Electricity Futures Prices

This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the relation between electricity futures prices and futures prices of underlying fundamentals such as natural gas, coal and emission rights are not constant and vary over time. We test this view by applying a model that linearly relates electricity futures prices to the marginal costs of production and calculate the log-likelihood of different time-varying and constant specifications of the coefficients. To do so, we formulate the model in state-space form and apply the Kalman Filter to observe the dynamics of the coefficients. We analyse historical prices of futures contracts with different delivery periods (calendar year and seasons, peak and off-peak) from Germany and the U.K. The results indicate that analysts should choose a time-varying specification to relate the futures price of power to prices of underlying fundamentals

Length of sick leave – Why not ask the sick-listed? Sick-listed individuals predict their length of sick leave more accurately than professionals

BACKGROUND: The knowledge of factors accurately predicting the long lasting sick leaves is sparse, but information on medical condition is believed to be necessary to identify persons at risk. Based on the current practice, with identifying sick-listed individuals at risk of long-lasting sick leaves, the objectives of this study were to inquire the diagnostic accuracy of length of sick leaves predicted in the Norwegian National Insurance Offices, and to compare their predictions with the self-predictions of the sick-listed. METHODS: Based on medical certificates, two National Insurance medical consultants and two National Insurance officers predicted, at day 14, the length of sick leave in 993 consecutive cases of sick leave, resulting from musculoskeletal or mental disorders, in this 1-year follow-up study. Two months later they reassessed 322 cases based on extended medical certificates. Self-predictions were obtained in 152 sick-listed subjects when their sick leave passed 14 days. Diagnostic accuracy of the predictions was analysed by ROC area, sensitivity, specificity, likelihood ratio, and positive predictive value was included in the analyses of predictive validity. RESULTS: The sick-listed identified sick leave lasting 12 weeks or longer with an ROC area of 80.9% (95% CI 73.7–86.8), while the corresponding estimates for medical consultants and officers had ROC areas of 55.6% (95% CI 45.6–65.6%) and 56.0% (95% CI 46.6–65.4%), respectively. The predictions of sick-listed males were significantly better than those of female subjects, and older subjects predicted somewhat better than younger subjects. Neither formal medical competence, nor additional medical information, noticeably improved the diagnostic accuracy based on medical certificates. CONCLUSION: This study demonstrates that the accuracy of a prognosis based on medical documentation in sickness absence forms, is lower than that of one based on direct communication with the sick-listed themselves

A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known polynomial optimization solvers.

Unemployment and disability pension-an 18-year follow-up study of a 40-year-old population in a Norwegian county

<p>© 2012 Støver et al; licensee BioMed Central Ltd.</p><p>This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/2.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.</p

Interviews for the assessment of long-term incapacity for work: a study on adherence to protocols and principles

<p>Abstract</p> <p>Background</p> <p>Assessments for long-term incapacity for work are performed by Social Insurance Physicians (SIPs) who rely on interviews with claimants as an important part of the process. These interviews are susceptible to bias. In the Netherlands three protocols have been developed to conduct these interviews. These protocols are expert- and practice-based. We studied to what extent these protocols are adhered to by practitioners.</p> <p>Methods</p> <p>We compared the protocols with one another and with the ICF and the biopsychosocial approach. The protocols describe semi-structured interviews with comparable but not identical topics. All protocols prescribe that the client's opinion on his capacity for work, and his arguments, need to be determined and assessed. We developed a questionnaire to elicit the adherence SIPs have to the protocols, their underlying principles and topics. We conducted a survey among one hundred fifty-five experienced SIPs in the Netherlands.</p> <p>Results</p> <p>Ninety-eight SIPs responded (64%). All respondents used some form of protocol, either one of the published protocols or their own mix. We found no significant relation between training and the use of a particular protocol. Ninety percent use a semi-structured interview. Ninety-five percent recognise having to verify what the claimant says and eighty-three percent feel the need to establish a good relation (p = 0.019). Twelve topics are basically always addressed by over eighty percent of the respondents. The claimant's opinion of being fit for his own work or other work, and his claim of incapacity and his health arguments for that claim, reach a hundred percent. Description of claimants' previous work reaches ninety-nine percent.</p> <p>Conclusion</p> <p>Our study shows professional consensus among experienced Dutch SIPs about the principle of assessment on arguments, the principle of conducting a semi-structured interview and the most crucial interview topics. This consensus can be used to further develop a protocol for interviewing in the assessment of incapacity for work in social insurance. Such a protocol can improve the quality of the assessments in terms of transparency and reproducibility, as well as by enabling clients to better prepare themselves for the assessments.</p

Reincentivizing – a new theory of work and work absence

<p>Abstract</p> <p>Background</p> <p>Work capacity correlates weakly to disease concepts, which in turn are insufficient to explain sick leave behavior. With data mainly from Sweden, a welfare state with high sickness absence rates, our aim was to develop an explanatory theory of how to understand and deal with work absence and sick leave.</p> <p>Methods</p> <p>We used classic grounded theory for analyzing data from >130 interviews with people working or on sick leave, physicians, social security officers, and literature. Several hundreds of typed and handwritten memos were the basis for writing up the theory.</p> <p>Results</p> <p>In this paper we present a theory of work incentives and how to deal with work absence. We suggest that work disability can be seen as hurt work drivers or people caught in mode traps. Work drivers are specified as work capacities + work incentives, monetary and non-monetary. Also, people can get trapped in certain modes of behavior through changed capacities or incentives, or by inertia. Different modes have different drivers and these can trap the individual from reincentivizing, ie from going back to work or go on working. Hurt drivers and mode traps are recognized by driver assessments done on several different levels. Mode driver calculations are done by the worker. Then follows employer, physician, and social insurance officer assessments. Also, driver assessments are done on the macro level by legislators and other stakeholders. Reincentivizing is done by different repair strategies for hurt work drivers such as body repair, self repair, work-place repair, rehumanizing, controlling sick leave insurance, and strengthening monetary work incentives. Combinations of these driver repair strategies also do release people from mode traps.</p> <p>Conclusion</p> <p>Reincentivizing is about recognizing hurt work drivers and mode traps followed by repairing and releasing the same drivers and traps. Reincentivizing aims at explaining what is going on when work absence is dealt with and the theory may add to social psychological research on work and work absence, and possibly inform sick leave policies.</p