On The Longevity Risk Assessment Under Solvency II

This paper deals with the longevity risk assessment within the Solvency II framework. We propose a methodology allowing obtaining longevity shocks specified by gender, age and maturity. These shocks, which are calibrated on experience mortality data relative to a French insurance company, are proved to be far away from that assumed in the standard formula and the resulting solvency capital requirement (SCR) leads to significant capital savings as compared to the standard approach

How to Select Optimal Portfolio in Alpha-Stable Markets

Projet FRACTALESThis paper generalizes the traditional Mean-Variance method in portfolio analysis when asset returns are assumed to be jointly stable. An $\alpha$-stable efficient frontier is computed and compared to the classical Gaussian one. The efficient frontier computed from this analysis model dominates the one defined in terms of the Markowitz portfolio selection model criterion

Do political connections affect banks' leverage? Evidence from some Middle Eastern and North African countries

This study examines the association between political patronage and banks' financing decision in a sample of 34 commercial banks operating in Middle East and North Africa region for the period 2003-2014. Linear and nonlinear Panel Data analysis is used to investigate this relationship. The results reveal that politically backed banks tend to be more leveraged. Additionally, the indirect effect of political patronage on leverage is found to be not so large but significant through interaction with profitability, that is, politically backed banks with higher profitability are positively associated with leverage. Our findings imply that the privileges resulting from political ties in terms of market power and easier access to financing sources make banks more profitable and this also leads to higher leverage. In line with the related literature, a strong political presence in the board of banks can be considered as an important intangible asset enabling banks to draw more direct rents from the government which would not otherwise be available; also, as one of the factors driving bank financing decisions

Entrepreneurship and regional development analysis : evidence from Tunisia GEM Data

This research is a contribution to empirical research on entrepreneurship. Indeed, this paper provides a detailed analysis of regional analysis of entrepreneurial activity in Tunisia based on 2009 APS data. We provide a short description of GEM’s theoretical and methodological background. Also, we present the most important approaches to regional development with a particular focus on the relationship between entrepreneurship and regional development. Then, we apply a statistical analysis using APS data. The analysis of the several dimensions of regional entrepreneurial activity does indicate that start-ups creation does vary from one region to another. We conclude that the coastal regions Grand Tunis and Center-East have the highest early-stage entrepreneurial active involvement in technology-sector. This finding is correlated with the result that these two regions have also high level of knowledge and abilities combined with high levels of fear of failure. Regional analysis does conclude that, for all regions, business creation is more pronounced for male than female population. Nevertheless, the gender gap varies from one region to another. The lowest gap is observed in the Center East. We also show that for all regions, necessity early stage entrepreneurial activity is a rural characteristic while opportunity entrepreneurship is basically an urban phenomenon. Therefore, regional characteristics do not make any difference in this matter

Au delà de la VaR, vers une nouvelle mesure du risque en gestion de portefeuille

Projet FRACTALESRésumé disponible dans le fichier PD

Modèle d'évaluation des risques extrêmes, vers une mutualisation des risques en finance

Projet FRACTALESRésumé disponible dans le fichier PD

Using Hybrid Automata for Diagnosis of Hybrid Dynamical Systems

Physical systems can fail. For this reason the problem of identifying and reacting to faults has received a large attention in the control and computer science communities. In this paper we study the fault diagnosis problem and modeling of Hybrid Dynamical Systems (HDS). Generally speaking, HDS is a system mixing continuous and discrete behaviors that cannot be faithfully modeled neither by using formalism with continuous dynamics only nor by a formalism including only discrete dynamics. We use the well known framework of hybrid automata for modeling hybrid systems, because they combine the continous and discretes parts on the same structure. Hybrid automaton is a states-transitions graph, whose dynamic evolution is represented by discretes and continous steps alternations, also, continous evolution happens in the automaton apexes, while discrete evolution is realized by transitions crossing (arcs) of the graph. Their simulation presents many problems mainly the synchronisation between the two models. Stateflow, used to describe the discrete model, is co-ordinated with Matlab, used to describe the continuous model. This article is a description of a case study, which is a two tanks system

Composition of networks around entrepreneurs: Cross-national comparisons in the Middle East and North Africa

This paper investigates the composition of networks around entrepreneurs in the MENA region and how this composition differs amongst the 14 countries with regards to the size and diversity of the networks used at various stages of venture development. The findings indicate significant difference between entrepreneurs at various stages of venture development for network size and network diversity. The empirical results show that the more the network is diversified, the shorter the duration of the launch of the venture. The investigation also reveals that entrepreneurs with relative large networks are more likely to launch their business in a short time. Copyright © 2013 Inderscience Enterprises Ltd