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Loss Measure (loss + measure)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	75%

Selected Abstracts

A Welfare Loss Measure of Unemployment with An Empirical Illustration

THE MANCHESTER SCHOOL, Issue 2 2001
Satya Paul
Based on interpersonal comparisons, a welfare loss measure of unemployment is developed. The proposed measure is additively decomposable which enables us to assess the group-specific contribution to aggregate welfare cost. It possesses certain other desirable properties. It is sensitive to unemployment rate, mean duration of unemployment and the relative differences in the duration of unemployment. Since all these can vary differently over the years and across regions, the proposed measure is most suitable for comparing the welfare cost of unemployment over a period of time or across regions. An empirical exercise based on the Australian labour force survey data illustrates the usefulness and an easy applicability of the proposed measure. [source]

Asymmetric hedging of the corporate terms of trade

THE JOURNAL OF FUTURES MARKETS, Issue 11 2006
Roger Bowden
Risk management techniques such as value at risk and conditional value at risk focus attention on protecting the downside exposures without penalizing the upside exposures. The implied welfare functions are equivalent to an otherwise risk neutral agent with a put option exposure on the downside. The correspondence can be exploited to design smoother loss measures and numerically based solutions for optimal hedge ratios. A statistically well-adapted hedge object for the firm is the corporate terms of trade, which balances up output and expense prices as a single index related to the net profit margin. The methods are applied to the NZ dairy industry to derive optimal foreign exchange forwards based hedges. It is not always optimal to rely solely on forward discounts or premiums. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1059,1088, 2006 [source]

Probabilistic risk modeling at the wildland urban interface: the 2003 Cedar Fire

ENVIRONMETRICS, Issue 6 2009
D. R. Brillinger
Abstract The October 2003 Cedar Fire in San Diego County was a tragedy involving 15 deaths, the burning of some 280,000,acres of land, the destruction of approximately 2227 homes, and costs of suppression near $30 million. It was the largest fire in California history. The data associated with the fire, however, do provide an opportunity to carry out probabilistic risk modeling of a wildland-urban interface (WUI) event. WUI's exist where humans and their development interface with wildland fuel. As home building expands from urban areas to nearby forest areas, these homes become more likely to burn. Wildfires are an exceedingly complex phenomenon with uncertainty and unpredictability abounding, hence a statistical approach to gaining insight appears useful. In this research, spatial stochastic models are developed. These relate risk probabilities and losses measures to a variety of available explanatory quantities. There is a consideration of economic aspects and a discussion of the difficulties that arose in developing the data and of carrying out the analyses. Purposes of the work include highlighting a statistical method, developing variates associated with a destruction probability and employing the fitted risk probability to estimate future and possible losses. Copyright © 2008 John Wiley & Sons, Ltd. [source]