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Economics - Research Publications
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ItemInvestment decisions and emissions reductions: results from experiments in emissions tradingGANGADHARAN, LATA ; Farrell, Alex ; Croson, Rachel ( 2005-07)Emissions trading is an important regulatory tool in environmental policy making.Unfortunately the effectiveness of these regulations is difficult to measure in the field due to theunavailability of appropriate data. In contrast, experiments in the laboratory can provideguidance to regulators and legislatures about the performance of different market features inemission trading programs. This paper reports on the implementation of three differentinstitutional designs, and presents experimental results investigating important features ofemissions trading regimes: the ability to make investments in emissions abatement, ability tobank allowances and a declining emissions cap, both with and without uncertainty. Thesefeatures are observed in virtually all existing air pollution emissions trading programs currentlyin place and will almost certainly be part of future applications. Like previous experimentalstudies of emissions trading, this paper shows that the efficiency gains expected from economictheory emerge observationally. We also show reduced efficiency when permits are bankable dueto over-banking and when investments in emissions abatement are possible due to overinvesting.These tendencies do not worsen, however, when emissions caps decline.
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ItemOn the distribution of the deficit at ruin when claims are phase-typeDrekic, S ; DICKSON, D ; Stanford, DA ; Willmot, GE ( 2005)
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ItemRegime switching in the relationship between equity returns and short-term interest rates in the UKHenry, OT (ELSEVIER SCIENCE BV, 2009-02)
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ItemFAST SENSITIVITY COMPUTATIONS FOR MONTE CARLO VALUATION OF PENSION FUNDSJoshi, M ; Pitt, D (PEETERS, 2010-11)
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ItemEffective Implementation of Generic Market ModelsJOSHI, M. ; LIESCH, L. ( 2007)
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ItemOptimal dynamic reinsuranceDICKSON, D. ; WATERS, H. ( 2006)
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ItemDeviations from uncovered interest parity in MalaysiaGoh, SK ; Lim, GC ; Olekalns, N (Informa UK Limited, 2006-06-15)
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ItemSome Finite Time Ruin ProblemsDickson, DCM (Cambridge University Press (CUP), 2007-09)ABSTRACT In the classical risk model, we use probabilistic arguments to write down expressions in terms of the density function of aggregate claims for joint density functions involving the time to ruin, the deficit at ruin and the surplus prior to ruin. We give some applications of these formulae in the cases when the individual claim amount distribution is exponential and Erlang(2).
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ItemOptimal Dividends Under a Ruin Probability ConstraintDickson, DCM ; Drekic, S (Cambridge University Press (CUP), 2006-09)ABSTRACT We consider a classical surplus process modified by the payment of dividends when the insurer's surplus exceeds a threshold. We use a probabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present value of dividend payments subject to a constraint on the insurer's ruin probability.