计量经济分析 = Econometric analysis

Foundations Of Statistics

The package fitdistrplus provides functions for fitting univariate distributions to different types of data (continuous censored or non-censored data and discrete data) and allowing different estimation methods (maximum likelihood, moment matching, quantile matching and maximum goodness-of-fit estimation). Outputs of fitdist and fitdistcens functions are S3 objects, for which specific methods are provided, including summary, plot and quantile. This package also provides various functions to compare the fit of several distributions to the same data set and can handle to bootstrap parameter estimates. Detailed examples are given in food risk assessment, ecotoxicology and insurance contexts.

fitdistrplus: An R Package for Fitting Distributions

Enterprise risk management (ERM) has been the topic of increased media attention in recent years. The objective of this study is to measure the extent to which specific firms have implemented ERM programs and, then, to assess the value implications of these programs. We focus our attention in this study on U.S. insurers in order to control for differences that might arise from regulatory and market differences across industries. We simultaneously model the determinants of ERM and the effect of ERM on firm value. We estimate the effect of ERM on Tobin's Q, a standard proxy for firm value. We find a positive relation between firm value and the use of ERM. The ERM premium of roughly 20 percent is statistically and economically significant.

https://www.jstor.org/stable/info/41350401

The Value of Enterprise Risk Management

Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie (1981), which has been corrected by Memmel (2003). Unfortunately, this test is not valid when returns have tails heavier than the normal distribution or are of time series nature. Instead, we propose the use of robust inference methods. In particular, we suggest to construct a studentized time series bootstrap confidence interval for the difference of the Sharpe ratios and to declare the two ratios different if zero is not contained in the obtained interval. This approach has the advantage that one can simply resample from the observed data as opposed to some null-restricted data. A simulation study demonstrates the improved finite sample performance compared to existing methods. In addition, two applications to real data are provided.

/pdf/robust-performance-hypothesis-testing-with-the-sharpe-ratio-3ggtnagbag.pdf

Robust Performance Hypothesis Testing with the Sharpe Ratio

The Sharpe ratio is adequate for evaluating investment funds when the returns of those funds are normally distributed and the investor intends to place all his risky assets into just one investment fund. Hedge fund returns differ significantly from a normal distribution. For this reason, other performance measures for hedge fund returns have been proposed in both the academic and practice-oriented literature. In conducting an empirical study based on return data of 2,763 hedge funds, we compare the Sharpe ratio with 12 other performance measures. Despite significant deviations of hedge fund returns from a normal distribution, our comparison of the Sharpe ratio to the other performance measures results in virtually identical rank ordering across hedge funds.

Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds

The Sharpe ratio is adequate for evaluating investment funds when the returns of those funds are normally distributed and the investor intends to place all his risky assets into just one investment fund Hedge fund returns differ significantly from a normal distribution For this reason, other performance measures for hedge fund returns have been proposed in both the academic and practice-oriented literature In conducting an empirical study based on return data of 2763 hedge funds, we compare the Sharpe ratio with 12 other performance measures Despite significant deviations of hedge fund returns from a normal distribution, our comparison of the Sharpe ratio to the other performance measures results in virtually identical rank ordering across hedge funds

/pdf/does-the-choice-of-performance-measure-influence-the-c1yk9amzog.pdf

Does the choice of performance measure influence the evaluation of hedge funds

This paper discusses the adequacy of insurance for managing cyber risk. To this end, we extract 994 cases of cyber losses from an operational risk database and analyse their statistical properties. Based on the empirical results and recent literature, we investigate the insurability of cyber risk by systematically reviewing the set of criteria introduced by Berliner (1982). Our findings emphasise the distinct characteristics of cyber risks compared with other operational risks and bring to light significant problems resulting from highly interrelated losses, lack of data and severe information asymmetries. These problems hinder the development of a sustainable cyber insurance market. We finish by discussing how cyber risk exposure may be better managed and make several suggestions for future research.

/pdf/insurability-of-cyber-risk-an-empirical-analysis-5dvehbpj4z.pdf

Insurability of Cyber Risk: An Empirical Analysis

The purpose of this paper is to provide new empirical evidence on frontier efficiency measurement in the international insurance industry, a topic of great interest in the academic literature during the last several years. A broad efficiency comparison of 6462 insurers from 36 countries is conducted. Different methodologies, countries, organizational forms, and company sizes are compared, considering life and non-life insurers. We find a steady technical and cost efficiency growth in international insurance markets from 2002 to 2006, with large differences across countries. Denmark and Japan have the highest average efficiency, whereas the Philippines is the least efficient. Regarding organizational form, the results are not consistent with the expense preference hypothesis, which claims that mutuals should be less efficient than stocks due to higher agency costs. Only minor variations are found when comparing different frontier efficiency methodologies (data envelopment analysis, stochastic frontier analysis).

Efficiency in the international insurance industry: A cross-country comparison

As early as the 1970s, European Union (EU) member countries implemented rules to coordinate insurance markets and regulation. However, with the more recent movement toward a general single EU market, financial services regulation has taken on new meaning and priority. Solvency I regulations went into effect for member nations by January 2004. The creation of risk-based capital standards, the main focus of Solvency II, now appears likely sometime after 2007. The purpose of the discussion presented here is to outline the specifics of Solvency II as they currently stand and suggest important areas of future research.

/pdf/the-solvency-ii-process-overview-and-critical-analysis-qx2f8r0049.pdf

Martin Eling

Papers

Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds

Does the choice of performance measure influence the evaluation of hedge funds

Insurability of Cyber Risk: An Empirical Analysis

Efficiency in the international insurance industry: A cross-country comparison

The Solvency II Process: Overview and Critical Analysis