Dealing with Moral Hazard and Adverse Selection Simultaneously

Although Insurers Face Adverse Selection and Moral Hazard When They Set Insurance Contracts, These Two Types of Asymmetrical Information Have Been Given Separate Treatments Sofar in the Economic Literature. This Paper Is a First Attempt to Integrate Both Problems Into a Single Model. We Show How It Is Possible to Use Time in Order to Achieve a First-Best Allocation of Risks When Both Problems Are Present Simultaneously.

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set without invalidating the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable conditioning information (in the state-space spirit) is irrelevant. In this paper, we stress a square-root autoregressive stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It is shown that the lack of robustness of the usual GARCH setting is due to two very restrictive assumptions : perfect linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the conditional variance of the future conditional variance and the squared conditional variance on the other hand. By relaxing these assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak GARCH literature, we are able to define multivariate models, including higher order dynamics and risk premiums (in the spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference. Finally, we are able to characterize the exact relationships between our SR-SARV models (including higher order dynamics, leverage effect and in-mean effect), usual GARCH models and continuous time stochastic volatility models, so that previous results about aggregation of weak GARCH and continuous time GARCH modeling can be recovered in our framework.

Moral Hazard and Marshallian Inefficiency: Evidence from Tunisia.

In the presence of moral hazard, received agency theory predicts the Marshallian inefficiency of agricultural tenancy contracts, meaning that inputs per hectare on sharecropped land will differ from that on owned land. in this paper, we test for the presence of Marshallian inefficiency using a unique data set collected in the Tunisian village of El Oulja in 1993.

Interleukin-15 in the pathogenesis of multiple sclerosis and its animal models

L'interleukine-15 (IL-15) contribue au développement et à l’activation des lymphocytes T CD8, des cellules immunes qui ont été impliquées dans plusieurs maladies auto-immunes telle la sclérose en plaques. Des niveaux élevés de l'IL-15 ont été trouvés chez les patients atteints de cette maladie comparativement aux témoins, mais aucune étude n'a examiné les effets de tels niveaux élevés sur les lymphocytes T CD8. Les objectifs de notre étude étaient 1- de caractériser l’expression de l'IL-15 par des lymphocytes B humains et de déterminer ses effets sur les fonctions des lymphocytes T CD8, et 2- d’évaluer l'expression in vivo de l'IL-15 dans des modèles murins de la sclérose en plaques. Nous avons établi que les cellules B humaines augmentaient leur expression de l'IL-15 suite à une stimulation via le CD40. De plus, les fonctions effectrices des lymphocytes T CD8 ont été significativement augmentées lors des co-cultures avec des cellules B alloréactives exprimant l'IL-15. Dans les modèles murins de la sclérose en plaques, nous avons détecté au sein du système nerveux central des cellules immunes exprimant l’IL-15 ainsi que des cellules T CD8 exprimant le récepteur pour cette cytokine à différents stades de la maladie. Nous avons démontré que les cellules B modulent des réponses des lymphocytes T CD8 via l’IL-15, ce qui suggère un rôle pour les cellules B dans la pathogenèse de la sclérose en plaques. Nous avons aussi mis en évidence la présence de cellules exprimant l’IL-15 dans le système nerveux central dans des modèles murins de cette maladie.

Affine and generalized affine models : Theory and applications

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

Scanning Electron Microscopy Studies on Tear and Wear Failure of Short Kevlar Fiber-Thermoplastic- Polyurethane Composite

Tear and wear properties of short kevlar fiber, thermoplastic polcurethane (TPU) composite with respect to fiber loading-and fiber onentation has been studied and the fracture surfaces were examined under scanning electron microscope (SEM). Tear strength first decreased up to 20 phr fiber loading and then gradually increased with increasing fiber loading. Anisotropy in tear strength was evident beyond a fiber loading of 20 phr. Tear fracture surface of unfilled TPU showed sinusoidal folding characteristics of high strength matrix. At low fiber loading the tear failure was mainly due to fibermatrix failure whereas at higher fiber loading the failure occurred by fiber breakage. Abrasion loss shows a continuous rise with increasing fiber loading, the loss in the transverse orientation of fibers being higher than that in the longitudinal orientation. The abraded surface showed lone cracks and ridges parallel to the direction of abrasion indicating an abrasive wear mechanism. In the presence of fber the abrasion loss was mainly due to fiber low.

Psychological contract breach and outcomes : Combining meta-analysis and structural equation models. 'Ruptura de contrato psicol??gico : combinando meta-an??lisis y modelos de ecuaciones estructurales'

Resumen tomado de la publicaci??n

Applications of hydrodynamic and water quality models to the Sau and Boadella Reservoirs

Applicaciò d'un model de hydrodinàmica i de qualitat de l'aigua als embassaments de Sau i Boadella

Supply, demand and a failure of understanding: addressing the culture clash between archaeologists' expectations for training and employment in 'academia' versus 'practice

A university degree is effectively a prerequisite for entering the archaeological workforce in the UK. Archaeological employers consider that new entrants to the profession are insufficiently skilled, and hold university training to blame. But university archaeology departments do not consider it their responsibility to deliver fully formed archaeological professionals, but rather to provide an education that can then be applied in different workplaces, within and outside archaeology. The number of individuals studying archaeology at university exceeds the total number working in professional practice, with many more new graduates emerging than archaeological jobs advertised annually. Over-supply of practitioners is also a contributing factor to low pay in archaeology. Steps are being made to provide opportunities for vocational training, both within and outside the university system, but archaeological training and education within the universities and subsequently the archaeological labour market may be adversely impacted upon by the introduction of variable top-up student fees.

A comparison of diatom phosphorus transfer functions and export coefficient models as tools for reconstructing lake nutrient histories

1. We compared the baseline phosphorus (P) concentrations inferred by diatom-P transfer functions and export coefficient models at 62 lakes in Great Britain to assess whether the techniques produce similar estimates of historical nutrient status. 2. There was a strong linear relationship between the two sets of values over the whole total P (TP) gradient (2-200 mu g TP L-1). However, a systematic bias was observed with the diatom model producing the higher values in 46 lakes (of which values differed by more than 10 mu g TP L-1 in 21). The export coefficient model gave the higher values in 10 lakes (of which the values differed by more than 10 mu g TP L-1 in only 4). 3. The difference between baseline and present-day TP concentrations was calculated to compare the extent of eutrophication inferred by the two sets of model output. There was generally poor agreement between the amounts of change estimated by the two approaches. The discrepancy in both the baseline values and the degree of change inferred by the models was greatest in the shallow and more productive sites. 4. Both approaches were applied to two lakes in the English Lake District where long-term P data exist, to assess how well the models track measured P concentrations since approximately 1850. There was good agreement between the pre-enrichment TP concentrations generated by the models. The diatom model paralleled the steeper rise in maximum soluble reactive P (SRP) more closely than the gradual increase in annual mean TP in both lakes. The export coefficient model produced a closer fit to observed annual mean TP concentrations for both sites, tracking the changes in total external nutrient loading. 5. A combined approach is recommended, with the diatom model employed to reflect the nature and timing of the in-lake response to changes in nutrient loading, and the export coefficient model used to establish the origins and extent of changes in the external load and to assess potential reduction in loading under different management scenarios. 6. However, caution must be exercised when applying these models to shallow lakes where the export coefficient model TP estimate will not include internal P loading from lake sediments and where the diatom TP inferences may over-estimate TP concentrations because of the high abundance of benthic taxa, many of which are poor indicators of trophic state.

Estimating surface net solar radiation by use of Landsat-5 TM and digital elevation models

The ground surface net solar radiation is the energy that drives physical and chemical processes at the ground surface. In this paper, multi-spectral data from the Landsat-5 TM, topographic data from a gridded digital elevation model, field measurements, and the atmosphere model LOWTRAN 7 are used to estimate surface net solar radiation over the FIFE site. Firstly an improved method is presented and used for calculating total surface incoming radiation. Then, surface albedo is integrated from surface reflectance factors derived from remotely sensed data from Landsat-5 TM. Finally, surface net solar radiation is calculated by subtracting surface upwelling radiation from the total surface incoming radiation.

Past, present and future mathematical models for buildings (i)

This is the first of two articles presenting a detailed review of the historical evolution of mathematical models applied in the development of building technology, including conventional buildings and intelligent buildings. After presenting the technical differences between conventional and intelligent buildings, this article reviews the existing mathematical models, the abstract levels of these models, and their links to the literature for intelligent buildings. The advantages and limitations of the applied mathematical models are identified and the models are classified in terms of their application range and goal. We then describe how the early mathematical models, mainly physical models applied to conventional buildings, have faced new challenges for the design and management of intelligent buildings and led to the use of models which offer more flexibility to better cope with various uncertainties. In contrast with the early modelling techniques, model approaches adopted in neural networks, expert systems, fuzzy logic and genetic models provide a promising method to accommodate these complications as intelligent buildings now need integrated technologies which involve solving complex, multi-objective and integrated decision problems.