Dependence Measures in Bivariate Gamma Frailty Models Bivariate duration data frequently arise in economics, biostatistics and other areas. In “bivariate frailty models”, dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this imposes on the implied dependence of the duration...

We study infinite–horizon, optimal switching problems under a general class of stochastic volatility models that exhibit “fast” mean–reversion by using techniques from homogenisation theory. This leads to perturbation theory, providing closed–form approximations to the full switching problem which is often intractable, both analytically and numerically. We apply our general results to certain, ...

The behavioural response with respect to actuarial adjustments in the German public pension system is analysed. The introduction of actuarial adjustments serves as a source of exogenous variation to estimate discrete time transition rates into retirement. The analysis is conducted on administrative data from social security records and on survey data in a comparative scenario. Probability mass ...

We examine job durations of German workers using linked employer–employee data. Our results indicate that exit rates are strongly influenced by firm characteristics. The effects of some of these characteristics, however, are limited to particular job positions or skill groups. There is clear evidence for a sorting process whereby workers with long expected job durations are matched to firms off...

The incidence and duration of work absence spells for a sample of Swedish blue collar workers in 1991 are analyzed using the KaplanMeier estimator, discrete time hazard regression as well as strati ed Cox regression. The main interest is directed towards the e ect of economic incentives. The e ect of a decrease in the replacement level of the compulsory Swedish sickness insurance that took plac...

The Transition from Welfare to Work and the Role of Potential Labor Income It is often argued that the high level of welfare claims in Germany causes little incentive for workers with low productivity to seek for a job. We examine the influence of the ratio between estimated potential labor income and the welfare payment level on the probability of leaving social welfare. Using the GSOEP, we es...

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a unive...

The present paper thoroughly explores second-best efficient allocations in an adverse selection insurance economy. We start from a natural extension of the classical model, assuming less than perfect risk perceptions. We propose first and second welfare theorems, by means of which we describe efficiencyenhancing policies. Notions of weak and strong adverse selection are promising for interpreti...

The C41 cell line, which was derived from a human squamous carcinoma of the uterine cervix, has been characterized by analysis of quinacrine-banded metaphase chromosomes and study of alkaline phosphatase. C41 cells have a distinctive karyotype. They are hypodiploid, with a highly characteristic series of marker chromosomes, most of them derived by translocation or deletion. They contain no HeLa...

T. F. Stocker Climate and Environmental Physics, Physics Institute, University of Bern, Sidlerstrasse 5, CH-3012 Bern, Switzerland Tel: c41-31-6314462, Fax: c41-31-6314405 e-mail: stocker6climate.unibe.ch Abstract A review of climatic variability is given with a focus on abrupt changes during the last glacial. Evidence from palaeoclimatic archives suggests that these were most likley due to reo...