Publications

This article derives underlying asset risk-neutral probability distributions of European options on the S&P 500 index. Nonparametric methods are used to choose probabilities that minimize an objective function subject to requiring that the probabilities are consistent with observed option and underlying asset prices. Alternative optimization specifications produce approximately the same implied distributions. A new and fast optimization technique for estimating probability distributions based on maximizing the smoothness of the resulting distributions is proposed. Since the crash, the risk-neutral probability of a three (four) standard deviation decline in the index (about -36 percent (-46 percent) over a year) is about 10 (100) times more likely than under the assumption of lognormality.

Due to the rapid progress in medical technology social insurance systems will soon no longer be able to grant health services without limits but must employ non-price rationing devices. This raises the question how these limits will be determined. Here we consider a direct democracy where the size of the social health insurance plan is determined in a popular referendum using simple majority rule. Moreover, two different kinds of rationing are distinguished according to whether additional private purchases of health care are allowed. For both systems we examine the size of the social insurance system in a political equilibrium, and we compare the results in particular with respect to their distributional effects.

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The decision to contact a physician and the decision about how often to contact a physician are determined by different decisionmakers. We introduce a negative binomial distributed hurdle model that specifies the two stages of the decisionmaking process as different stochastic processes, while at the same time taking care of the discrete nature of the data. Empirical results are based on a cross-section of the Western German Socioeconomic Panel. Specification tests reveal that the two stages of the process need to be treated as two distinct processes. This, in turn, implies that ignoring this distinction leads to serious misinterpretation.

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dc.contributor.author: König, Heinz; Laisney, Francois; Lechner, Michael

One of the puzzles in the political economic theory of unfunded pension systems is that middle-aged voters do not seem to advocate unlimited increases in the level of contributions and benefits if they take this decision to be valid forever. While the previous literature answered this question by pointing at borrowing restrictions, a more convincing explanation rests on the voters’understanding that future social security taxes will adversely affect future labor supply and thus the source from which their own pensions must be financed. This paper analyzes the validity of this explanation for two different types of pension systems, (a) the lump-sum benefits case, and (b) the case of fairness within cohorts.

Why do all democracies share the tendency to force transfers from the youngto the old? On the other hand, what is it that limits the size of these transfers? What explains the observed differences in the size of these transfers across countries? Are unfunded social security programs and government debt determined by the same principles? Since Browning (1975), there has been a vivid interest of political economists in addressing the above questions. This paper provides a comprehensive survey of this literature to date, where the emphasis is on a systematic treatment of the assumptions used in the models.

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In dem Artikel wird das wissensbasierte System WISKREDAS, ein Entscheidungsunterstützungssystem für die Kreditwürdigkeitsprüfung von Unternehmensgründungen, beschrieben. Neben der Darstellung der Architektur des Systems wird auch auf die Problemstellung Kreditwürdigkeitsprüfung und die Wissensakquisition, die der Systemkonzeption zugrundeliegt, eingegangen.