon (C) mineralization of crop residues. A long-term experiment was conducted in a Red Oxisol in Cruz Alta, RS, Brazil, with subtropical climate Cfa (Köppen classification), mean annual precipitation of 1,774 mm and mean annual temperature of 19.2 ºC. Treatments consisted of two tillage systems: (a) conventional tillage (CT) and (b) no tillage (NT) in combination with three cropping systems: (a) R0- monoculture system (soybean/wheat), (b) R1- winter crop rotation (soybean/wheat/soybean/black oat), and (c) R2- intensive crop rotation (soybean/ black oat/soybean/black oat + common vetch/maize/oilseed radish/wheat). The soil C-CO2 efflux was measured every 14 days for two years (48 measurements), by trapping the CO2 in an alkaline solution. The soil gravimetric moisture in the 0-0.05 m layer was determined concomitantly with the C-CO2 efflux measurements. The crop residue C mineralization was evaluated with the mesh-bag method, with sampling 14, 28, 56, 84, 112, and 140 days after the beginning of the evaluation period for C measurements. Four C conservation indexes were used to assess the relation between C-CO2 efflux and soil C stock and its compartments. The crop residue C mineralization fit an exponential model in time. For black oat, wheat and maize residues, C mineralization was higher in CT than NT, while for soybean it was similar. Soil moisture was higher in NT than CT, mainly in the second year of evaluation. There was no difference in tillage systems for annual average C-CO2 emissions, but in some individual evaluations, differences between tillage systems were noticed for C-CO2 evolution. Soil C-CO2 effluxes followed a bi-modal pattern, with peaks in October/November and February/March. The highest emission was recorded in the summer and the lowest in the winter. The C-CO2 effluxes were weakly correlated to air temperature and not correlated to soil moisture. Based on the soil C conservation indexes investigated, NT associated to intensive crop rotation was more C conserving than CT with monoculture.

Uncertainties in the prediction of spatial variability of soil CO2 emissions and related properties

The soil CO2 emission has high spatial variability because it depends strongly on soil properties. The purpose of this study was to (i) characterize the spatial variability of soil respiration and related properties, (ii) evaluate the accuracy of results of the ordinary kriging method and sequential Gaussian simulation, and (iii) evaluate the uncertainty in predicting the spatial variability of soil CO2 emission and other properties using sequential Gaussian simulations. The study was conducted in a sugarcane area, using a regular sampling grid with 141 points, where soil CO2 emission, soil temperature, air-filled pore space, soil organic matter and soil bulk density were evaluated. All variables showed spatial dependence structure. The soil CO2 emission was positively correlated with organic matter (r = 0.25, p < 0.05) and air-filled pore space (r = 0.27, p < 0.01) and negatively with soil bulk density (r = -0.41, p < 0.01). However, when the estimated spatial values were considered, the air-filled pore space was the variable mainly responsible for the spatial characteristics of soil respiration, with a correlation of 0.26 (p < 0.01). For all variables, individual simulations represented the cumulative distribution functions and variograms better than ordinary kriging and E-type estimates. The greatest uncertainties in predicting soil CO2 emission were associated with areas with the highest estimated values, which produced estimates from 0.18 to 1.85 t CO2 ha-1, according to the different scenarios considered. The knowledge of the uncertainties generated by the different scenarios can be used in inventories of greenhouse gases, to provide conservative estimates of the potential emission of these gases.