The Risk Management of Minimum Return Guarantees

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.

Zu welchem Preis können Versicherer "ineffektive" Risikomanagementinstrumente anbieten? - Zur Analyse der Effizienz von Wetterderivaten -

Seit Mitte der 1990er Jahre werden „Wetterderivate“ als neues Instrument zum Management wetterbedingter Mengenrisiken diskutiert. Im Gegensatz zu schadensbezogenen Versicherungen erfolgt der Hedge bei Wetterderivaten durch an Wetterindizes (Niederschlagssummen, Temperatursummen etc.) gekoppelte Zahlungen, die an einer festgelegten Referenzwetterstation gemessen werden. Im vorliegenden Beitrag wird ein Risk-Programming Ansatz vorgestellt, mit dem die Zahlungsbereitschaft landwirtschaftlicher Unternehmen für Risikomanagementinstrumente im Allgemeinen und Wetterderivate im Speziellen bestimmt werden kann. Dabei wird sowohl das betriebspezifische Risikoreduzierungspotenzial des betrachteten Instruments als auch die individuelle Risikoakzeptanz des Entscheiders berücksichtigt. Die exemplarische Anwendung des Ansatzes auf ein Brandenburger Landwirtschaftsunternehmen zeigt, dass selbst für einen standardisierten Optionskontrakt, der sich auf die an der Wetterstation Berlin-Tempelhof gemessenen Niederschläge bezieht, eine relevante Zahlungsbereitschaft seitens des Landwirts besteht. Diese Zahlungsbereitschaft ist so hoch, dass der Anbieter sogar einen Aufpreis verlangen könnte, der über dem traditioneller Versicherungen liegt. Angesichts der gegenüber schadensbezogenen Versicherungen deutlich geringeren Transaktionskosten deutet dies auf ein erhebliches Handelspotenzial für Wetterderivate hin.

Zu welchem Preis können Versicherer "ineffektive" Risikomanagementinstrumente anbieten? - Zur Analyse der Effizienz von Wetterderivaten -

Seit Mitte der 1990er Jahre werden „Wetterderivate“ als neues Instrument zum Management wetterbedingter Mengenrisiken diskutiert. Im Gegensatz zu schadensbezogenen Versicherungen erfolgt der Hedge bei Wetterderivaten durch an Wetterindizes (Niederschlagssummen, Temperatursummen etc.) gekoppelte Zahlungen, die an einer festgelegten Referenzwetterstation gemessen werden. Im vorliegenden Beitrag wird ein Risk-Programming Ansatz vorgestellt, mit dem die Zahlungsbereitschaft landwirtschaftlicher Unternehmen für Risikomanagementinstrumente im Allgemeinen und Wetterderivate im Speziellen bestimmt werden kann. Dabei wird sowohl das betriebspezifische Risikoreduzierungspotenzial des betrachteten Instruments als auch die individuelle Risikoakzeptanz des Entscheiders berücksichtigt. Die exemplarische Anwendung des Ansatzes auf ein Brandenburger Landwirtschaftsunternehmen zeigt, dass selbst für einen standardisierten Optionskontrakt, der sich auf die an der Wetterstation Berlin-Tempelhof gemessenen Niederschläge bezieht, eine relevante Zahlungsbereitschaft seitens des Landwirts besteht. Diese Zahlungsbereitschaft ist so hoch, dass der Anbieter sogar einen Aufpreis verlangen könnte, der über dem traditioneller Versicherungen liegt. Angesichts der gegenüber schadensbezogenen Versicherungen deutlich geringeren Transaktionskosten deutet dies auf ein erhebliches Handelspotenzial für Wetterderivate hin.

Live Cattle Futures and Options: How Have They Done?

Futures did reduce price risk. Hedging produced a higher minimum return and higher return at the 25th percentile (75% of the returns are better than this figure) than did the cash market. The 50th percentile, or median return, was higher for yearlings in the cash market than hedged cattle, and the calves had mixed results. Although the differences are not great, there have been months when the option strategies performed better than cash or futures, (i.e., January–April and September–October), and there are months when they did not fare well (i.e., June–August).

Self-dual continuous processes

The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result for continuous conditionally quasi self-dual processes. Our main result is to give a characterization of continuous Ocone martingales via a strong version of self-duality.

A Stieltjes approach to static hedges

Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be extended considerably with a direct approach.

Breast cancer on the world wide web: cross sectional survey of quality of information and popularity of websites.

OBJECTIVES: To determine the characteristics of popular breast cancer related websites and whether more popular sites are of higher quality. DESIGN: The search engine Google was used to generate a list of websites about breast cancer. Google ranks search results by measures of link popularity---the number of links to a site from other sites. The top 200 sites returned in response to the query "breast cancer" were divided into "more popular" and "less popular" subgroups by three different measures of link popularity: Google rank and number of links reported independently by Google and by AltaVista (another search engine). MAIN OUTCOME MEASURES: Type and quality of content. RESULTS: More popular sites according to Google rank were more likely than less popular ones to contain information on ongoing clinical trials (27% v 12%, P=0.01 ), results of trials (12% v 3%, P=0.02), and opportunities for psychosocial adjustment (48% v 23%, P<0.01). These characteristics were also associated with higher number of links as reported by Google and AltaVista. More popular sites by number of linking sites were also more likely to provide updates on other breast cancer research, information on legislation and advocacy, and a message board service. Measures of quality such as display of authorship, attribution or references, currency of information, and disclosure did not differ between groups. CONCLUSIONS: Popularity of websites is associated with type rather than quality of content. Sites that include content correlated with popularity may best meet the public's desire for information about breast cancer.

Food Security and Agri-Foreign Direct Investment in Weak States: Finding the Governance Gap to Avoid ‘Land Grab’

Food security is important. A rising world population coupled with climate change creates growing pressure on global world food supplies. States alleviate this pressure domestically by attracting agri-foreign direct investment (agri-FDI). This is a high-risk strategy for weak states: the state may gain valuable foreign currency, technology and debt-free growth; but equally, investors may fail to deliver on their commitments and exploit weak domestic legal infrastructure to ‘grab’ large areas of prime agricultural land, leaving only marginal land for domestic production. A net loss to local food security and to the national economy results. This is problematic because the state must continue to guarantee its citizens’ right to food and property. Agri-FDI needs close regulation to maximise its benefit. This article maps the multilevel system of governance covering agri-FDI. We show how this system creates asymmetric rights in favour of the investor to the detriment of the host state’s food security and how these problems might be alleviated.

Quasi-Self-Dual Exponential Lévy Processes

The important application of semistatic hedging in financial markets naturally leads to the notion of quasi--self-dual processes. The focus of our study is to give new characterizations of quasi--self-duality. We analyze quasi--self-dual Lévy driven markets which do not admit arbitrage opportunities and derive a set of equivalent conditions for the stochastic logarithm of quasi--self-dual martingale models. Since for nonvanishing order parameter two martingale properties have to be satisfied simultaneously, there is a nontrivial relation between the order and shift parameter representing carrying costs in financial applications. This leads to an equation containing an integral term which has to be inverted in applications. We first discuss several important properties of this equation and, for some well-known Lévy-driven models, we derive a family of closed-form inversion formulae.

Bilateral exchange rates and jobs

We study the labor market effects of realignment in fixed bilateral exchange rates, such as China's peg to the US dollar. We employ the open economy model by de Melo and Robinson to identify the core parameters of the real, trade side of the economy driving the unemployment effects of bilateral exchange rate realignment. A small open economy version of the model is explored analytically and a large multicountry version numerically. Analytics in the small open economy model show that unemployment effects of adjusting of a bilateral peg hinge on the fraction exported to and imported from the trading partner. A larger fraction exported to and a smaller fraction imported from the trading partner make it more likely that revaluation of a trading partner's currency has beneficial effects. Numerics in the large economy model show that Chinese revaluation can generate both positive and negative unemployment effects depending upon underlying parameter values. Adverse unemployment effects can go along with an improving trade balance.

Time relevance, citation of reporting guidelines, and breadth of literature search in systematic reviews in orthodontics

INTRODUCTION As the importance of systematic review (SR) conclusions relies upon the scientific rigor of methods and the currency of evidence, we aimed to investigate the currency of orthodontic SRs using as proxy the time from the initial search to publication. Additionally, SR information regarding reporting guidelines, registration, and literature searches were recorded when available. MATERIALS AND METHODS A systematic PubMed search was carried out using the Clinical Queries page to identify orthodontic SRs cited between 1 January 2008 and 7 November 2013. Data related to reporting guidelines, review registration, dates of review processing, literature search, and abstract reporting were retrieved and classified by journal type. Survival analysis was used to assess the time to reach predefined manuscript stages for orthodontic and non-orthodontic journals. RESULTS One hundred twenty seven of the originally identified 585 SRs were considered eligible. The median interval from search until publication was 13.2 months (interquartile range: IQR = 9.7 months) irrespective of the journal type. There was evidence (P = 0.05) that SRs published by non-orthodontic journals appeared in PubMed faster than in orthodontic journals (non-orthodontic: median = 6.5 months; IQR = 5.7 months; orthodontic: median = 10.2 months; IQR = 5.6 months) from submission to publication and from acceptance to publication (non-orthodontic: median = 1.5 months; IQR = 2.4 months; orthodontic: median = 6.0 months; IQR = 6.2 months; P < 0.001). More than half of these SRs did not cite adherence to any reporting guidelines, whereas all but five studies were not prospectively registered. Search of unpublished research was undertaken in approximately 21 per cent and 29 per cent of the SRs published in non-orthodontic and orthodontic periodicals, respectively. CONCLUSIONS This study indicates that SR users should be aware that median time for orthodontic SRs from search to publication is 13.2 months. SRs published in non-orthodontic journals are likely to be more current in terms of submission until time to publication and acceptance until time to publication compared with those published in orthodontic journals.

Wie der Euro Europa spaltet. Die Krise der gemeinsamen Währung und die Entfremdung von der Demokratie in der Europäischen Union

Um ihre verloren gegangene Wettbewerbsfähigkeit wiederherzustellen, bleibt den unter Zahlungsbilanzdefiziten leidenden Ländern des Euroraums nur die interne Abwertung: eine Politik zur Senkung des Lohn- und Preisniveaus. Wir argumentieren, dass diese Politik sowohl auf der Output- als auch auf der Input-Dimension einen Mangel an demokratischer Legitimation aufweist. Daher untersuchen wir die Entwicklung der Unterstützung des politischen Systems, sowohl auf der Ebene des Nationalstaats als auch der Europäischen Union. In einem empirischen Vergleich der 28 EU-Mitgliedsländer zwischen 2001 und 2013 zeigen wir anhand aggregierter Eurobarometerdaten, dass Europa im Bereich der politischen Legitimation auseinanderdriftet. Je stärker ein Land zur internen Abwertung gezwungen wird, desto mehr wendet sich seine Bevölkerung vom demokratischen politischen System auf der nationalen und supranationalen Ebene ab.

Are claims made in orthodontic journal advertisements evidence-supported?

OBJECTIVE To examine the supporting evidence of advertisements published in six leading orthodontic journals. MATERIALS AND METHODS The 2012-2013 printed issues of American Journal of Orthodontics and Dentofacial Orthopedics, Australian Orthodontic Journal, Journal of Orthodontics, European Journal of Orthodontics, Journal of Clinical Orthodontics, and Journal of Orofacial Orthopedics were screened for advertisements implying superior performance compared with competitor products. Advertisements were classified according to type of product, availability, and currency of supporting references. RESULTS A total of 99 unique advertisements claiming clinical benefit or superiority were identified. The overwhelming majority of the identified advertisements promoted appliance products (62.6%), orthodontic materials (14.1%), and dental operatory equipment, including imaging systems (12.1%). Advertisements were found to provide references or not regardless of the product type. Half of the advertisements referred to at least one peer-reviewed publication, whereas unpublished studies were cited by 25% of the advertisements. Most of the referenced articles were published within the past 5 years. CONCLUSIONS The scientific background of advertisements in the orthodontic literature appears limited. While surveillance of journal advertising needs to be regulated, clinicians are urged to critically appraise the claims being made in orthodontic print advertisements by consulting the associated existing evidence.

Literary Encounters of Fundamentalism: A Case Book

Literature, literary interpretation and criticism have always had an interestingly paradoxical relationship with fundamentalism: fundamentalisms are generally built on texts, which can be sacred and exclusive, and on a claim to exclusive authority for interpretation. Therefore they tend to see the cornucopian profusion of texts and interpretations so typical of Western concepts of Literature as a threat; a circumstance which has been widely exploited by writers and critics to engage with fundamentalism on its home turf. The volume addresses the cultural given that the term ‘fundamentalism’ has acquired such wide-spread currency, at least in the West. In their various approaches, the contributions examine what fundamentalism has come to signify for those who use the term so extensively and so indiscriminately; and they try to establish what this implies for reaching more productive and positive positions in negotiating fundamentalisms. In doing so, the contributors offer investigations of literary approaches to fundamentalism across a wide range of important contemporary discourses and from a number of cultural perspectives. Readers will expand their understanding of the significance of fundamentalism, and of the value of literature as a highly specialized medium for explorations in this field.