nep-cmp New Economics Papers
on Computational Economics
Issue of 2005‒02‒06
two papers chosen by
Stan Miles
York University

  1. See5 Algorithm versus Discriminant Analysis. An Application to the Prediction of Insolvency in Spanish Non-life Insurance Companies By Zuleyca Díaz Martínez; José Fernández Menéndez; Paloma Martínez Almodovar
  2. Behavioural Microsimulation Modelling for Tax Policy Analysis in Australia: Experience and Prospects By John Creedy; Guyonne Kalb

  1. By: Zuleyca Díaz Martínez (Universidad Complutense de Madrid. Facultad de Económicas y Empresariales.Departamento de Economía Financiera y Contabilidad I.); José Fernández Menéndez (Universidad Complutense de Madrid. Facultad de Económicas y Empresariales.Departamento de Organización de Empresas.); Paloma Martínez Almodovar (Universidad Complutense de Madrid. Facultad de Económicas y Empresariales.Departamento de Organización de Empresas.)
    Abstract: Prediction of insurance companies insolvency has arised as an important problem in the field of financial research, due to the necessity of protecting the general public whilst minimizing the costs associated to this problem. Most methods applied in the past to tackle this question are traditional statistical techniques which use financial ratios as explicative variables. However, these variables do not usually satisfy statistical assumptions, what complicates the application of the mentioned methods.In this paper, a comparative study of the performance of a well-known parametric statistical technique (Linear Discriminant Analysis) and a non-parametric machine learning technique (See5) is carried out. We have applied the two methods to the problem of the prediction of insolvency of Spanish non-life insurance companies upon the basis of a set of financial ratios. Results indicate a higher performance of the machine learning technique, what shows that this method can be a useful tool to evaluate insolvency of insurance firms.
    Date: 2004
  2. By: John Creedy (Department of Economics, The University of Melbourne); Guyonne Kalb (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne)
    Abstract: This paper describes microsimulation modelling in non-technical terms and explains what can be achieved with microsimulation modelling in general, and the Melbourne Institute Tax and Transfer Simulator (MITTS) in particular. The focus is on behavioural microsimulation modelling, which takes individuals’ labour supply responses into account when analysing tax and transfer reforms. Microsimulation models are built to replicate closely the considerable degree of heterogeneity observed in the population. Several examples of recent uses of MITTS are given and briefly described. Given the relatively recent development of behavioural microsimulation models, there are several opportunities for further extensions. For example, it would be valuable to allow for the demand side of labour, indicating whether new labour force participants are likely to find work or to allow for life-cycle dynamics, which are important to deal with population-ageing issues and female labour force participation.
    Date: 2005–02

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