SPOUDAI - Journal of Economics and Business

27-46

Authors: Milton Nektarios, Panos Xenos, George Nektarios, Kostas Poulakis, Michalis Chouzouris

This paper evaluates the efficiency of the twenty-one largest Syndicates of Lloyd’s of London. Members of Lloyd’s of London are grouped into Syndicates in order to undertake insurance liabilities. In this study, the Syndicate is regarded as the counterpart of an insurance company in a regular insurance market. The analysis covers a period of eight years between 2004 and 2011. Data Envelopment Analysis (DEA) and Stochastic Frontier Analysis (SFA) are used to estimate the efficiency of the Syndicates, and comparisons are made for the consistency of the two methods. The main findings indicate, firstly, that the average annual efficiency estimates for all Syndicates are plausible and they follow three-year cycles. Secondly, the less efficient syndicates may reduce inputs by almost one-third and still produce the same output, provided that they adopt the “best practices” of the most efficient Syndicates. JEL Classification: G22, D24, D22 Keywords: Insurance, Lloyd’s, efficiency, DEA, SFA

67-86

Authors: Alexandros M. Goulielmos

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by ‘standard deviation’. Other risk measures like ‘excess kurtosis’, ‘excess skewness’, ‘long-term dependence’ and the ‘catastrophe propensity’ were ignored. Risk in 1900 was based on the mathematical laws of Chance and influenced greatly by Probability theory due to Pascal and Fermat (1654). Economists, but maritime ones, have understood, however, that the ‘random walk’ model, and the ‘efficient market hypothesis’, failed to interpret reality since Black Monday (1987) at least. The traditional treatment of risk assumes that 95% of the observations fall within 2σ from their mean. However, the daily data of 4 time-charter routes (‘Baltic Panamax Index’, May 1996-February 2012) showed otherwise. Moreover, variance varies from one decade to next, even under stable mean. Risk is related to dispersion, which is defined the same in ‘normal’ and ‘chaotic dynamic systems. All maritime studies (1997-2013), however, reported excess skewness, excess kurtosis, absence of normality and serial correlation...but no remedy provided. As far as the reference to the assumption that observations are ‘independent and identically distributed’ is concerned, maritime time series analysis shows ‘long term dependence’ indicated by a high ‘Hurst exponent’~1. The paper uses ‘Rescaled Range Analysis’-a nonparametric method, to identify the ‘Noah effect’ (i.e. the propensity of time series towards catastrophe; measured by alpha exponent). Combined with nonlinear forecasting methods, short and long term risk is thus in this paper forecast. Finally, it shows using daily data, that ‘risk and dependence’ vary on data’s calendar time used. JEL Classification: C65, C53, E44, G17. Keywords: Risk, excess kurtosis-skewness risk, non-normality risk, long term dependence, ‘Noah’ effect, forecasting catastrophe’s risk, BPI 1996-2012, Hurst exponent.

96-97

Authors: Angelos Kanas

G.C. Bitros and A.D. Karayiannis, 2013, “Creative Crisis in Democracy and Economy” Springer –Verlag, Berlin Heidelberg, ISBN 978-3-642-33421-4. Full Text: