|
PATRICK LEE BROCKETT
Gus S. Wortham Memorial Chairholder
in Risk Management and Insurance,
Department of Management
Science and Information Systems,
Director, Risk Management
Program,
Professor of Finance and
Mathematics. |
VITA
OFFICE: Department of Management Science and
Information Systems
The University of Texas at
Austin
Phone: (512) 471-6028
FAX:
(512) 471-0587
e-mail: brockett@mail.utexas.edu
CURRENT POSITIONS
AT THE UNIVERSITY OF TEXAS AT AUSTIN
-
Director, Risk
Management and Insurance Program
-
Gus S. Wortham
Memorial Chair in Risk Management and Insurance
-
Director, Center for
Risk Management and Insurance
-
Faculty Research
Scientist, Applied Research Laboratories
-
Janey Slaughter
Briscoe Fellow at the IC2 Institute
OTHER
POSITIONS
-
President, American
Risk and Insurance Association
-
Member of Board of
Directors, Texas Property and
Casualty Guaranty Association
EDUCATION
-
B.A.
1970, (Mathematics) California State
University at Long Beach, California
-
M.A.
1975, (Mathematics) University of
California at Irvine, California
-
Ph.D.
1975, (Mathematics) University of
California at Irvine, California
PROFESSIONAL ACADEMIC
BACKGROUND
1999
-
Director, Center for Risk Management and Insurance, University of Texas at
Austin
1995-
Director of the Risk Management and Insurance Program, University of Texas at
Austin
1995-
Gus S. Wortham
Memorial Chairholder in Risk Management and Insurance, University of Texas
at
Austin
1992-
Janey Slaughter Briscoe Fellow, IC2 Institute, The
University of Texas at Austin
1998
-1999 Director,
Center for Management of Operations and Logistics, University of Texas at
Austin
1998
Holder of the Thomas
Bowles Chair in Actuarial Science, Georgia State University, Atlanta
Georgia
1996-1998
Senior Associate Director, Center for Management of Operations and
Logistics, University of Texas at
Austin
1992-1996
Director of the Center for Cybernetic Studies, The University of Texas at
Austin
1989-1995
Joseph H. Blades Professor of Risk Management and Insurance, The
University of Texas at
Austin
1987-1989
Paul V. Montgomery Centennial Professor of Actuarial Science, The
University of Texas at
Austin
1986-1992
Senior Research Fellow, IC2
Institute, The University of Texas at
Austin
1986-1989
Director, Actuarial Science Program, Department of Finance, The University
of Texas at
Austin
1986-1989
Professor of Finance and Actuarial Science, Department of Finance, The
University of Texas at
Austin
1984-1986
Richard Seaver Centennial Research Fellow, IC2 Institute, The University
of Texas at
Austin
1984-1986
Paul V. Montgomery Centennial Fellow in Actuarial Science, The University
of Texas at
Austin
1982-1986
Associate Professor of Finance and Actuarial Science, Department of
Finance, The University of Texas at
Austin
1981-1982
Assistant Professor of Finance and Actuarial Science, Department of
Finance, The University of Texas at
Austin
1981-
Research Scientist, Applied Research Laboratories, The University of Texas
at Austin
1981 Winter
Instructor of Biostatistics, Department of Community and Environmental
Quarter Medicine, The Medical School,
University of California, Irvine
Extensions
1980-1981
Visitor, Department of Statistics, University of California at Riverside,
Riverside,
California
1977-1980
Assistant Professor, Departments of Mathematics and General Business, The
University of Texas at
Austin
1975-1977
Assistant Professor, Department of Mathematics, Tulane University, New
Orleans,
Louisiana
1970-1973
National Science Foundation Traineeship, Department of Mathematics,
University of California at Irvine, Irvine, California
ELECTED
PROFESSIONAL SOCIETY FELLOWSHIPS
-
The American
Association for the Advancement of Science (elected Fellow
1993)
-
The Institute of
Mathematical Statistics (elected Fellow 1989)
-
The American
Statistical Association (elected Fellow 1992)
-
The Royal
Statistical Society (also elected Chartered Statistician by RSS in
1993)
-
The Operations
Research Society of America (now INFORMS) (elected
Full Member)
OTHER
PROFESSIONAL SOCIETY MEMBERSHIPS
-
American Risk and
Insurance Association (President)
-
ASTIN Section of the
International Actuarial Association (Special Member)
-
Casualty Actuarial
Society (Academic Corresponding Member)
-
Institute for
Operations Research and Management Sciences (INFORMS)
-
New York Academy of
Science
-
ASTIN Section of the
International Actuarial Association (Special Member)
-
Casualty Actuarial
Society (Academic Corresponding Member)
-
Institute for
Operations Research and Management Sciences (INFORMS)
-
New York Academy of
Science
-
Phi Kappa Psi
Scholastic Honor Society
-
Risk and Insurance
Management Society (RIMS)
-
Southern Risk and
Insurance Association
-
Western Risk and
Insurance Association
EDITORIAL
POSITIONS
2000
-
Member of Distinguished Honorary Editorial Board, North American
Actuarial Journal. This position is for a selected few who
give advice
on strategy
and directions to the Editor and Editorial Board
1998-
Present Editor, Journal of Risk and
Insurance, the flagship journal of the American Risk and Insurance
Association and the most prestigious
academic journal in risk management and insurance in the
world
1999
Special Guest Editor of the North American Actuarial Journal
Special Issue (January ) on Genetic Testing and its Impact on the
Insurance
Industry
1997
Co Editor (with W.W. Cooper, A. Berger, and J. Pastor) Special Issue
of the European Journal of Operations Research on new
methodologies and directions in the evaluation of financial
institutions.
1995-
2000 Associate
Editor, North American Actuarial Journal, the flagship journal of
the Society of Actuaries and the most prestigious
academic
journal in actuarial science in North
America
1995-1998
Associate Editor for Book Reviews, North American Actuarial
Journal
1984- Present Associate Editor,
Insurance: Mathematics and Economics, one of the very top journals
in actuarial science and insurance
mathematics
published in Europe
2000-
Present Member of the Editorial Board, Applied
Stochastic Models in Business and Industry (formerly Applied
Stochastic Models and Data Analysis)
1991-1993
Associate Editor,
Naval Research
Logistics
1979-1980 Associate
Editor, Book Review Section, Journal of the American Statistical
Association
EXTERNAL
PROFESSIONAL HONORS AND AWARDS
-
ARIA Research Prize
given by the Casualty Actuarial Society August 14, 2001 to “the
author(s) of that paper published by the American Risk and Insurance
Association (ARIA) which provides the most valuable contribution to
casualty actuarial science”.
-
International Brian
Hey Prize Competition held by the Institute of Actuaries in England and
the Scottish Faculty of Actuaries, Second Prize. October,
2000
-
Finalist in David
Rist Prize Competition for the most outstanding paper on military
operations research, by the Military Operations Society, 1999
-
Winner of “Annual
Prize” for the Best Paper of the Year for 1996 from the Society of
Actuaries for the article "Actuarial Uses of Secondary Data:
An Information Theoretic Approach"
-
Semi-finalist in
Franz Edelman Competition for the most outstanding application of
management science techniques in practice, Institute for Operations
Research and the Management Sciences (INFORMS), 1995
-
Winner of the "Best
Paper Award" for 1994 from the International Insurance Society, June
19-23, 1994 Madrid, Spain
-
Winner of "The
Halmsted Prize for the Most Outstanding English Language Publication in
Actuarial Science in the World (1993)," presented by The Society of
Actuaries
-
Award for "Most
Outstanding Statistical Application Article Published in any Journal, in
any Field, and in any Language During 1990 or 1991," presented by the
American Statistical Association (1992)
-
Award for
"Outstanding Feature Article Published during 1986 in The Journal of
Risk and Insurance" (with S.H. Cox, Jr. and R.C. Witt), presented by
the American Risk and Insurance Association
-
Award for
"Outstanding Communication Published During 1983 in The Journal of
Risk and Insurance" presented by the American Risk and Insurance
AssociationListed in Who's Who in Science and Technology,
Who's Who in the Southwest, and American Men and Women of
Science
UNIVERSITY
PROFESSIONAL HONORS AND AWARDS RECEIVED
-
Outstanding Graduate
Teacher Award (University-wide competition), by The University of Texas
at Austin Graduate School, 1995.
-
Award for Research
Excellence, presented by The University of Texas CBA Foundation Advisory
Council (1992)
-
Award for
Outstanding Research Contributions, presented by The University of Texas
CBA Foundation Advisory Council (1988)
-
Award for Research
Excellence, presented by The University of Texas CBA Foundation Advisory
Council (1984)
-
Dean’s
Fellow 1998, University of Texas at Austin
College and Graduate School of Business
-
Faculty Research
Assignment, University of Texas Graduate School
OTHER
UNIVERSITY PROFESSIONAL AWARD NOMINATIONS
- Management
Science and Information
Systems Department Nominee for College-wide Award for Outstanding
Research Contributions ( 1996 , 1997
1999 )
- Management
Science and Information Systems Department Nominee for University-wide
Outstanding Graduate Teacher Award (1993)
- Finance
Department Nominee for College-wide Award for Research Excellence,
(1991)
- Nominated for
Outstanding Professor Award, The Graduate Business Council (1987)
- Nominated for
Friar Society Teaching Award (1987)
- Finance
Department Nominee for University-wide Outstanding Graduate Teacher
Award (1989, 1992, 1993)
- Nominated for
Outstanding Researcher Award, Golden Key National Honor Society
(1987)
- Nominated for
Outstanding Teacher Award, Golden Key National Honor Society
(1985)
OFFICES
IN PROFESSIONAL ORGANIZATIONS AND PROFESSIONAL
SERVICE
PUBLICATIONS
Books
-
Statistics,
Probability and Their Applications, (with A. Levine),
W. B. Saunders Publishing Co., 1984 (Reprinted in Japan, by HRW
International, 1986).
Monographs
-
An Analysis of
Pricing and Availability Problems in the Texas Automobile Insurance
Market, (with Robert C.
Witt and Paul Aird), National Association of Independent Insurers,
1993.
Articles on Risk Management and Insurance
-
"The Underwriting
Risk and Return Paradox Revisited," (with R. C. Witt), Journal of
Risk and Insurance (December 1982), Vol. 49, No. 4,
621-627.
-
"When Does the
th Percentile
Residual Life Function Uniquely Determine the Distribution?" (with B. C.
Arnold), Operations Research (1983), Vol. 31, 391-396.
-
"A New Approach to
the Resolution of the Classification Problem," (with M. Johnson and A.
Levine), Structures De L'information, session speciale sur les
Questionnaires, Congres IEEE "Theorie de l'Information" Groupe De
Recherche 22, Associa a l'Institut de Programmation de Université Pierre
et Marie Curie, June 1982, Paris, 51-65.
-
"Adjusting
Lifetables to Incorporate Pertinent Personal Profile Information," (with
S. H. Cox, Jr.), Actuarial Research Clearing House (1983).
-
"On the Misuse of
the Central Limit Theorem in Some Risk Calculations," Journal of Risk
and Insurance (December 1983), Vol. 50, No. 4, 727-731. (This
article won an award from The American Risk and Insurance Association
for Outstanding Communication published in this journal in
1983).
-
"Risk Equivalent
Return on Shareholders' Equity and Utility Assessment--a Comment on the
paper by A. Longley-Cook," Transactions of the Society of
Actuaries (1983), Vol. 35 , 341-348. (This article was a
finalist for the Halmsted Prize given by the Society of Actuaries for
the best English language publication of the year in the world in
Actuarial Science).
-
"Optimal Ruin
Calculation Using Partial Stochastic Information," (with S.H. Cox, Jr.),
Transactions of the Society of Actuaries (1984), Vol. 36,
49-62.
-
"General Bivariate
Makeham Laws," Scandinavian Actuarial Journal (1984),
150-156.
-
"Statistical
Adjustment of Mortality Tables to Reflect Known Information," (with S.
H. Cox, Jr.), Transactions of the Society of Actuaries (1984),
Vol. 36, 63-75.
-
"Self Insurance and
the Probability of Financial Regret," (with S.H. Cox, Jr. and R. C.
Witt), Journal of Risk and Insurance (December
1984), Vol. 51, 720-729.
-
"On the
Inconsistency of Bayesian non-Parametric Estimators in Competing
Risk/Multiple Decrement Models," (with B. C. Arnold, W. Torres, and A.
L. Wright), Insurance: Mathematics and Economics (1984), Vol. 3,
49-55.
-
"Using a Standard
Distribution and Client Data to Obtain a Client Loss Distribution,"
Conference of Actuaries in Public Practice (1985), Vol. 34,
503-511.
-
"Insurance
Calculations Using Incomplete Information," (with S. H. Cox, Jr.),
Scandinavian Actuarial Journal (1985), 94-108.
-
"Insurance Versus
Self-Insurance: A Risk Management Perspective," (with S.H. Cox, Jr. and
R.C. Witt), Journal of Risk and Insurance (June 1986), Vol. 53,
242-257. (This article won an award from The American Risk and Insurance
Association for outstanding Feature Article published in this journal in
1986.)
-
"Information
Theoretic Mortality Table Graduation," (with J. Zhang), Scandinavian
Actuarial Journal (1986), 131-140.
-
"Linearity and
Gaussianity of Interest Rate Data: an Empirical Time Series Test," (with
N. Sipra), Actuarial Science, (Festschrift Volume in honor of V.
M. Joshi) (1987), 173-183.
-
"How Public Policy
Can Define the Marketplace: The Case of Pollution Liability Insurance in
the 1980's," (with Linda L. Golden and Paul Aird), Journal of Public
Policy and Marketing (1990), Vol. 9, 211-226.
-
"Linear and
Nonlinear Stochastic Process Models in the Financial Theory of Insurance
Companies" (with Robert C. Witt), Proceedings of the Business and
Economic Statistics Section of the American Statistical Association,
(1990), 25-31.
-
"An Economic
Overview of the Excess and Surplus Lines Insurance," (with Robert C.
Witt and Paul Aird), Journal of Insurance Regulation
(1990), Vol. 9, No. 2, 234-258.
-
"An Overview of the
Reinsurance and the Reinsurance Markets," (with Robert C. Witt and Paul
Aird), Journal of Insurance Regulation (March 1991), Vol. 9, No.
3, 432-454.
-
"Relevant
Distributions for Insurance Prices in an Arbitrage Free Equilibrium,"
(with Robert C. Witt), Journal of Risk and Insurance (March
1991), Vol. 58, 13-29.
-
"Information
Theoretic Approach to Actuarial Science: A Unification and
Extension of Relevant Theory and Applications," Transactions of the
Society of Actuaries (1991), Vol. 43, 73-135. (This paper won
the Award for the Most Outstanding Statistical Application Article
published in any journal during 1991. The award is presented by
The American Statistical Association at their 1992 annual
meeting).
-
"Discussion of
Reitano's 'Statistical Analysis of Banded Data'," (with Samuel H. Cox),
Transactions of the Society of Actuaries (1991), Vol.
43.
-
"The Schmitter
Problem," (with M. Goovaerts and G. Taylor), ASTIN Bulletin
(1991), Vol. 21, No. 1, 129-132.
-
"Information
Theoretic Graduation of Multivariate Data" (with H. Li, Z. Huang, and D.
Thomas), Scandinavian Actuarial Journal (1991), Vol. 2,
144-153.
-
"The Competition for
Markets," (with Robert C. Witt and Paul Aird), Risk
Management (April 1992), Vol. 39, No. 4, 49-53.
-
"Turmoil in the
Texas Auto Insurance Market," (with Robert C. Witt), Texas Business
Review (October 1993)
-
"A Neural Network
Method For Obtaining An Early Warning of Insurer Insolvency," (with
Linda L. Golden, William W. Cooper, and Utai Pitaktong), Journal of
Risk and Insurance (September 1994), Vol. 61, No. 3,
402-424.
-
"Ambiguity, Risk
Charges, and Insurance Pricing," (with G.C. Lai, S.W. Pottier, and R.C.
Witt), Proceeding of the International Insurance Society (June
19-23, 1994) Madrid, Spain, pp. 298-311.. (This paper won the "Best
Paper Award" from the International Insurance Society for 1994 where it
was presented).
-
“The Genetics
Revolution: Insurer Needs versus Society’s Ethics," (with E.S.
Tankersley), Contingencies (January/February 1995), Vol. 7,
No. 1, 13-16.
-
"Corporate Spin-offs
as a Value Enhancing Technique when Faced With Legal Liabilities," (with
Richard MacMinn), Insurance: Mathematics and Economics
(April, 1995), Vol. 16, No. 1, 63-68.
-
“Obtaining a
Life Table for Spinal Cord Injury Patients Using Information Theory,”
(with Yun Song), Journal of Actuarial Practice (1995), Vol. 3,
No. 1, 77-91.
-
“Operations
Research in Insurance: a Review,” (with Xiaohua Xia),
Transactions of the Society of Actuaries, (1996), Vol. 47,
1-74.
-
“Actuarial Uses of
Grouped Data: An Information Theoretic Approach to Incorporating
Secondary Data,” (with S. Cox, Yun Song, F. Phillips, and B. Golany)
Transactions, of the Society of Actuaries, (1996), Vol. 17,
75-99. (This article won the Annual Prize given by the Society of
Actuaries for the best publication of the year in the Transactions,
of the Society of Actuaries).
-
“Statistical Tests
of Stochastic Process Models Used in the Financial Theory of Insurance
Companies,” (with R. C. Witt, B. Golany, N. Sipra, and X. Xia)
Insurance, Mathematics and Economics (1996), Vol. 18, 73-79.
-
“Tort Reform and
Mandated Insurance Rate Rollbacks,” (with C. McClellan), Texas
Business Review (February 1996).
-
“The Techniques for
Management of Property Risk used by Universities,” (with Stacy
Youngdale) URMIA, The University Risk Management and Insurance
Association Journal, Vol. 3, No. 1, (September 1996),
51-65.
-
“Bounds on the Price
of Catastrophe Insurance Options on Futures Contracts,” (with S. H. Cox,
and J. Smith), published in Securitization of Insurance Risks,”
Society of Actuaries Monograph Series (1996), Schaumburg,
Ill.
-
"Using Computer
Intensive Technologies to Aid Insurance Regulators: Early
Detection of Insolvency and Fraud," (with Linda L. Golden and Xiaohua
Xia), Impact : How IC2 Research Affects
Public Policy and Business Markets Edited by W.W. Cooper, D. Gibson,
F.Y. Phillips, S. Thore and A. Whinston, Quorum Books, Westport ,
Connecticut, (1997), pp. 111-130.
-
“The Genetics
Revolution, Economics, Ethics and Insurance,” (with E. Susan
Tankersley), Journal of Business Ethics. (1997) Vol. 16, pp.
1661-1676.
-
“A Case
Study in Applying Neural Networks to Predicting Insolvency for Property
and Casualty Insurers,” (with W.W. Cooper, L.L. Golden, and X. Xia),
Journal of the Operational Research Society, Vol. 48,
(1997), 1153-1162.
-
“Technological
Change and Its Impact on Risk Creation and Management,” Chapter 18
in International Risk and Insurance: Environments and
Management. Edited by Harold D. Skipper, Jr., Richard D.
Irwin, Inc., Press, (1998) pp. 443-466
-
“Using Khonen’s Self
Organizing Feature Map to Uncover Automobile Bodily Injury Claim
Fraud,” (with Xiaohua Xia and Richard Derrig), Journal of Risk
and Insurance (June 1998), Vol. 65, No. 2, 245-274.
-
“A Reexamination of
the Relationship Between Preferences and Moment Orderings by Rational
Risk Averse Investors” (with J. R.
Garven), Geneva Papers on Risk and Insurance Theory (1998), Vol.
23, 127-137.
-
“DEA Evaluation of
the Efficiency of Organizational Forms and Distribution Systems in the
U.S. Property and Liability Insurance Industry” (with W. W. Cooper, L.
L. Golden, J. J. Rousseau and Y. Yang), International Journal of
Systems Science (1998), Vol. 29, No. 11,
1235-1247.
-
“Preface to the
Issue on Genetic Testing,” North American Actuarial Journal
(1999), Vol. 3 No. 1, iii-iv.
-
“Genetic Testing,
Insurance Economics, and Societal Responsibility” (with Richard D.
MacMinn and Maureen Carter) North American Actuarial Journal
(1999), Vol. 3 No. 11-20.
-
“Underwriting and
Ambiguity: An Economic Analysis,” (Gene C. Lai, Stephen W.
Pottier, and Robert C. Witt) The Journal of Insurance Issues
(Spring 1999), Vol. 22 No. 1, pp. 1-25.
-
“A New
Stochastically Flexible Event Study Methodology with Application to
Proposition 103” (with H. Chen and
J. R. Garven) Insurance, Mathematics and Economics (November
1999), Vol. 25 No. 2, 197-217.
-
“Great (and not so
Great) Expectations: An Endogenous Economic Explication of Insurance
Cycles and Liability Crises” (with Gene C. Lai, Robert
C. Witt , Hung-Gay Fung, and Richard D. MacMinn) ), Journal of Risk
and Insurance (December 2000), Vol. 67, No. 4. (This paper won
second Prize in the International Brian Hey Prize Competition held by
the Institute of Actuaries in England and the Scottish Faculty of
Actuaries, presented October, 2000. This paper also won the ARIA
Research Prize given by the Casualty Actuarial Society August 14, 2001
to “the author(s) of that paper published by the American Risk and
Insurance Association (ARIA) which provides the most valuable
contribution to casualty actuarial science”.)
-
“Evaluating Solvency
and Efficiency Performances in U.S. Property - Liability Insurance
Companies” (with William W. Cooper, Linda L Golden, John J. Rousseau,
and Yuying Wang) to appear European Journal of Operations
Research.
-
"Fraud
Classification Using Principal Component Analysis of RIDITs" (With
Richard A. Derrig, Linda L. Golden, Arnold Levine, and Mark Alpert) to
appear Journal of Risk and Insurance (September
2002).
Articles
on Theoretical Probability, Statistics, and Stochastic
Processes
-
"Admissible
Transformations of Measures," Semigroup Forum (1976), Vol. 12,
21-33.
-
"A Conditional
Dichotomy Theorem for Processes with Independent Increments," (with H.
G. Tucker), Journal of Multivariate Analysis (1977), Vol. 7, No.
1, 13-27.
-
"Variational Sums of
Infinitesimal Systems," Zeitschrift fur Wahrcheinlichkeitstheorie und
verw. Gebiete (1977), Vol. 38, 293-307.
-
"Approximating
Moment Sequences to Obtain Consistent Estimates of Distribution
Functions," Sankhya: The Indian Journal of Statistics, Series A,
Part 1 (1977), Vol. 39, 32-44.
-
"Supports of
Infinitely Divisible Measures on Hilbert Space," Annals of
Probability, (1977), Vol. 5, No. 6, 1012-1017.
-
"On a
Characterization of RIDITS," (with A. Levine), Annals of
Statistics,(1977), Vol. 5, No. 4, 1245-1248.
-
"The Distribution of
the Likelihood Ratio for Two Additive Processes," (with W. N. Hudson and
H. G. Tucker), Journal of Multivariate Analysis (1978), Vol. 1,
No 3, 339-372.
-
"The Effect of
Random Scale Changes on Limits of Infinitesimal Systems,"
International Journal of Mathematics and Mathematical Sciences
(1978), Vol. 8, No. 3, 339-372.
-
"Transformations of
Discrete Data for Use with Fisher's Linear Discriminant Function," (with
C. Wolf), Proceedings of the Business and Economic Section of the
American Statistical Association (1979), 569-573.
-
"M.D.I. Estimation
via Unconstrained Convex Programming," (with A. Charnes and
W. W.
Cooper), Communications in Statistics Series B, Computation and
Simulation (1980), Vol. 9, No. 3, 223-234.
-
"Zeros of Densities
of Infinitely Divisible Measures," (with W.N. Hudson), Annals of
Probability (1980), Vol. 8, No. 2, 400-403.
-
"On the Unimodality
of High Convolutions," (with J. H. B. Kemperman), Annals of
Probability (1982), Vol. 10, No. 1, 270-277.
-
"Variational Sums
and Generalized Linear Process," (with W. N. Hudson), Stochastics
(1982), Vol. 8, No. 3, 181-192.
-
"Constructing a
Unimodal Prior Distribution" (with A. Charnes and K. H. Paick),
Proceedings, Memorial del X Congreso de la Academia Nacional de
Ingenieria de Mexico, Cuidad Obregon, Mexico (September 1984),
145-148.
-
"Optimal Detection
in Linear Reverberation Noise," in Statistical Signal Processing,
E. Wegman and J. Smith, eds., Marcel Dekker, Inc. (1984),
133-140.
-
"The Likelihood
Ratio Detector for Non-Gaussian Infinitely Divisible and Linear
Stochastic Processes," Annals of Statistics (1984), Vol. 12, No.
2, 737-744.
-
"Computation of
Minimum Cross Spectral Density Estimates: An Unconstrained Dual Convex
Programming Method," (with A. Charnes and K. H. Paick), IEEE
Transactions on Information Theory (March 1986), Vol. IT-32, No. 2,
236-242.
-
"Quadratically
Constrained Information Theoretic Analysis," (with J. Zhang), SIAM
Journal of Applied Mathematics (August 1987), Vol. 47, No. 4,
871-885. (This article was nominated for the award by the American
Statistical Association for the most outstanding statistical application
paper of the year.)
-
"Nonlinear and
Non-Gaussian Ocean Noise," (with M. J. Hinich and G. Wilson), Journal
of the Acoustical Society of America (October 1987), Vol. 84,
No. 4, 1386-1394.
-
"Variance Bounds
Using a Theorem of Polya," (with B. C. Arnold), Statistics and
Probability Letters (April 1988), Vol. 6, No. 5,
321-326.
-
"Bispectral Based
Tests for the Detection of Gaussianity and Linearity in Time Series,"
(with M. J. Hinich and D. Patterson), Journal of the American
Statistical Association (September 1988), Vol. 83, No. 403,
657-664.
-
"Bispectral
Characterization of Ocean Acoustic Time Series: Nonlinearity and
Non-Gaussianity," (with M. J Hinich and G. Wilson), in Topics in
Non-Gaussian Signal Processing, E. Wegman, S. Schwartz, and J.
Thomas, eds., Springer-Verlag (1989), 2-16.
-
"An Information
Theoretic Approach for Identifying Shared Information and Asymmetric
Relationships Among Variables," (with Linda L. Golden and Mary R.
Zimmer), Multivariate Behavioral Research (October 1990),
Vol. 25, No. 4, 479-502.
-
"An Information
Theoretic Approach to Geometric Programming," (with A. Charnes),
Mathematics of Operations Research (November 1991), Vol. 16, No.
4, 888-889.
-
"On Distributions
Whose Component Ratios are Cauchy," (with Barry C. Arnold), The
American Statistician (1992) Vol. 46, No. 1, 25-26.
-
"The Golden
Numerical Comparative Scale Format for Economical Multiobject/
Multiattribute Comparison Questionnaires," (with L.L. Golden, G. Album,
and J. Zatarain), Journal of Official Statistics (1992), Vol. 8,
No. 1, 77-86.
-
"Information
Theoretic Unimodal Density Estimation," (with A. Charnes and K.H.
Paick), IEEE Transactions on Information Theory (May 1995), Vol.
41, No 3, 824-829.
-
“Constructing a
Unimodal Bayesian Prior Distribution from Incompletely Assessed
Information,” (with Linda L. Golden and Kwang H. Paick), in Advances
in Econometrics: Applying Maximum Entropy to Econometric
Problems, Thomas Fomby, Ed. (1997) Vol. 12 pp. 201-216.
-
“A Comparitive
Analysis of Neural Network and Statistical Methods for Predicting
Consumer Choice,” (With Patricia West and Linda Golden), Marketing
Science (1997) Vol. 16 No.
4 pp. 370-391.
Articles
on Business and Social Science
-
"A Methodology for
Determining High Risk Components in Urban Environments," (with W.
Bertrand and A. Levine), International Journal of Epidemiology
(1979), Vol. 8, No. 2, 161-166.
-
"A Characterization
of Divergence with Applications to Questionnaire Information," (with
P.D. Haaland and A. Levine), Information and Control (1979), Vol.
41, No., 1-8.
-
"Information
Theoretic Stepwise Selection of Discriminating Discrete Variables,"
(with P. D. Haaland and A. Levine), Memorial del V Congreso de la
Academia Nacional de Ingenieria de Mexico (September 1979),
229-232.
-
"Spatial
Relationships Among Epidemiological and Community Populations," (with M.
Lewis), Psychological Bulletin (1980), Vol. 88, No. 2,
296-306.
-
"Statistical
Recognition of Trends in Monitoring Systems," (with J. H. B. Kemperman),
Methods of Information in Medicine (1980), Vol. 19, No. 2,
106-122.
-
"A Note on the
Numerical Assignment of Scores to Ranked Categorical Data," Journal
of Mathematical Sociology (1981), Vol. 8, 91-101.
-
"Information
Theoretic Analysis of Questionnaire Data," (with A. Levine and P.
Haaland), IEEE Transactions on Information Theory (July 1981),
Vol. 1T-27, No. 4, 438-446.
-
"The Unimodal
Maximum Entropy Distribution," Economic Letters (1983), Vol. 12,
261-267.
-
"Chance Constrained
Programming Approach to Cost Volume Profit Analysis," (with A. Charnes,
W. W. Cooper, and H. C. Shin), Accounting Review (1984), Vol. 59,
No. 3, 474-487.
-
"Probability Bounds
on Downtimes," (with M. J. Hinich), Naval Research Logistics
Quarterly (1985), Vol. 32, 329-335.
-
"The Numerical
Comparative Scale in Country Image Studies," (with J. Zatarain, L.L.
Golden, G. Album, and R. Kerin), Proceedings of the National
Institute of Decision Sciences Conference (1986), Vol. 1, 515-517.
-
"The Effect of
Alternative Scoring Techniques on the Analysis of Rank Ordered
Categorical Data," (with L. L. Golden), Journal of Mathematical
Sociology (1987), Vol. 12, No. 4, 383-414.
-
"Cost-Volume-Utility
Analysis with Partial Stochastic Information," (with A. Charnes, W.W.
Cooper, and H.C. Shin), The Quarterly Review of Economics and
Business (Autumn 1987), Vol. 27, No. 3, 70-90.
-
"A Class of Utility
Functions Containing All The Common Utility Functions," (with L. L.
Golden), Management Science (August 1987), Vol. 33, No. 8,
955-964.
-
"Generating Ordered
Families of Lorenz Curves by Strongly Unimodal Distributions," (with B.
C. Arnold, C. A. Robertson, and B. Y. Shu), Journal of Business and
Economic Statistics (April 1987), Vol. 5, No. 2, 305-308.
-
"A New Method for
Identifying Asymmetric Relationships Among Variables: Information
Theory Applied to Affect, Location Convenience and Patronage Frequency,"
(with Linda L. Golden and Mary R. Zimmer) Proceedings of the Winter
Educator's Conference of the American Marketing Association
(1989).
-
"A Stochastic
Process Model for Venture Capital Decisions," (with S. Cox and J.
Gerberman), Proceeding of the Business and Economic Statistics
Section of the American Statistical Association (1990),
306-311.
-
"Chance Constrained
Programming Approach to Empirical Analyses of Mutual Fund Investment
Strategies" (with A. Charnes, W.W. Cooper, K.H. Kwon and T.W. Ruefli),
Decision Sciences (March/April 1992), Vol. 23, No. 2,
385-408.
-
"A Comment on 'Using
Rank Values as an Interval Scale' by Dowling and Midgley," (with Linda
L. Golden), Psychology and Marketing (May/June 1992), Vol. 9, No.
3, 255-261.
-
"The Contributions
of A. Charnes to Statistics" (with L. Seiford), Systems and
Management Science by Extremal Methods, F.Y. Phillips and J.J.
Rousseau, eds., Kluwer Academic Publishers, Boston/Dordrecht/London
(1992), 69-88.
-
"Risk, Return,
Skewness, and Preference" (with Yehuda Kahane), Management
Science (June 1992), Vol. 38 No. 6, 851-866.
-
“On the Relationship
Between Multiattribute Preference Relations and Summary Univariate
Preferences for Risk Averters,” (with J.H.B. Kemperman).
Conditionally accepted for publication in Management Science
pending a revision.
-
“A Generalized Data
Envelopment Analysis Model: Unification and Extension of Existing
Methods for Efficiency Analysis of Decision Making Units,” (with Gang Yu
and Q.L. Wei), Annals of Operations Research (1996), Vol. 66,
47-89.
-
"Using Rank
Statistics for Determining Programmatic Efficiency Differences in Data
Envelopment Analysis," (with B. Golany), Management Science
(March 1996), Vol. 42 No. 3, 466-472.
-
“Information Theory
as a Unifying Statistical Approach for Use in Marketing Research,” (with
A. Charnes, W.W. Cooper, D.B. Learner and F.Y. Phillips) European
Journal of Operations Research, (1995), Vol. 84, 310-329.
-
“Flexible Purchase
Frequency Modeling,” (with Linda L. Golden and Harry H. Panjer)
Journal of Marketing Research (June 1994), Vol. 33,
94-107.
-
“Construction
of all DEA Efficient Surfaces of the Production Possibility Set under
the Generalized Data Envelopment Analysis Model,” (with G. Yu, Q. Wei,
and L. Zhou). European Journal of Operational Research (1996),
Vol. 95, 491-510.
-
“A Study of
Evaluation of Mutual Fund Investment Strategies,” (with W. W. Cooper, K.
H. Kwon, and T. W. Ruefli), appears in Essays in Decision
Making: A Volume in Honor of Stanley Zionts (Berlin:
Springer-Verlag 1996), Edited by Mark Karwan, Jaap Spronk and Jyrke
Wallenius, 237-274.
-
“An
Application of Rank statistics to DEA and OECD Country Productivity
(with Linda L. Golden and Shan Li) Northeast Decision Sciences
Institute 1996 Proceedings, Edited by Shaw Chen, Omnipress
Printers, Madison WI, April, 1996, pp. 575-577.
-
“New
Approaches for Analyzing and Evaluating the Performance of Financial
Institutions,” (with A. N. Berger, W. W. Cooper, and J.T. Pastor),
Preface to Special Issue of European Journal of Operational Research,
Vol. 98, No. 2, April, 1997, pp. 170-174.
-
“Data
Transformations in DEA Cone-Ratio Envelopment Approaches for Monitoring
Bank Performances,” (with A. Charnes, W. W. Cooper, Z. M. Huang,
and D. B. Sun), European Journal of Operational Research, (April
16, 1997) Vol. 98, No. 2, pp. 250-268.
-
“Forcasting and
Allocation of US Army Recruting Resources” (with B. Golany, J. J.
Rousseau, D. A. Thomas, and L. Zhou), Military Operations
Research, (1997) Vol. 3 No. 3, pp. 13-29. (This paper was a
Semi-finalist in Franz Edelman Competition for the most outstanding
application of management science techniques in practice, by the
Institute for Operations Research and the Management Sciences (INFORMS)
in 1995, and also a Finalist for the David Rist Prize for the most
outstanding paper on military operations research awarded by the
Military Operations Society, 1999)
-
“Identification
of Pareto-Efficient Facets in Data Envelopment Analysis,” (with U.
Pitaktong, J. Mote, and J. Rousseau), The European Journal of
Operations Research, (September 1998) Vol. 109, No.3, pp.
559-570.
-
“Inefficiency
and Congestion in Chinese Production Before and After the 1978 Economic
Reforms,” (with W. W. Cooper, Yuying Wang and Hong-Chul Shin),
Socio-Economic Planning Science, (1998) Vol. 32, No. 1,
pp. 1-20.
-
“Analysis of
Intertemporal Efficiency Trends Using Rank Statistics With and
Application Evaluating the Macro Economic Performance of OECD Nations”
(with B. Golany and S. Li), Journal of Productivity Analysis,
(1998) Vol. 11, 167-180.
-
“Identification
of Target Firms and Functional Areas For Strategic Benchmarking,” (with
Linda L. Golden, S. Sarin and J. Gerberman) In Press, The Engineering
Economist
Book
Reviews
-
Law of the
Internet by George B. Delta
and Jeffrey H. Matsuura, Aspen Law & Business Publishers 1999 (with
Linda L. Golden), Reviewed in Journal of Risk and Insurance Vol.
68, No. 2 (June 2001) pp.372-374. Law of
Insurance Contract Disputes, Second Edition by Jeffrey W.
Stempel, Aspen Publishers 2000, Reviewed in Journal of Risk and
Insurance Vol. 68, No. 1 (March 2001) pp.209-212.
-
Mathematical Models
in Finance, Edited by S. D.
Howison, F. P. Kelly and P, Chapman and Hall Publishing Company 1995,
ISBN 0 412 63070 2, Reviewed in North American Actuarial
Journal. Vol. 1, No. 1 (April 1997) p.110
-
Against the
Gods: The Remarkable Story of Risk, by Peter L.
Bernstein John Wiley and Sons, Inc. Publishing Company, New York 1996,
ISBN 0 471-12104-5 (with Henry Wurts), Reviewed in North American
Actuarial Journal. Vol. 1, No. 2 (April 1997) pp.
105-107.
-
Rupp’s Insurance and
Risk Management Glossary, by Richard V.
Rupp, NILS Publishing Company, Chatsworth, California 1996, ISBN
0-89246-446-1, Reviewed in North American Actuarial
Journal. Vol. 1, No. 2 (April 1997) p. 107.
-
Insurance Risk
Models Harry H. Panjer.and
Gordon E. WIllmot, Society of Actuaries Publishers, Chicago, Ill.
(1992), Reviewed in Journal of Risk and Insurance (March 1994),
Vol. 61, No. 1, 156-157.
-
Progress in
Decision, Utility and Risk Theory, Attilla Chikán,
ed., Kluwer Academic Publishers, Dortrecht/Boston/London (1991),
Reviewed in Journal of Risk and Insurance (June 1993), Vol. 60,
No. 11, 333-334.
-
Multivariate
Analysis of Variance and Repeated Measures: A Practical Approach For
Behavioral Scientists, by D. J. Hand and
C. C. Taylor, Chapman and Hall (with Linda L. Golden) Reviewed in
Journal of Marketing Research (February 1991), Vol. 28,
114-115.
-
Psychological
Foundations of Economic Behavior, by Paul Albanese
(Ed.), Praeger Publishers (with Linda L. Golden) Reviewed in Journal
of Marketing Research (February 1991), Vol. 28, 115-116.
-
Stochastic Processes
in Underwater Acoustics, by C.R. Baker,
Springer-Verlag, Lecture Notes in Control and Information Sciences #85.
(with M.J. Hinich), Reviewed in Journal of the Acoustical Society of
America (1989).
-
Managerial Decision
Analysis, by Danny Samson,
Irwin Press (with Antoine Laurence), Reviewed in Journal of Risk and
Insurance (1989) Vol. 57, p. 581.
-
Model
Selection, by H. Linhart and
W. Zucchini, John Wiley and Sons, Reviewed in Journal of Marketing
Research (May 1988), Vol. 25, 214-215.
-
Stochastic Methods
in Economics and Finance, by A. Malliaris and
W. Brock, (with S. H. Cox, Jr.) Reviewed in Journal of the American
Statistical Association (1984), Vol. 80, 236-237.
-
Comparative
Statistical Inference (2nd edition), by Vic Barnett,
Reviewed in Journal of the American Statistical Association
(1983), Vol. 78, No. 382, 503.
-
Techniques in
Operations Research Vol. 2, Models, Search and
Randomization, by B. Conolly,
Reviewed in Journal of the American Statistical Association
(1982), Vol. 77, 688.
-
Mathematical
Programming for Operations Researchers and Computer
Scientists, by A. Holtman,
Reviewed in Journal of the American Statistical Association
(1982), Vol. 77, 688.
-
Information Theory
as Applied to Chemical Analysis, by Eckschlager and
Stepanek, John Wiley Interscience (1979), Reviewed in Journal of the
American Statistical Association (1981),. Vol. 76, 209.
-
The H-Function with
Applications in Statistics and Other Disciplines, by A. M. Mathai and
R. K. Saxena, Halsted Press, Reviewed in Journal of the American
Statistical Association (1980), Vol. 75, 241- 242.
-
The Asymptotic
Theory of Extreme Order Statistics, by Janos Galambos,
John Wiley Interscience (1978), Reviewed in Journal of the American
Statistical Association (1980), Vol. 75, 473-474.
-
Decomposition of
Superpositions of Density Functions and Discrete
Disributions, by Pal Medgyessy,
Halsted Press, Reviewed in Journal of the American Statistical
Association (1978), Vol. 73, 895-896.
-
Characterizations of
the Normal Probability Law, by A. M. Mathai and
G. Pederzole, Halsted Press, Reviewed in Journal of the American
Statistical Association (1978), Vol. 73, 896.
-
Two Essays on
Entropy, by Rudolf Carnap,
University of California Press, Reviewed in Journal of the American
Statistical Association (1978), Vol. 73,
896.
GRANTS AND
CONTRACTS RECEIVED
1999
Validation
Procedures for Property-Casualty Claim Fraud Indicators’ (with Richard
Derrig and Xiaohua Xia) from the Journal of Insurance
Regulation from the National Association of Insurance
Commissioners
1994-1995
“Revalidation and Upgrade of the Enhanced FAARS-SHARE Model.” Granting
Organization: U.S. Army Research Office
“Alternative
Technical Methods for Predicting Insolvency of Life and Health Companies”
(with James Jarrett), from the Texas Department of Insurance
“A
Validation of the Texas Early Warning System” (with James Jarrett), from
the Texas Department of Insurance
1992
"Reserve Forecasting and Allocation of Army Recruiting Resources Study --
Sequential Hierarchical Allocation of Resource Elements (FAARS-SHARE)
Systems.” Granting Organization: U.S. Army Research
Office
1999-1993
“Development of a Vector Extremal Model for the Navy's Awaiting
Instruction Problem,” (with Gang Yu). Granting Organization:
Office of
Naval
Research
1993-1994
“An Analysis of Pricing and Availability Problems in the Texas Auto
Insurance Market” (with Bob Witt). Granting Organization:
National
Association of Independent Insurers
Research Grant from The Actuarial Education and Research Fund of The
Society of Actuaries for “Operations Research in Insurance”
1990-1991
“An Analysis Focused Taxonomy of Risk, Uncertainty, Ambiguity and
Incomplete Information in Modeling and Decision Making in Insurance
Operations.” Granting Organization: College of Business
Administration Summer Research Award
University Research Institute - Faculty Research Assignment (One semester
off with pay for Spring 1991)
"Statistical Models for Early Warning Systems of Insurance Company
Insolvencies," (with W.W. Cooper). Granting Organization:
Texas State Auditor's Office
1989-1990
CBA Faculty Academic Development and Research Committee - Summer research
award
University Research Institute-Small Research Grant ($500)
“Information Theoretic Unification of Solutions of Problems in Actuarial
Science: Research and Study Note.” Granting Organization:
Actuarial Education and Research Fund (AERF), Society of
Actuaries
1988-1989
CBA Faculty Academic Development and Research Committee - Summer research
award
1987-1988
“Chebychev Systems of Functions as a Unifying Technique for some problems
in Finance, Economics, and Insurance.” College of Business
Administration Summer Research Award
1986-1987
“Information Theoretic Analysis of Discrete Data.” Granting
Organization: College of Business Administration Summer Research
Award
1986-1987
“Computation of Information Theoretic Statistics.” Granting
Organization: University Research Institute
1986-1987
“Computation of Information Theoretic Statistics.” Granting
Organization: IBM Project Quest (joint with L. L. Golden and R.A.
Peterson)
1984-1987
“Non Gaussian Ocean Surveillance” (with the Applied Research Laboratories,
The University of Texas at Austin). Sponsor: Office of Naval
Research
1980-1984
“Characterization of Non-Gaussian Stochastic Processes in Underwater
Acoustics and Development of Signal Processing Algorithms.”
(Joint effort with C. Baker, University of North Carolina, and the Applied
Research Laboratories, The University of Texas at
Austin).
Sponsor:
Office of Naval Research
1978-1980
“Statistical Tools for Determining Fitness to Fly.” Contracting
Organization: U.S. Air Force (Brooks Air Force School of
Aerospace
Medicine, San Antonio, Texas).
Co-Principal Investigator: G. Shea
1978
“Statistical Analysis
of Stochastic Processes with Independent Increments.” Granting
Organization: National Science Foundation
1976
“Admissible
Transformations of Measures on Locally Compact Groups.” Granting
Organization: Tulane University Committee on Faculty
Research
INVITED
ADDRESSES, LECTURES, AND PAPERS PRESENTED
1974
"An Index for Convergence of Sums of Independent Random Variables,"
November 1974 meeting of the American Mathematical Society at the
University of Southern California
1975
"A Methodology for Inverting Mixing Distributions," April 1975, University
of Wisconsin-Parkside Mathematics Department
"Estimating Mixing Distribution Functions via Moments," Tulane University
Mathematics Department, New Orleans, April 1975
1976
"Limit Distributions of Sums Under Mixing of the Scale Parameter," Invited
talk at March 1976 meeting of the Institute of Mathematical Statistics
held at Texas A & M University
"Admissible Transformations of Measures," January 1976 meeting of the
American Mathematical Society in San Antonio, Texas
"Support of Infinitely Divisible Measures on Hilbert Space," special
session on probability and statistics, November 1976, meeting of American
Mathematical Statistics in Albuquerque, New Mexico
1977
"Design and Mathematical Analysis of Questionnaires," Colloquium Lecture,
Department of General Business, December 1977, The University of Texas at
Austin
1978
"Approximating Moment Sequences to Obtain Consistent Estimates of
Distribution Functions," January 1978 Annual Meeting of American
Mathematical Society in Atlanta, Georgia.
Chairman, session on Probability Theory and Stochastic Processes, January
5, 1978 Annual Meeting of American Mathematical Society, Atlanta,
Georgia
"A Methodology for the Analysis of Categorical Questionnaires," January
1978 lecture, Brooks Air Force Base, Biomedical Computation Division, San
Antonio, Texas
"A Characterization of Information Divergence with an Application to
Questionnaire Information," American Mathematical Society Meeting, April
1978, San Francisco, California
"A Mathematical Analysis of Questionnaires," Austin Chapter of the
American Statistical Association, May 1978
“Zeros of the Densities of Infinitely Divisible Probability Measures,”
Colloquium, Mathematics Department, Tulane University, October
1978
“Information Theory and Statistics,” Mathematics Department Colloquium,
Tulane University, October 1978
1979
“Recognition of Trends in Health Monitoring Systems with Low Reliability
Data,” Austin Chapter, American Statistical Association, January
1979
meeting
“Discriminant Analysis with Categorical Information,” invited talk, April
30, 1979 meeting, Operations Research Society of America, New
Orleans
“Non-parametric Tests for Trends,” Department of Mathematics Colloquium
Lecture, Tulane University, May 1979
“Information Theoretic Discrete Variable Selection,” June 1979 meeting of
the Institute of Mathematical Statistics, Los Angeles
“Minimum Discrimination Information Estimation via Unconstrained dual
Convex Programming,” September 1979, Fifth Congress of the National
Academy of Engineering of Mexico (National Academy of Sciences
of Mexico), Morelia, Mexico
“Monitoring Adverse Reactions to Drugs by Non-parametric Statistical
Methods,” October 1979, Colloquium, University of Louisville, Louisiville,
Kentucky
1980
“Discrimination Without Training Samples, with Applications to World
Health Organization Data,” February 1980, Department of Statistics
Colloquium, University of California, Riverside
“High-Low Discriminant Analysis of Categorical Data Using RIDITS,” invited
presentation for session on discriminant analysis, Biometric Society
Meeting, March 1980, Charleston, South Carolina
“Statistical Techniques for Determining Fitness to Fly,” March 1980,
Brooks Air Force School of Aerospace Medicine, San Antonio,
Texas
“Statistical Model for Survival Incorporating Time Dependent Covariates,”
Austin Chapter, American Statistical Association, May 1980
“Unimodality of High Convolutions,” Department of Mathematics Colloquium,
October 1980, University of California, Riverside
“Using Time Dependent Covariates to Assess Survival Probabilities with an
Application to Heart Disease,” December 1980, Colloquium, University of
California, Irvine, Community & Environmental Medicine, and Southern
Occupational Health Center
1981
“Analysis of Categorical Questionnaires with an Application to Marketing
Research,” Seminar in the Finance Workshop, January 1981, Graduate School
of Management, University of California,
Irvine
“A Periodic Check Up Statistical Model for Heart Disease in Air Force
Fliers,” February 1981 Colloquium, California State University at Long
Beach
“Periodic Check Up Survival Analysis Model,” April 1981 Colloquium,
Department of Statistics, University of California,
Riverside
1982
“Self Insurance and Regret,” April 1982, Risk Theory Seminar (Sponsored by
the American Risk and Insurance Association), Columbus,
Ohio
“Identifiability of Competing Risk Models,” June 1982, Institute of
Mathematical Statistics, San Diego, California
1983
“Self Insurance and Disutility,” Southwestern Risk and Insurance
Association, January 1983, Newport Beach, California
“Likelihood Detection for Infinitely Divisible Processes,” February 1983,
Department of Mathematics Colloquium, Tulane
University
“Non-Parametric Density Estimation,” June-July 1983, Non Gaussian Signal
Processing Conference (sponsored by the Office of Naval
Research)
“Optimal Choice Among Risky Assets for a Class of Utilities Containing All
Common Utility Functions,” Operations Research Society of America,
November 1983 Special Session on Quantitative Methods in Financial
Decision Analysis
“On Market Efficiency and the Lognormal Distribution of Returns,”
Operations Research Society of America, November 1983 Special Session on
Quantitative Methods in Financial Decision Analysis
Organizer and chairman of Special Session on Quantitative Methods in
Financial Decision Analysis, Operations Research Society of America,
November 1983
1984
"Bispectral Analysis of Underwater Acoustical Data," Non-Gaussian Signal
Processing Conference, Princeton, N. J., March 1984, sponsored by the
Office of Naval Research
"Constructing a Unimodal Prior Distribution," National Academy of
Engineering of Mexico, Cuidad Obregon, Sonora, Mexico, September
1984
"A Method for Constructing a Unimodal Prior Density," Actuarial Research
Conference, Society of Actuaries, Berkeley, California, October
1984
1985
"An Empirical Statistical Test of the Linear and Gaussian Time Series
Models for Interest Rate Series," May 1985 Symposia on Statistics and
Festschrift for Joshi, London Ontario, Canada
"Information Theoretic Methods for Insurance Calculations," August 1985,
American Risk And Insurance Association annual meeting, Vancouver, British
Columbia, Canada
1986
"Financial Consideration of Risk--Pluses and Minuses," Operations Research
Society of America, November 1986, Special Session on Quantitative Methods
in Financial Decision Analysis
1987
"Comparison of Risk Characteristics of Individual Decision Makers,"
(invited) International Risk Theory Symposium, Mathematics Institute,
Oberwolfach, Germany
"The Contributions of A. Charnes to Statistical Thought," (with L.
Seiford), Symposium Honoring A. Charnes on his Seventieth Birthday, Austin
Texas.
1989
"A New Method for Identifying Asymmetric Relationships Among
Variables: Information Theory Applied to Affect, Location
Convenience and Patronage Frequency," (with Linda L. Golden and Mary R.
Zimmer), Winter Educator's Conference of the American Marketing
Association, February 1989, St. Petersburg, Florida
1990
"Linear and Nonlinear Time Series Models in the Financial Theory of
Insurance Companies," (co-authored with Robert C. Witt), Invited lecturer
at the American Statistical Association Annual Meeting, Anaheim,
California. This session was jointly sponsored by the Business and
Economic Statistics section of the ASA and by the Society of
Actuaries
"Stochastic Process Models for Ventured Capital Decisions," (with Samuel
Cox, and James Gerberman), Business and Economic Statistic section of the
American Statistical Association annual meeting, Anaheim,
California
"Risk, Return, Skewness and Preference," (with Yehuda Kahane), August
1990, The American Risk and Insurance Association Annual Meeting in
Orlando, Florida
Discussant of the paper "Fuzzy Trends in Automobile Insurance," by J.
David Cummins and Richard Derrig, at the American Risk and Insurance
Association Annual Meeting in Orlando, Florida
1991
"Fun With Moment Problems--The Schmitter Problem," (invited) International
Risk Theory Symposium, Mathematics Institute, Oberwolfach,
Germany
"A Reexamination of the Relationship Between Moment Preferences And
Utility," April 1991, the Risk Theory Seminar of the American Risk and
Insurance Association, Penn State University
"Event Frequency Modeling: A Unification of the Mixed And Compound Poisson
Distributions With Application To Purchase Frequency Events," (with Linda
Golden and Harry Panjer), invited presentation, July 1991,
ORSA/TIMS/SOBRAPO Joint International Conference, Rio de Janeiro,
Brazil
"A Chance Constrained Programming Approach To Pension Plan Management,"
(with Abraham Charnes and Li Sun), August 1991, American Risk and
Insurance Association Annual Meeting
1992
"Venture Capital Financing," Instituto Technologico De Monterey, April
10-11, 1992, Mexico City, Mexico
1993
"Superfund Reforms and the Impact on the Insurance Industry," July 1993,
National Conference of Insurance Legislators (invited), Washington
D.C.
"The Genetics Revolution, Economics, Ethics, and Insurance," (with E.
Susan Tankersley) August 1993, American Risk and Insurance Association
Annual Meeting, San Francisco California
"Using Neural Networks to Detect Early Warnings of Insurance Company
Insolvencies," (with Linda L. Golden, Utai Pitaktong, and W.W. Cooper),
August 1993, American Risk and Insurance Association Annual Meeting, San
Francisco, California
"Environmental Liability: The Role of Insurance," American Public
Power Association (invited), October 1993, Austin,
Texas
Selected member of an eight-person international group of medical
informatics specialists to go to Hungary (Budapest and Szeged) and Russia
(Moscow and St. Petersburg) and meet with academic and scientific
colleagues, and members of the Academy of Sciences in these
countries
Chairman of session on Issues in Business Education, Fourth Symposium on
Cross-Cultural Consumer and Business Studies, December 1993, Kahuku,
Hawaii.
1994
"New Approach to Event Study Methodology with an Application to
Proposition 103," August 1994, American Risk and Insurance Association
Meeting
"Stochastic Process Models for Financial Time Series in Insurance,"
Meeting on Risk Theory, September 18-14, 1994, Mathematics Research
Institute, Oberwolfach, Germany
"Information Theoretic Applications to Actuarial Science," Meeting on Risk
Theory, September 18-14, 1994, Mathematics Research Institute,
Oberwolfach, Germany
1995
"Claims Made versus Occurrence: Debunking Some Myths and Developing
Some Finance Pricing Models," January 1995, Western Risk and Insurance
Meeting, Las Vegas, Nevada
"Kohonen Feature Maps for Detecting Bodily Injury Fraud Claims in
Automobile Insurance," January 1995, Massachusetts Automobile Insurance
Bureau, Boston, Massachusetts
"Risk Management for Software Development Companies," American Defense
Preparedness Association Test & Evaluation Symposium XI, January 31,
1995, held at the IC2 Institute,
Austin,
Texas
"Rank Statistical Methods for Detecting Efficiency Differences in
Intertemporal DEA Analysis," Computational Economics Society
Meeting, May 1995 Austin, Texas
“Information Asymmetries and Insurance Futures Options,” The Bowles
Symposium on the Securitization of Insurance Risks, May 24-26, 1995
Georgia State University, Atlanta, Georgia
“Pattern Recognition Methodology: A New Approach for Identifying
Fraudulent Claims in Government Programs,” the National State
Auditors Association Annual Conference, June 8-10, Phoenix,
Arizona.
“Information Asymmetries and Insurance Futures Options, American Risk and
Insurance Association Annual Meeting, August 1995, Seattle,
Washington.
"Kohonen Feature Maps for Detecting Bodily Injury Fraud Claims in
Automobile Insurance," American Risk and Insurance Association Annual
Meeting, August 1995, Seattle, Washington.
1996
“An Application of Rank Statistics to DEA and OECD Country Productivity”
(with Linda L. Golden and Shan Li) Presented to the Northeast
Decision Sciences Institute annual meeting, St. Croix, V.I., April
1996.
“The Use and Impact of Information Technology and the Internet on Risk
Management and Insurance,” Presented to the Austin Chapter of the
CPCU, 1996
“The Effect of Provider Autonomy and the Efficiency of HMOs,” (with John
Rousseau and J. Semple) August, 1996, American Risk and Insurance
Association Annual Meeting, Philadelphia, Penn
Houston Marine Insurance Seminar, attended and received $10,000 in
scholarships for students in Risk Management and Insurance, Houston, Texas
September, 1996
“Provider Autonomy and the Efficiency of HMOs,” 1996, Health Care
Management Seminar, University of Texas at
Austin
“Risk Management and Business Risk”, October 1996, Videotaped
Interview for a PBS film documentary to be aired in 1997
Society of Actuaries Annual Meeting, attended and received Annual Prize
for most outstanding publication in the Transactions of the Society of
Actuaries for the year 1996, Orlando, Florida, November
1996
"Issues in the Deregulation of Commercial Lines of Insurance,” presented
to NCOIL (National Conference of Insurance Legislators) Annual Meeting in
Austin, Texas, November 18, 1996.
1997
“An Evaluation of the
Efficiency of Different Marketing Distribution Systems in the Insurance
Industry” (With Linda Golden, John Rousseau and Yuying Wang), Western Risk
and Insurance Association Annual Meeting, Santa Barbara, California,
January 1997.
2000
"Fraud Classification Using Principal Component Analysis of RIDITs"
August, 2000, American Risk and Insurance Association Annual
Meeting, Boston, Mass.
“Current Issues and
Research Topics in Risk Management,” Actuaries Club of the
Southwest, November 2000
2001
"Fraud Classification Using Principal Component Analysis of RIDITs" July,
international Insurance Mathematics and Economics conference, invited
Plenary Keynote address, Penn State University, State University Penn.
"DEA
Evaluation of Efficiency of Marketing Distribution Systems in the U.S.
Property-Liability Insurance Industry: A Financial Intermediary
Approach"
Western Risk and Insurance Association annual
Meeting, January, 2001, Santa Barbara, Calif.
"Modeling
and Predicting Automobile Insurance Fraud " Western Risk and Insurance
Association annual Meeting, January, 2001, Santa Barbara,
Calif
"An Analysis
of the Efficiency of Joint Service Advertising Versus Service Specific
Advertising for Recruiting Success" Military
Operations
Research
Conference, West Point, June, 2001
“The History and
Future of Risk Research” Invited Presidential Address, American Risk and
Insurance Association Annual Meeting, Indianapolis, IN. August,
2001
Ph.D.
STUDENTS SUPERVISED
Name
Dissertation
Title
Year
Sipra,
Naim
Essays on Financial Models:
Portfolio
1986
Performance Measures,
Capital
Market
Equilibrium with Redundant Assets,
and
Intertemporal Fisher Hypothesis
Sun,
Li
On Some Problems of
Chance
1990
(Co-Chair, A.
Charnes)
Constrained Programming
Chang, Yang
Chun
Chance Constrained Programming
and
1990
(Co-Chair, A.
Charnes)
Chebychev Systems with Applications
Dalle Molle, John
William
Higher Order Spectral Analysis
and
1992
(Co-Chair, M.
Hinich)
the Trispectrum
Pitaktong,
Utai
Data Envelopment Analysis and
Applications
1993
(Co-Chair, J. Mote)
Chen, Hwei
Mei
A Dynamic Model for Event Study
Methodology:
1993
an Examination of the Reaction to
California’s
Proposition
103
Zhang,
Changning
Stochastic Programming and Optimal
Salesforce 1994
Compensation Schemes
Li,
Shan
A New Approach to Sensitivity Analysis of the
1995
DEA Models and Their Applications to
Ranking
and Productivity Growth
Xia,
Xiaohua
The use of Artificial Intelligence
Methods
1996
in Insurance Modeling
Song,
Yun
Information Theoretic Approaches
to
1996
Actuarial Science
Swan,
Scott
Essays on Robust Design: An Elaboration of
the
1997
(Co-Chair, M.
Katabe)
Typology, An Examination of Sutuational
Performance Implications, and a Comceptual
Extension
Jang,
Jaeho
Comparative Analysis of Statistical
Methods
1997
And Neural Networks for Predicting Life
Insurers’
Insolvency
Wang,
Yuying
Efficiency in the Property and
Liability
1997
Insurance Industry
Magee,
David
Neural Network Method for
Actuarial
1998
Claim Reserving
Zhou,
Li
The Navy’s Awaiting
Instruction
1998
Problem
Kang, Yu
(Frank)
Risk, Ambiguity and
Insurance
1998
Kwinn,
Michael
Efficiency of Joint versus
Service
2000
(Co-Chair, W.W.
Cooper)
Specific Advertising for Armed Service
Recruiting
Mulong
Wang
Financial Derivatives in Corporate
Risk
2001
(Co-Chair, R.
MacMinn)
Management
Ph.
D. STUDENT SUPERVISION IN PROCESS
Name
Dissertation
Title
Year
Wei,
Chenyang
Wang,
Mulong
(Co-Chair R. MacMinn)
PARTIAL
LISTING OF MEMBERSHIP ON PH.D. STUDENT COMMITTEES
Name
Dissertation
Title
Year
Haaland,
Perr
A New Approach to
Pattern
Detection
1977
Kung,
Mabel
Computational Procedures for
Obtaining
1980
Least Absolute Value Estimates
Nathan,
Edward
C.
An Examination of Auditor Decision
Making
1981
Behavior in the Preparation of
Audit Time Estimates
Harris,
Michael
Applications of Montmorillonite as
an
1981
Excipient in Solid Dosage
Forms
Halverson, Don
Ray
Discrete Time Detection of Signals
in
1981
Dependent Non-Gaussian
Noise
Kress,
Moshe
On Some Problems in Chance-Constrained
and
1981
Intertemporal Network Planning
Rousseau,
John
Game Theoretic Methods in Analysis
and
1981
Resolution of Cooperation and Conflict
in Economics
Starks,
Laura
Ann
The Investment Trust Relationship: An
Agency
1981
Theoretic
Approach
Cackowski,
Ted
Optimal Capital Structure: The
Risk
1982
of Bankruptcy and Regulated Industry
Duffuaa,
Salih
On Some Economic Distribution
and
1982
Network
Problems
Nelson,
Abraham
Goal Arc Methods in EEO
Planning
1982
and Control
Yao,
Harry
On Some Chance Constrained
Models
1982
for Finance and
Management
Haksever,
Cengiz
Effective Solution of
Non-Convex
1983
Multi-Objective Ratio Goals
Problems
Al-Yafi,
Adnan Abdulbadie Management of
Some Large-Scale
1983
Logistical Problems of the
Hajj
Lovegren,
Victoria
Informatics, Analysis, and Solution of
a
1984
Class of Constrained Integer Network Problems
Zhang,
Jianzhong
Trust Region Methods for
Nonlinear
1984
Optimization and Nonlinear
Approximation Problems
Urrutia,
Jorge
Theoretical Derivation and Empirical Tests
of
1984
Two Financial Models of
Pricing
Lamm,
Joan
Marie
The Theoretical and Empirical Aspects
of
1983
Determining Underwriting Profit
Margins
Misra,
Lalatendu
Two Aspects of the Theory of Delegated
1985
Portfolio Management
Moridaira,
Soichiro
Two Essays on Economic and
Financial
1985
Theories of Insurance: Optimal Futures
for
Insurance Kuo,
Cheng-Kun
The Risk of Ruin in Futures Market
Trading
1986
Musumeci,
James Joseph Impact of Real
Return and Inflation
Risks
1987
on Bond Maturity
Decisions
Rodriguez, Ricardo
J.
Essays on Asymmetric Information
and
1986
Financial Market Theory
Lee,
Jeong
Wan
The Weekend Effect and the Nonlinear Model
--
1986
A Bilinear Approach
Ancel,
Esther
Estimations of the Statistical
Parameters
1986
of Stock Returns Implied on Option
Prices
Shin,
Hong-Chul
Optimal Hiring Decisions for
Entry-Level
1985
Auditors in Public Accounting
Firms
Song,
Tiantai
On Some Problems of Large
Scale
1985
Network
Algorithms
Golany,
Boaz
On Chance-Constrained, Competitive
and
1985
Cooperative Evaluational Methods
and
Some Problems of Dynamic Management
Eechambadi,
Narasimhan
Efficiency Analysis of Market Response and
the
1985
Marketing Mix: Extending Data
Envelopment
Analysis to a Competitive Environment
Moore,
Leslie
Ordering the Points in Factorial Experiments
1985
to Protect Against Early
Termination
Sueyoshi,
Toshiyuki
Goal Programming and Distribution
1985
Free Statistical
Estimation
Al-Faraj, Taqi
N.
Mathematical Models For Planning the
1986
Production, Refining and Marketing
of
Crude Oil and Refining Petroleum Products
Al-Zayer,
Jamal
A.
On Some Mathematical Planning Models for
the
1986
Management of the Oil, Gas, and
Petrochemical
Industry in Saudi Arabia
Childs,
Barbara
J.
The Cost of Debt and Its Effect on
1986
Prices of Multi-Family Housing
Chergui,
Boumedienne On
Optimization Methods for
Gas
1986
Liquefaction Production in Algeria
and for
a
Firewater Safety System for the
Holy
Area Of Mina, in Saudia Arabia
Dieck-Assad, Martin
J.
On Some Methods, Informatics
and
1986
Applications of Data Envelopment
Analysis
Gomez,
Jose
Alberto
On Some Problems of
Dynamic
1986
Distributional Planning for
Petroleum Distillates in Mexico
Hanizavareh,
Seyedabbas On Some
Problems of Interval Linear
1986
Programming
Paick,
Kwang
An MDI Approach to Statistical Pattern
1986
Recognition and Related
Applications
Divine,
John
Douglas
Efficiency Analysis and Management of
1986
Not for Profit and
Governmentally
Regulated Organizations
Friar,
Shirley
A.
Decision Making Under Risk: An
Experimental
1986
Study within a Business
Context
Lie,
Chin-Jen
The Financial Decisions of a Stock Life
1987
Insurance Company: Three
Essays
Azad,
Abbas
An Application of Chance-Constrained Theory
1988
to Dynamic Bank Balance Sheet
Management
Hogan,
Arthur
McClure
Organizational Form and Asset
Substitution
1988
Wolfe,
Michael
David
Constrained Network Modeling in
the
1988
Management of Optimal
Manpower
Scheduling and Modifications Design
Park,
Manyong
Incremental Information Contained in
SFAS
1988
No. 33 Disclosures: A Closer
Examination
Parker,
Mary
Multiparameter Estimation in Normal
1988
Distributions: The Slightly
Unequal
Variance Case
Rebello,
Michael Joseph
Managerial Compensation: A Human
1989
Capital
Perspective
Zhang,
Dagan
Optimization of Pursuit and
Reliability
1989
on Discrete
Graphs
Farsi,
Daryoush
Darabi On
Some Problems of Cyclical
Scheduling
1990
in Integer
Programming
Thomas,
David
Alan
Data Envelopment Analysis Methods in
the
1990
Management of Personnel Recruitment
under
Competition in the Context of U.S. Army
Recruiting
Semple,
John
On a Class of Dual Methods for
Quadratic
1990
Programming
Huang,
Zhimin
Vector Extremal Principles for Extensions of
1991
Game Theory and Data Envelopment
Analysis
Schellhorn, Carolin
D.
The Role of Subordinated Debt in
1991
Regulating Financial Institution
Riskiness
Kwon,
Ku-Hyuk
Chance Constrained Programming
and
1991
Other Approaches to Risk in
Strategic
Management
Collins,
James
Strategic Risk : An Ordinal
Approach
1991
Gong,
Linguo
Sensitivity and Stability Analysis
of
1991
Problems in Constrained
Programming
Cannon,
Susanne
Financial Intermediation and
Ownership
1991
Structure: Savings and Loan Associations
Under Alternate Regimes
Hong,
Soon
Koo
A Financial Theory of the Insurer's
1992
Capital
Structure
Koo,
Bon-Sung
Solvency Surveillance in the
Property/
1992
Casualty Insurance Industry: A
Financial
Analysis and Statistical Evaluation
Gerberman,
James
On Some Problems of Market
Planning
1992
Evaluation and Analysis in the
Presence
of Competitive and Stochastic
Effects
Li,
Hongyu
On Some Contributions to
Productivity
1992
Analysis of Firms in an Industry Overtime
Li,
Susan
Optimal Decision Making in
Restricted
1992
Markets
Park,
Kyunguk
A Signaling Model with the Investment
1993
Decision; A Hidden Knowledge
Approach
Markets
Baranoff,
Etti Financial
Analysis of the Life and Health
1993
Insurance Industry: A
Disaggregated
and Clustered Approach
Pottier,
Steven
Financial Economics of the Insurance
Firm
1994
Akkihal,
Shivanand Irappa Analysis and
Identification of Faults
in
1995
Distributed Hypothesis Testing
Systems
Jia,
Jiamin
Measures of Risk and Risk-Value
Theory
1995
Chatterjee, Abhijit
MASTER'S
STUDENTS SUPERVISED
Leone,
Mark
[Mathematics/Statistics]
Wolfe,
Candi
[Mathematics/Statistics]
Dalle Molle,
John
[Mathematics]
Lawrence,
Antoine
[Economics]
Kan,
Kenny
[Accounting/Risk Management]
Jones,
Mark
[Mathematics/Actuarial Science]
UNIVERSITY
AND COLLEGE SERVICE
-
Interview candidates
for Assistant Professor positions in Engineering, attend their talks,
and write recommendation letters, 1977-1979, 1983, 1987
-
Chair--CBA Ad-Hoc
Committee on the Mathematics requirement, 1982
-
Member--Center for
Statistical Studies Advisory Board, (U.T. campus-wide coordinating
committee), 1983-1992
-
Faculty Ad-Hoc
Committee to Investigate Formation of a Department of Quantitative
Methods, College of Business, The University of Texas at Austin,
1984
-
Admissions and
Registration Committee of the General Faculty, The University of Texas
at Austin, (1984-1986)
-
Member--CBA Faculty
Academic Development and Research Committee, (1985-1986)
-
Member--Ad-Hoc
Committee to Formulate Discussion Material On Statistics in the Business
School for the CBA Faculty Retreat, 1985
-
Recruitment of High
School Football Players: Help Athletic Department by showing recruits
around the Business School and answering questions,
1985
-
Member--Presidential
Committee for the Evaluation of the Dean, 1992
-
Member--MBA Revision
Task Committee, 1992
-
Member--Planning
Committee for Evaluating and Developing an Employee Assistance Program
for The University of Texas at Austin, 1992
-
Member--Advisory
Committee for UT Employee Assistance Program, 1992
-
Faculty Senate and
University Council, 1992, 1993
-
CBA College Retreat
Member 1992
-
University Police
Department Advisory Committee, 1993
-
Member--University
Research Institute Grant Evaluation Committee, 1993,
1994,1995
-
Member--University
Committee to Evaluate Small Research Grants, 1995
-
Member--University
Faculty Welfare Committee, 1996-98
DEPARTMENTAL
SERVICE
-
Budget Council
Representative for Associate & Assistant Professors of Finance,
1982-86
-
Executive Committee
Member, Department of Finance, 1986-1995
-
Actuarial Science
Program Director, 1986-September 1989
-
Actuarial Science
Advisor, Undergraduate and MBA, 1981-September 1989
-
Risk Management and
Insurance Advisor, Undergraduate and MBA, 1989-1992
-
Member--Ad-Hoc
Committee to Formulate Policy on Evaluating Full Professors,
1984
-
Member--Ph.D. Review
Committee, 1984.
-
Chairman--Committee
to Implement An Executive Committee for the Finance
Department
-
Member--Ph.D.
Admissions Committee, 1985-1988
-
Actuaries Club of
the Southwest Scholarship Committee
-
Member--Wortham
Chair Scholarship Committee
-
Actuarial Science
Program Review Committee Finance Department
-
Finance Department
Teaching and Research Awards Committee (acting chair 1984; chair 1985,
co-chair 1986, member 1987 and 1992, chair 1993, member
1994))
-
Committee to
Nominate Finance Department Internal Chair Candidates, 1985
-
Department
Undergraduate Curriculum Committee (member 1985 and 1987, chair
1986)
-
Departmental
Representative to University Human Subjects Committee
-
Director, Risk
Management and Insurance Program, 1995-1995-1992
-
Chairman, Risk
Management and Insurance Scholarships
-
Member MSIS
Department Budget Committee, 1995-
-
Chair, Risk
Management Faculty Search Committee 1999-2001
-
Several Ad hoc
Department Review Committees (Promotion reviews, Dean’s Fellow
Recommendation Committee, etc.) 2000-2001
MAJOR
AREAS OF INTEREST
-
Risk Management and
Insurance
-
Managing Financial
risk
-
Actuarial Science
-
Decision Analysis
-
Management Science
-
Statistical Analysis and Applications in Business
-
Information Theory
-
Probability Theory and Applications in Business
-
Stochastic Processes and Nonlinear Time
Series
COURSES
TAUGHT IN AREAS OF EXPERTISE:
-
Managing Environmental Risk
-
Managing International Risk
-
Mathematical Risk Theory
-
Risk Analysis and Management
-
Mathematical Theory of Risk
-
Introduction to Risk Management and Insurance
-
Economic and Financial Aspects of Risk Management and
Insurance
-
Life and Health Insurance
-
Pension Theory
-
Property and Casualty Insurance
-
Actuarial Science: Theory of Interest
-
Actuarial Science: Single and Multiple Decrement Life Contingency
Theory and Applications
-
Stochastic Calculus in Finance and Business
-
Questionnaire Analysis
-
Statistics (Graduate and Undergraduate)
-
Probability (Graduate and Undergraduate)
-
Games,
Gods and Gambling (History of the People and Ideas Responsible for the
Development of Probability and Statistics) Information
Theory
-
Biostatistics
-
Numerical Analysis
-
Differential Equations
-
Calculus
-
Linear Algebra
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