Economics - Research Publications

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Start date: 2005 × End date: 2006 × Subject: Banking ×

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    Investment decisions and emissions reductions: results from experiments in emissions trading
    GANGADHARAN, 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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    On the distribution of the deficit at ruin when claims are phase-type
    Drekic, S ; DICKSON, D ; Stanford, DA ; Willmot, GE ( 2005)
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    Optimal dynamic reinsurance
    DICKSON, D. ; WATERS, H. ( 2006)
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    Deviations from uncovered interest parity in Malaysia
    Goh, SK ; Lim, GC ; Olekalns, N (Informa UK Limited, 2006-06-15)
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    Optimal Dividends Under a Ruin Probability Constraint
    Dickson, 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.
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    The density of the time to ruin in the classical Poisson risk model
    DICKSON, DCM ; WILLMOT, E ( 2005)
    We derive an expression for the density of the time to ruin in the classical risk model by inverting its Laplace transform. We then apply the result when the individual claim amount distribution is a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.