Ning Rong and Farzad Alavi Fard
The purpose of this paper is to propose a model for ruin‐contingent life annuity (RCLA) contracts under a jump diffusion model, where the dynamics of volatility is governed by the…
Abstract
Purpose
The purpose of this paper is to propose a model for ruin‐contingent life annuity (RCLA) contracts under a jump diffusion model, where the dynamics of volatility is governed by the Heston stochastic volatility framework. The paper aims to illustrate that the proposed jump diffusion process, for both asset price and stochastic volatility, will provide a more realistic pricing model for RCLA contracts in comparison to existing models.
Design/methodology/approach
Under the assumption of the deterministic withdrawals, the authors use a partial integro differential equation (PIDE) approach to develop the pricing scheme for the fair value of the lump sum charges of RCLA contracts. Consequently, the authors employ an elegant numerical scheme, finite difference method, for solving the PIDEs for the reference portfolio, as well as the volatility. The findings show that a different pricing behaviour of the RCLA contracts under the authors' model parameters is obtained compared to that in the existing literature.
Findings
RCLA pricing in the complete market often underestimates the jump risk and the persistent factor in the volatility process. The authors' generalized model shows how these two random sources of risks can be precisely characterized.
Research limitations/implications
The parameter values used in the numerical analysis require more empirical evidence. Hence, in order for more precise pricing practice, the calibration from real data is needed.
Practical implications
The model, as adopted in this study, for pricing of RCLA contracts should provide a general guideline for the commercialization of this product by insurance companies.
Social implications
The demand for RCLA contracts as an alternative to the commonly‐practised annuitization option has recently increased, rapidly, among the soon‐to‐retire baby boomers. This paper investigates the fair value of this particular product, which could be beneficial to researchers for a better understanding of the product design.
Originality/value
This is the first research paper which prices the RCLA contracts in the incomplete market. The gap between RCLA contract pricing and studies of jump diffusion models for derivative pricing, in the literature, is therefore filled.
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The purpose of this paper is to provide an analysis of the dependence structure between returns from real estate investment trusts (REITS) and a stock market index. Further, the…
Abstract
Purpose
The purpose of this paper is to provide an analysis of the dependence structure between returns from real estate investment trusts (REITS) and a stock market index. Further, the aim is to illustrate how copula approaches can be applied to model the complex dependence structure between the assets and for risk measurement of a portfolio containing investments in REIT and equity indices.
Design/methodology/approach
The usually suggested multivariate normal or variance‐ covariance approach is applied, as well as various copula models in order to investigate the dependence structure between returns of Australian REITS and the Australian stock market. Different models including the Gaussian, Student t, Clayton and Gumbel copula are estimated and goodness‐of‐fit tests are conducted. For the return series, both the Gaussian and a non‐parametric estimate of the distribution is applied. A risk analysis is provided based on Monte Carlo simulations for the different models. The value‐at‐risk measure is also applied for quantification of the risks for a portfolio combining investments in real estate and stock markets.
Findings
The findings suggest that the multivariate normal model is not appropriate to measure the complex dependence structure between the returns of the two asset classes. Instead, a model using non‐parametric estimates for the return series in combination with a Student t copula is clearly more suitable. It further illustrates that the usually applied variance‐covariance approach leads to a significant underestimation of the actual risk for a portfolio consisting of investments in REITS and equity indices. The nature of risk is better captured by the suggested copula models.
Originality/value
To the authors', knowledge, this is one of the first studies to apply and test different copula models in real estate markets. Results help international investors and portfolio managers to deepen their understanding of the dependence structure between returns from real estate and equity markets. Additionally, the results should be helpful for implementation of a more adequate risk management for portfolios containing investments in both REITS and equity indices.
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Xiufeng Zhang, Jitao Dai, Xia Li, Huizi Li, Huiqun Fu, Guoxin Pan, Ning Zhang, Rong Yang and Jianguang Xu
This paper aims to develop a signal acquisition system of surface electromyography (sEMG) and use the characteristics of (sEMG) signal to interference action pattern.
Abstract
Purpose
This paper aims to develop a signal acquisition system of surface electromyography (sEMG) and use the characteristics of (sEMG) signal to interference action pattern.
Design/methodology/approach
This paper proposes a fusion method based on combining the coefficient of AR model and wavelet coefficient. It improves the recognition rate of the target action. To overcome the slow convergence speed and local optimum in standard BP network, the study presents a BP algorithm which combine with LM algorithm and PSO algorithm, and it improves the convergence speed and the recognition rate of the target action.
Findings
Experiments verify the effectiveness of the system from two aspects the target motion recognition rate and the corresponding reaction speed of the robotic system.
Originality/value
The study developed a signal acquisition system of sEMG and used the characteristics of (sEMG) signal to interference action pattern. The myoelectricity integral values are presented to determine the starting point and end point of target movement, which is more effective than using single sample point amplitude method.
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Examines the extent to which social policy adopted by the colonial government in Hong Kong (prior to its hand‐over China in 1997) has set the agenda for the government of the…
Abstract
Examines the extent to which social policy adopted by the colonial government in Hong Kong (prior to its hand‐over China in 1997) has set the agenda for the government of the newly formed Special Administrative Region (SAR). Chronicles the historical development of social policy in Hong Kong since the inception of the colonial government in 1842; identifies that, with the exception of a short‐lived period of expansionism (stimulated by social unrest in the mid‐1960’s) social welfare provision appears to have been low on the government’s agenda and incremental in nature ‐ the emphasis being on economic growth, rather than public spending on welfare programmes. Examines the strengths and weaknesses of this incremental approach; outlines the commitment of the SAR government to the market economy and its proposals for a modest increase in welfare provision, essentially building on the legacy left behind by the colonial government.
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The purpose of this research was to explore the stickiness of players' motivation in a virtual community and to explore the important factors for gamers.
Abstract
Purpose
The purpose of this research was to explore the stickiness of players' motivation in a virtual community and to explore the important factors for gamers.
Design/methodology/approach
In this research, motivation was the independent variable; the virtual community was the mediator; and stickiness was the dependent variable. An online questionnaire survey was conducted, with users of augmented reality (AR) as the research objects. Statistical analysis was carried out using SPSS and AMOS software to verify the research model and research hypotheses, to understand the relation between player motivation and stickiness and to determine whether there were any changes in the virtual community.
Findings
The authors found that the relation between players' motivation in AR-based games and the virtual community had a significant positive impact. Ingress had a significant positive impact on the virtual community and stickiness, and Pokémon had a significant positive impact too. The virtual community of the Ingress game played a completely mediating role in motivation and stickiness, but the virtual community in Pokémon did not have a mediating effect.
Originality/value
The novel approach adopted in this study enabled us to determine the causal relation between player motivation, the virtual community and stickiness, on the basis of the theoretical framework formulated, and the latter was used to construct a path analysis model diagram. The correlation between motivation and the virtual community, between the virtual community and stickiness, and the causal relation between all three was verified. The study results and conclusions may help companies understand how to use virtual communities in AR games to improve stickiness and motivate gamers to continue playing.
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Paul G. Fitchett, Tehia V. Starker and Amy J. Good
The purpose of this qualitative study was to design and implement a model of cultural-responsiveness within a social studies teacher education program. Specifically, we sought to…
Abstract
The purpose of this qualitative study was to design and implement a model of cultural-responsiveness within a social studies teacher education program. Specifically, we sought to understand how pre-service grades 6-12 social studies practitioners construct culturally responsive teaching (CRT) in their lesson planning. In addition, we examined the professional barriers that prevented teacher-candidates from actualizing culturally responsive pedagogy. Incorporating a conceptual model of Review, Reflect, and React, 20 teacher candidates in a social studies methods course engaged CRT theory and practice. Thematic analysis of lesson plans and clinical reflections indicated successful proponents of CRT critically analyzed their curriculum, explored the diverse needs of their students, and engaged learners in culturally appropriate social studies pedagogy. Findings also showed that unsuccessful CRT was characterized by a lack of content knowledge, resistance from the cooperating teacher, and a reliance on the textbook materials.
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Miao Cui, Wanling Li, Li Cui, Yibo Jia and Lin Wu
Sharing resources with stakeholders is the key for keystones to govern business ecosystems successfully. However, existing research has not paid further attention to how keystones…
Abstract
Purpose
Sharing resources with stakeholders is the key for keystones to govern business ecosystems successfully. However, existing research has not paid further attention to how keystones share resources under the condition of resource sufficiency and how keystones balance resource sharing with complementors when they lack resources. Therefore, this paper aims to explore how keystones govern their business ecosystems under the conditions of resource sufficiency and resource insufficiency.
Design/methodology/approach
This paper adopts the single case study method. First, by adopting Gioia coding to analyze the relevant data of the case sample, this paper obtains the key concepts of the business ecosystem governance process. Then, it establishes the relationship between the concepts by analyzing the governance process of the case sample.
Findings
Under the condition of resource sufficiency, keystones under the condition of resource sufficiency, should make full use of resources to incubate more complementors, and further integrate the resources of the business ecosystem, to create more value for their business ecosystems. Under the condition of resource insufficiency, keystones should break the boundaries of business ecosystems and acquire external resources, to meet the resource needs of complementors. Subsequently, keystones should redeploy idle resources according to the actual needs of complementors, to meet the changing resource needs of complementors.
Originality/value
This study subdivides business ecosystem governance conditions and further constructs the business ecosystem governance process model, which provides a theoretical and practical reference for business ecosystem governance.
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Michael S. Leibman and Ruth A. Bruer
Succession planning can no longer depend on straight‐line projections. It must be dynamic, flexible, and tied to tomorrow's business plan.
Abdelaziz Amara Korba, Mehdi Nafaa and Salim Ghanemi
Wireless multi-hop ad hoc networks are becoming very attractive and widely deployed in many kinds of communication and networking applications. However, distributed and…
Abstract
Purpose
Wireless multi-hop ad hoc networks are becoming very attractive and widely deployed in many kinds of communication and networking applications. However, distributed and collaborative routing in such networks makes them vulnerable to various security attacks. This paper aims to design and implement a new efficient intrusion detection and prevention framework, called EIDPF, a host-based framework suitable for mobile ad hoc network’s characteristics such as high node’s mobility, resource-constraints and rapid topology change. EIDPF aims to protect an AODV-based network against routing attacks that could target such network.
Design/methodology/approach
This detection and prevention framework is composed of three complementary modules: a specification-based intrusion detection system to detect attacks violating the protocol specification, a load balancer to prevent fast-forwarding attacks such as wormhole and rushing and adaptive response mechanism to isolate malicious node from the network.
Findings
A key advantage of the proposed framework is its capacity to efficiently avoid fast-forwarding attacks and its real-time detection of both known and unknown attacks violating specification. The simulation results show that EIDPF exhibits a high detection rate, low false positive rate and no extra communication overhead compared to other protection mechanisms.
Originality/value
It is a new intrusion detection and prevention framework to protect ad hoc network against routing attacks. A key strength of the proposed framework is its ability to guarantee a real-time detection of known and unknown attacks that violate the protocol specification, and avoiding wormhole and rushing attacks by providing a load balancing route discovery.
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This article outlines contingent claims created as a result of the arrangements underlying the transfer of state‐owned commercial banks’ non‐performing loans to asset management…
Abstract
This article outlines contingent claims created as a result of the arrangements underlying the transfer of state‐owned commercial banks’ non‐performing loans to asset management companies. An understanding of these factors is central in analysing the potential for China’s as set management companies to realise value from their acquisition of these nonperforming state‐owned enterprise loans. After establishing the scale of the non‐performing loan problem, the article identifies and describes a number of real and financial options that may assist in the consideration of the value of assets associated with the transfer of non‐performing loans from the state‐owned commercial banks to the asset management companies. Real and financial options appear in the form of implied guarantees over asset management corporation debt, implied guarantees associated with the non‐performing assets remaining with the stateowned commercial banks, and within the equity positions held by the asset management companies as a result of equity‐for‐debt swaps initiated under the current reform process. The article concludes that any gains made to the credit standing of the state‐owned commercial banks reflect the value of implied guarantees over both the asset management corporation debt and the remaining stock of non‐performing loans held by the banks. Furthermore, institutional arrangements associated with the equity positions held by the asset management corporations significantly reduce the value of options associated with operation and control of firms in which the equity positions are held. Additionally, the structure of equity positions taken under the equity‐debt swaps suggest that the value of equity positions held in state‐owned enterprises by the asset management companies will be considerably lower than hoped for and implied in the asset management companies’ mandates.