Business

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Now showing 1 - 10 of 15
  • (2023) Rojasavachai, Ravipa
    Thesis
    This thesis consists of three stand-alone studies in the field of energy finance market and household finance. The first study investigates the demographics and socio-economics factors influencing individuals’ decision to choose working from home before and after the coronavirus outbreak. I find that all factors impact the working from home choice before the coronavirus outbreak. However, the number of children becomes an uninfluenced factor, and female employees are more likely to work from home after the outbreak. Thus, I further report that female employees who work from home are less likely to have been promoted and received lower wages before the coronavirus outbreak. However, after the outbreak, they have a higher probability of job promotion and higher wage premium of working from home. This points to higher bargaining power with employers for females after the outbreak due to the changing in cultural norms and advanced working from home technologies. In the second study, I aim to analyse the impact of financial literacy on energy poverty in Australia and to explore important mechanisms of influence. The result shows that financial literate individual is less likely to face energy poverty. I also address the potential endogeneity by employing the mathematically skills as instrument variable. Additionally, I examine the channels that contribute to the relationship between financial literacy and energy poverty by focusing on the role of wealth and consumption. The result shows that wealth is the important channel through which financial literacy influences energy poverty while consumption could not classify as important channel. The third study investigates the macroeconomic effects of extreme weather in Australia by employing the index, Australian Actuaries Climate Index (AACI), to measure the extreme weather conditions. I find that the extreme weather shocks have a negatively impact on gross domestic product (GDP) and consumer price index (CPI). To provide better understanding of CPI, I analyse the CPI component and find that energy and food price are increased after extreme weather shock because higher energy demand for cooling and heating and lower agriculture output, respectively. In addition, the extreme weather shocks have the negative effect on interest rate while the positive impact on unemployment rate and energy consumption.

  • (2023) Arno, Akashlina
    Thesis
    The thesis consists of three chapters. The first two chapters explore the impact of environmental regulations on economic and environmental factors in emerging markets. The main challenge policymakers face in emerging markets is balancing economic growth while ensuring environmental sustainability. Chapter 1 examines the impact of environmental policies in India, focusing on the effect of the Corporate Responsibility for Environmental Protection (CREP) charter and Supreme Court Action Plans (SCAP). CREP targeted plants in a pre-determined set of industries known as the highly polluting industries (HPI). The SCAP was implemented in specific cities rather than industries. While CREP significantly improved investment in pollution control stock and productivity at the target plants, the effects of SCAP are mixed. Chapter 2 expands on the empirical analysis of chapter 1 by providing a theoretical model to capture the empirical findings from the Indian manufacturing sector. I present a theoretical model that describes how plants of different sizes invest in pollution control equipment when there could be a penalty associated with excess pollutant emissions. The model's findings show that the most productive plants assumed to be the largest, have the highest expenditure on clean capital. Chapter 3 is self-contained and concentrates on effectively tracking the changes in the emerging economies' output gap and growth. I employ a mixed-frequency Bayesian VAR approach to nowcast India's output gap and growth before and after the 2020-2021 recession caused by the Covid-19 pandemic. The model uses monthly indicators, which allows forecasting the effects of any significant macroeconomic shocks before the release of real GDP data for the quarter.

  • (2023) Wu, Yu
    Thesis
    The aim of this thesis is to review and statistically synthesize the state of research on the relationship between customer mistreatment and service employees’ affective and behavioral outcomes and to examine the spillover and spiraling mechanisms of resource losses. In study 1, I included 93 effect sizes of 80 independent samples from 70 primary studies (N = 24,708). I used a meta-analytic approach to conduct a quantitative review of the relationship between customer mistreatment and service employees’ affective and behavioral outcomes. Meta-regression was applied to explore the impact of contextual- level moderators (i.e., service provider type, mean sample age, percentage of female employees) on these relationships. Furthermore, I compared the effects of customer mistreatment with the effects of other work-related stressors (i.e., challenge-related stressors and hindrance-related stressors). The results show that customer mistreatment has a significant negative impact on service employees’ affective outcomes (i.e., reduced job satisfaction, reduced organizational commitment, and increased stress) and behavioral outcomes (i.e., increased emotional labor, increased surface acting, increased turnover intention, and increased work withdrawal). Additionally, the relationship between customer mistreatment and service employees’ organizational commitment is influenced by a contextual-level moderator (i.e., service provider type). Furthermore, the meta-analysis results show that the effect sizes between customer mistreatment and employee outcomes ranged from moderately small to moderately large. In study 2, adopting a dynamic perspective of resource loss, I examined the spillover mechanism between employees’ emotional exhaustion in the evening and their negative emotions the next morning. Moreover, I tested the spiraling mechanism from service employees’ emotional exhaustion the previous evening to their emotional exhaustion the next evening. The results show that the impact of customer mistreatment on employees’ evening emotional exhaustion spills over to the next day, which leads them to feel negative emotions in the morning. Furthermore, the impact of customer mistreatment on employees’ evening emotional exhaustion triggers their emotional exhaustion spirals, and their evening emotional exhaustion leads to more emotional exhaustion the next evening. The theoretical and practical implications of these findings are discussed.

  • (2023) Nguyen, Thi Minh Hang
    Thesis
    Variable annuities (VAs) are increasingly becoming popular insurance products in many developed countries which provide guaranteed forms of income depending on the performance of the equity market. Insurance companies often hold large VA portfolios and the associate valuation of such portfolios is a very time-consuming task. There have been several studies focusing on inventing techniques aimed at reducing the computational time including the selection of representative VA contracts and the use of a metamodel to estimate the values of all contracts in the portfolio. In this thesis, LASSO regression is used to select a set of representative scenarios after the representative contracts are chosen, which in turn allows for the set of representative contracts to expand without significant increase in computational load. The proposed approach leads to a remarkable improvement in the computational efficiency and accuracy of the metamodel. Stochastic reserving and calculation of capital requirement require VA providers to calculate risk measures such as Value at Risk and Conditional Tail Expectation. An emulation framework is proposed to calculate these risk measures by building a neural network to model the net liability of a VA contract at some given scenario. The surrogate model is faster at estimating net liability than the exact calculation. Efficiency is improved thanks to faster computing of net liability for any contract at any scenario in the Monte Carlo simulation. This approach can also be used to select scenarios where the estimated portfolio liabilities are in the top quantile. The true liabilities of the portfolio at these top-quantile scenarios can be computed which can then be used to compute the risk measures. This results in a reduction in computational time because the Monte Carlo method is performed on only a fraction of the original scenarios. As an equity-linked insurance products, VA is exposed to significant market risks due to the underlying assets in the mutual funds that its contributions are invested in. To hedge against these market risks, insurers need to construct a hedging portfolio consisting of the underlying assets whose hedge positions can be determined by the Greeks of the portfolio such as the partial dollar Deltas. For a large portfolio, the calculation of the Greeks using Monte Carlo simulation is very slow, so a metamodeling approach can be used to estimate the Greeks. Assuming that the mutual funds of the VA insurers is a mixture of major market indices, there is likely a dependence between the partial dollar Deltas of the portfolio on the market indices. This dependent relationship can be incorporated into the model using multi-output regression approaches and the resulting improvement in the effectiveness of the metamodel or the lack thereof will be studied in the thesis.

  • (2023) Keller, Elena
    Thesis
    Infertility affects 1 in 6 couples and >180 million people worldwide. It represents an increasingly important public health problem, amplified by the continuing global trend to later childbearing. Fertility treatment including in vitro fertilization (IVF) is not suited to traditional health technology assessment (HTA) methods, because its value is derived by its ability to create life, rather than extend, improve, or save existing lives. Consequently, there is a lack of guidance, and satisfactory HTA methods to determine whether fertility treatment provides good value for money. Moreover, the ever-increasing demand for elective egg freezing (EEF) to preserve female fertility poses additional challenges for economic assessments. This thesis describes 5 studies that move the research agenda forward for guiding the economic evaluation of fertility treatment. Study 1, a systematic review, identified and quantified 5 methodological categories for value-of-statistical-life elicitation. Based on these categories, Study 2 investigated methods for eliciting the value of a statistical baby (VSB) and concluded that discrete choice experiments (DCEs) are the most appropriate method in a fertility treatment context. Study 3 applied DCE outputs to derive a VSB estimate, which was used to assess value for money of publicly funded IVF in a cost-benefit analysis, finding that at least 5 IVF cycles likely provide good value for women <42 years. Study 4 elicited patient preferences for fertility treatment based on a DCE and Study 5 performed an incentive-compatible lab experiment to assess the impact of patient and treatment characteristics on the demand for IVF and EEF. Both experiments indicate that the demand for fertility treatment is price-inelastic and unresponsive to income level, which might explain why women continue fertility treatment once they have commenced despite their financial capacity. This research makes several methodological contributions and provides an evidence base to assess the public investment in fertility treatment. Overall, patients and society were found to value fertility treatment highly. New knowledge generated includes: (1) identifying the number of cost-beneficial IVF cycles by female age; (2) quantifying price and income elasticities for IVF and EEF; (3) bridging the gap between the proliferation of DCEs and policy by applying DCE outputs to HTA; and (4) demonstrating that government funding decisions can be explored in a lab experiment.

  • (2023) Boglioni Beaulieu, Guillaume
    Thesis
    Accurately capturing the dependence between risks, if it exists, is an increasingly relevant topic of actuarial research. In recent years, several authors have started to relax the traditional 'independence assumption', in a variety of actuarial settings. While it is known that 'mutual independence' between random variables is not equivalent to their 'pairwise independence', this thesis aims to provide a better understanding of the materiality of this difference. The distinction between mutual and pairwise independence matters because, in practice, dependence is often assessed via pairs only, e.g., through correlation matrices, rank-based measures of association, scatterplot matrices, heat-maps, etc. Using such pairwise methods, it is possible to miss some forms of dependence. In this thesis, we explore how material the difference between pairwise and mutual independence is, and from several angles. We provide relevant background and motivation for this thesis in Chapter 1, then conduct a literature review in Chapter 2. In Chapter 3, we focus on visualising the difference between pairwise and mutual independence. To do so, we propose a series of theoretical examples (some of them new) where random variables are pairwise independent but (mutually) dependent, in short, PIBD. We then develop new visualisation tools and use them to illustrate what PIBD variables can look like. We showcase that the dependence involved is possibly very strong. We also use our visualisation tools to identify subtle forms of dependence, which would otherwise be hard to detect. In Chapter 4, we review common dependence models (such has elliptical distributions and Archimedean copulas) used in actuarial science and show that they do not allow for the possibility of PIBD data. We also investigate concrete consequences of the 'nonequivalence' between pairwise and mutual independence. We establish that many results which hold for mutually independent variables do not hold under sole pairwise independent. Those include results about finite sums of random variables, extreme value theory and bootstrap methods. This part thus illustrates what can potentially 'go wrong' if one assumes mutual independence where only pairwise independence holds. Lastly, in Chapters 5 and 6, we investigate the question of what happens for PIBD variables 'in the limit', i.e., when the sample size goes to infi nity. We want to see if the 'problems' caused by dependence vanish for sufficiently large samples. This is a broad question, and we concentrate on the important classical Central Limit Theorem (CLT), for which we fi nd that the answer is largely negative. In particular, we construct new sequences of PIBD variables (with arbitrary margins) for which a CLT does not hold. We derive explicitly the asymptotic distribution of the standardised mean of our sequences, which allows us to illustrate the extent of the 'failure' of a CLT for PIBD variables. We also propose a general methodology to construct dependent K-tuplewise independent (K an arbitrary integer) sequences of random variables with arbitrary margins. In the case K = 3, we use this methodology to derive explicit examples of triplewise independent sequences for which no CLT hold. Those results illustrate that mutual independence is a crucial assumption within CLTs, and that having larger samples is not always a viable solution to the problem of non-independent data.

  • (2023) Kabuche, Doreen
    Thesis
    The significant uncertainty in financial returns and life expectancy experienced in many countries worldwide increasingly exposes individuals to the risk of outliving their retirement savings, known as longevity risk. This thesis proposes new retirement income products with various strategies for managing longevity risk. First, we introduce a retirement product to provide pensioners with a lifetime income characterized by smooth investment returns. Our proposed design builds on the advantages of sharing mortality risk while incorporating equity investments with return smoothing mechanisms. Based on Australian data, we establish transparent and costless minimum guarantees on market returns using a zero-cost collar option. The pension savings are divided into a group-self annuitization (GSA) account and a smoothing account. The GSA account provides life-long retirement benefits, while the smoothing account adjusts the GSA benefits within specified bounds. Our method uses the smoothing account as part of the pooled savings, not backed up by the insurer, a key feature of our new product. Second, we set an arrangement for sharing mortality, chronic illness, and functional disability risks in a pooled annuity fund using multi-state models of functional disability and health status. We make two contributions to the literature. First, we propose a theoretical framework for pooling mortality risk across multiple health states. Second, as a practical contribution, we introduce a ``pooled health care annuity product'', which integrates long-term care insurance with a pooled life annuity. Based on US Health and Retirement data, we estimate health transition rates and numerically illustrate the proposed arrangement using annuity payouts. Lastly, we investigate linked annuity products, in which insurers and policyholders share risks. We examine the realistic price of the risk retained by the provider under the joint presence of financial and longevity participation. The guarantee's price is determined based on periodic fees charged to the policy account value. We further explore trade-offs between the retained risk amount and the guarantee cost from individuals' and providers' perspectives. Based on Italian data, we present numerical findings of a financial-linked product, a longevity-linked product, and a financial and longevity-linked product. The mortality and interest rates are estimated using the arbitrage-free Nelson-Siegel model.

  • (2023) Valentine, Andrew
    Thesis
    This thesis consists of three essays which examine the effects of company board of directors (board)-Chief Executive Officer (CEO) ties in the externally appointed CEO labour market. Over the last five decades, globalization and outsourcing have generated demand for CEOs with generalist rather than company-specific skills. An intimate knowledge of a company and its operations, gained over years of internal experience and training has been replaced by the need for proven strategic leadership and decision-making skills. As a result, companies have found it easier to acquire these skills in a globally competitive market rather than develop them internally. An unintended consequence has emerged: these outsiders may not be well known to a company’s board. This informational asymmetry can be problematic as a board typically has limited information to assess a prospective outsider CEO. In this context, company directors have the potential to help employing companies fill information gaps through their past professional relationships with prospective outsider CEOs. Do prior relationships with prospective outsiders assist boards to appoint transformational and highly productive CEOs? Or do they serve directors’ own and prospective CEOs’ collusive interests at the expense of the corporation and its investors? Does gender matter in the appointment and pay of a new connected/unconnected CEO? The three essays are predominantly empirical and draw on a working sample of 1,460 public company outsider CEO successions across 22 countries that occurred between 1992 and 2018. This working sample consists of data collected from several financial databases including Bloomberg, BoardEx, Compustat, Datastream, Execucomp and Standard & Poor’s (S&P) Capital IQ (CIQ). The first essay investigates the effect of board-CEO ties on outsider CEO performance as measured by return on assets (ROA), return on invested capital (ROIC), return on sales (ROS) and cumulative market-adjusted total stock returns (CARs). It applies an empirical, variance partitioning analysis that compares the performance of companies led by CEOs that have previously worked with directors (Connected CEOs) to those led by CEOs with no prior working relationships with directors (Non-connected CEOs). The results show that the benefits of these relationships to companies are small and that they are more pronounced in institutional environments where there are lower indicators of institutional and governance transparency. As such, they confirm and extend the findings of the literature on CEO succession events in three ways. First, they show that governance transparency places a moderating effect on the role of prior board-CEO ties in outsider CEO successions. Second, the resultsshow that varying governance transparency may play a role in CEO succession events globally. Finally, they show that CEO-led company performance varies according to whether market- or accounting-based financial metrics are used. The second essay explores the effect of board-CEO ties on the awarding of new outsider CEO compensation. Do board-CEO ties help companies offer compensation that serves their interests and those of their investors? Alternatively, are these ties exploited by CEOs such that they can negotiate compensation predominantly in their own interests against those of investors? The empirical analysis focuses on first-year compensation awarded to the newly appointed outsider CEOs and its key compositional elements: namely, the proportion of fixed relative to variable (i.e. equity or performance-related) remuneration. Results show that in the United States, United Kingdom, Canada and Australia, countries that share common approaches to corporate governance, board-CEO ties are associated with CEOs being awarded a greater proportion of their compensation as fixed and in cash rather than variable and at risk. This outcome favours the CEO, but it may also be acceptable to investors consistently with the hypothesis that board-CEO ties reduce informational risk on the new appointee, thus limiting the need to rely on equity as compensation to align incentives. The results are also consistent with the hypothesis that board-CEO ties empower CEOs to negotiate compensation in their own interests in those countries where the presence of independent directors and dispersed arms’ length institutional investors enables CEOs to bargain with boards over pay. They make several contributions. First, they show that board-CEO ties matter in the awarding of new outsider CEO compensation. Second, they highlight that institutional settings and corporate governance-imposed boundary conditions exist to the role of board-CEO ties in reducing information asymmetry and in the political process where CEO pay is negotiated. Third, the results extend existing arguments for the role of information asymmetry in the awarding of CEO compensation and the managerial power theory (MPT) or hypothesis through the linking of several unique theoretical perspectives. The results demonstrate that institutional theory as it applies in a wide-ranging international context is linked to interpreting the theories of asymmetric information and CEO risk-taking and power in explaining the setting of new outsider CEO compensation. The third essay analyses the effect of board-CEO ties and board gender diversity on the composition of CEO compensation, by gender. Despite overwhelming evidence of a gender pay gap that disadvantages women across the entire labour market, women and men CEOs are paid comparable overall levels of compensation. As the CEO compensation literature has not fully explored whether there are gender differences in the composition of compensation, the paper tests this hypothesis. A theoretical model is developed to account for empirical evidence that women and men occupy different wage bargaining positions when negotiating compensation with companies, in part because of differences in reservation wages. These bargaining positions are important because they anchor wage negotiations and affect the level and composition of compensation offered to a prospective CEO. The essay’s results show that overall compensation for women and men is comparable; however, women CEOs in the United States, United Kingdom, Canada and Australia receive a lower proportion of fixed compensation to overall than men. This finding provides new insights into the existence of a gender pay gap for CEOs, consistent with well-known gender differences in risk preferences and bargaining positioning. In an extended analysis, the essay finds that greater board gender diversity can help women close the gender gap in pay structure. Building on this thesis’s contributions, future research could continue to explore how corporate and institutional transparency affects the functioning labour markets, including those for CEOs. Further research could also investigate more nuanced aspects of board-CEO ties such as the impact of different board structures, including those with independent directors and specific remuneration and nominations, and compensation committees, that recommend and award CEOs.

  • (2023) Weepers, Jayne
    Thesis
    Since 2006, remote communities on Aboriginal land in the Northern Territory (NT) have been the target of a series of land tenure reforms, mostly government-initiated. The three most significant are: the roll out of section 19 leases over individual lots, and the grant of government-entity and community-entity township leases over entire communities. These reforms are widespread and long-term. Beforehand, leasing in communities was rare. After these reforms there are now thousands of leases (mostly section 19 leases) over almost every lot in remote communities. Despite their extensive and varied impacts on land rights and remote community governance, there has been little research on the reforms, and none providing the views of Aboriginal people most impacted. Adopting a mixed methods research design, and through a case study on the region of one of the two largest Land Councils, the Central Land Council (CLC), the research examines both the structural impacts and lived experience of these reforms to Aboriginal land rights in the NT. Through interviews with Aboriginal community residents and traditional owners, the research attempts to elevate their voices and experiences. Applying an Aboriginal land governance lens helps to make visible the governance impacts of the reforms, which have been almost invisible in official discourse about the reforms. The research examines the process of the tenure reforms as well as their outcomes. For the first time the insights of those ‘inside’ the policy processes have been collected, helping to shed light on what led to the reforms and why they took the form they did. The research found that the reforms have several consequences that did not appear to be anticipated in government statements about their purpose. These include: modification of the rights of Aboriginal traditional owners and the reframing of their relationship to community residents; and impacts on the role and reach of the Land Councils by both increasing their practical jurisdiction within remote communities, while also creating two additional land rights institutions. Further, these reforms have resulted in a welcome new rental stream for Aboriginal traditional owners, although this too brings governance challenges. The research suggests how future land tenure policies should be designed, and emphasises the need for a governance development approach, rather than a legal, technical one, to designing and implementing tenure reforms in remote communities.

  • (2023) Kessy, Salvatory
    Thesis
    Many alternative approaches for selecting mortality models and calibration periods have been proposed. The usual practice is to base forecasts on a single mortality model se- lected using in-sample goodness-of-fit measures and an arbitrarily chosen calibration period. However, cross-validation measures are increasingly being used in calibration period selection, model selection, and model combination methods are becoming a common alternative to using a single mortality model and calibration period. First, we propose a stacked regression ensemble that optimally combines different mortal- ity models to reduce out-of-sample mean squared errors and mitigate model uncertainty. Stacked regression uses a meta-learner to approximate horizon-specific weights by minimizing a cross-validation criterion for each forecasting horizon. The horizon-specific weights determine a mortality model combination customized to each horizon. We use 44 popula- tions from the Human Mortality Database (HMD) to compare the stacked regression ensemble with alternative methods. We show that, using one-year-ahead to 15−year-ahead out-of-sample mean squared errors, the stacked regression ensemble improves mortality forecast accuracy by 13% - 49% for males and 19% - 90% for females over individual mortality models. Second, we propose an automated procedure to select diverse multiple starting points to fit a mortality model and weights to combine the out-of-sample forecasts from the selected periods using methods like lasso regression. Using 19 male mortality data from HMD, combining forecasts from multiple fitting periods produces lower mean squared error of mortality rate forecasts than fitting the mortality models to the longest calibration period. For example, we show that the gain in the forecast accuracy of mortality rate forecasts combined based on the Age-Period-Cohort model relative to the longest fitting period is between 11.7% and 31.5% across forecast horizons for 19 male populations. Lastly, we propose a new interpretable stacked regression ensemble (ISRE), which ex- presses a standard stacked regression ensemble in terms of diverse mortality features from individual mortality models, which directly allows for interpreting the contribution of each feature to the out-of-sample mortality forecasts. Our empirical experiments based on US male data from HMD show that ISRE can attain similar out-of-sample forecast error as the standard stacked regression ensemble while allowing for model interpretability.