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This grant led to developments in flexible models for complex time series in a range of applications with a focus on Bayesian and Bayesian nonparametric methods. Three fundamental challenges were tackled: (i) capturing evolving correlations in high-dimensional time series with possible missing or irregularly-spaced observations, (ii) performing diverse subset selection over time, and (iii) automatically learning an unknown set of simple underlying temporal structures to describe complex dynamical phenomena. Each of these methods was applied in a range of application domains including neuroimaging, diverse document selection, speaker diarization, stock modeling, and target tracking.

There is reason to believe that technological approaches can help promote voluntary saving in 401(k) retirement accounts. Working with Vanguard, a leading 401(k) plan administrator, we are evaluating the impact of introducing innovations to websites made available to retirement plan participants. The first innovation is a ???Boost Your Saving??? dial added to several plan homepages immediately after participants log on. The second innovation is a red/yellow/green ???Traffic Signal??? that can help people evaluate how well they are prepared for retirement. Our goal is to examine contribution and portfolio allocation patterns in the cross-section and also compare pre/post outcomes. The present report provides a preliminary evaluation of the impact on 401(k) plan saving decisions of the web-based savings dial, designed to increase the salience of retirement saving. In what follows, we outline the innovation and some preliminary results. We show that including the savings dial on participants??? webpages did boost plan contribution rates. Nevertheless the effect appears to have dissipated after several months, perhaps due to the skewed distribution of participant web logons or to exogenous tax law changes occurring during our evaluation period. We are continuing to evaluate the experiment over time to measure its long-term effects.

In April of 2013, the Pension Research Council of the Wharton School at the University of Pennsylvania convened a Technical Review Panel, comprising ten experts whose task it was to review the Pension Benefit Guaranty Corporation???s (PBGC) Pension Insurance Modeling System (PIMS), including inputs, outputs, and model assumptions. The review was intended to provide a formal evaluation of the technical adequacy of the model by outside experts. Each expert participating on the Technical Panel was asked to review background material (see References) and focus on a particular aspect of the PIMS model. The list of panelists and topics was developed by the Council in discussion with the Social Security Administration (SSA). This report and the appended papers herein from our Technical Panel comprise the Final Report under this project. The Panel???s key findings may be summarized as follows: (1) The PIMS models are an important and valuable tool in modeling the Agency???s liability risk. To the best of our knowledge, there is no other model that can do a comparable job. (2) Nevertheless, some improvements could be integrated in the Agency???s approach to modeling. Those deserving highest priority attention in the experts??? view are the following: (a) Incorporating systematic mortality risk (i.e., treat mortality and longevity as stochastic variables); (b) Including new asset classes increasingly found in defined benefit plan portfolios (e.g., commercial real estate, private equity funds, infrastructure, hedge funds, and others); (c) Developing a more complex model for the term structure of interest rates; and (d) Incorporating an option value approach to pricing the insurance provided. (3) The Agency could also do more to communicate the range of uncertainty and potential for problems associated with the PBGC???s financial status. This could include additional information including the Conditional Value at Risk (CVaR), and perhaps an ???intermediate,??? ???optimistic,???

Household decisions are profoundly shaped by a complex set of financial options due to Social Security rules determining retirement, spousal, and survivor benefits, along with benefit adjustments that vary with the age at which these are claimed. These rules influence optimal household asset allocation, insurance, and work decisions, given life cycle demographic shocks such as marriage, divorce, and children. Our model generates a wealth profile and a low and stable equity fraction consistent with empirical evidence. We also confirm predictions that wives will claim retirement benefits earlier than husbands, while life insurance is mainly purchased by younger men. Our policy simulations imply that eliminating survivor benefits would sharply reduce claiming differences by sex while dramatically increasing men???s life insurance purchases.

Working Paper: WP 2013-286, We evaluate lifecycle consumption and portfolio allocation patterns resulting from access to Guaranteed Minimum Withdrawal Benefit (GMWB) variable annuities, one of the most rapidly-growing financial innovations over the last two decades. A key feature of these products is that they offer access to equity investments with downside protection, hedging of longevity risk, and partially-refundable premiums. Welfare rises since policyholders exercise the product???s flexibility by taking withdrawals and dynamically adjusting their portfolios and consumption streams. Consistent with observed behavior, differences across individuals??? cash out and annuitization patterns result from variations in realized equity market returns and labor income trajectories.

Working Paper 2012-266, Social Security benefits are currently provided as a lifelong benefit stream, though some workers would be willing to trade a portion of their annuity streams in exchange for a lump sum amount. This paper explores whether allowing people to receive a lump sum as a payment for delayed retirement rather than as an addition to their lifetime Social Security benefits might induce them to work longer. We model the factors that influence how people trade off a Social Security stream for a lump sum, and we also examine the consequences of such tradeoffs for work, retirement, and life cycle wellbeing. Our base case indicates that workers given the chance to receive their delayed retirement credit as a lump sum payment would boost their average retirement age by l.5-2 years. This will interest policymakers seeking to reform the Social Security system without raising costs or cutting benefits, while enhancing the incentives to delay retirement.

Chile???s innovative privatized pension system has been lauded as possible model for Social Security system overhauls in other countries, yet it has also been critiqued for not including a strong safety net for the uncovered sector. In response, the Bachelet government in 2008 implemented reforms to rectify this shortcoming. Here we offer the first systematic effort to directly evaluate the reform???s impacts, focusing on the new Basic Solidarity Pension for poor households with at least one person age 65+. Using the Social Protection Survey, we show that targeted poor households received about 2.4 percent more household annual income, with little evidence of crowding-out of private transfers. We also suggest that recipient household welfare probably increased due to slightly higher expenditures on basic consumption including healthcare, more leisure hours, and improved self-reported health. While measured short-run effects are small, follow-ups will be essential to gauge longer-run outcomes.

The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many workers lost a substantial portion of their retirement saving. The financial sector implosion in turn produced an economic crisis for the rest of the economy via high unemployment and reduced labor earnings, which reduced contributions to Social Security and private pensions. Our research asks which types of individuals were most affected by these dual financial and economic shocks, and it also explores how people may react by changing their consumption, saving and investment, work and retirement, and annuitization decisions. We do so with a realistically calibrated lifecycle framework allowing for time-varying investment opportunities and countercyclical risky labor income dynamics. We show that households near retirement will reduce both short- and long-term consumption, boost work effort, and defer retirement. Younger cohorts will initially reduce their work hours, consumption, saving, and equity exposure; later in life, they will have to work more, retire later, consume less, invest more in stocks, and save more.

Catastrophe insurance helps spread risks and increases the ability of policyholders and the economy to recover from both natural disasters and terrorist attacks. Government policies, however, may unintentionally limit the role of the private sector in insuring against catastrophic losses. Several such policies at both the state and the federal level reduce the amount of private capital supplied to insure or hedge against catastrophic risks. One reason is that those policies often become outdated as markets innovate. Policymakers have several different options to increase private risk-bearing capacity and improve the effectiveness of federal involvement. The benefits and potential costs of four options are examined: an optional federal charter for insurers that would preempt states regulation of rates; regulatory reform of capital markets risk transfer mechanisms that substitute for reinsurance; changes in the taxation of reserves held by insurers against catastrophic risks; and auctions of federal reinsurance for supercatastrophic risks.

Prior research has documented a???kink??? in the earnings distribution: too few firms report small losses, too many firms report small profits. We investigate whether boosting of discretionary accruals to report a small profit is a reasonable explanation for this???kink.??? Overall, we are unable to confirm that boosting of discretionary accruals is the key driver of the kink. We caution the use of the ratio of small profit firms to small loss firms as a measure of earnings management. We investigate and discuss a number of alternative explanations for the kink.

This paper presents a nonspatial operationalization of the Krumhansl (1978, 1982) distancedensity model of similarity. This model assumes that the similarity between two objects i and j is a function of both the interpoint distance between i and j and the density of other stimulus points in the regions surrounding i and j . We review this conceptual model and associated empirical evidence for such a specification. A nonspatial, tree-fitting methodology is described which is sufficiently flexible to fit a number of competing hypotheses of similarity formation. A sequential, unconstrained minimization algorithm is technically presented together with various program options. Three applications are provided which demonstrate the flexibility of the methodology. Finally, extensions to spatial models, three-way analyses, and hybrid models are discussed.

These viewgraphs concern health care-economic analysis, consumers, providers, etc. in the United States.

Money spent on Weapon systems always has another use alternative. The United States procures weapons system to provide for National Security, from which every citizen benefits. All weapons systems have affordability choices. Weapon system affordability always conjures up an old debate of 'cost effectiveness at the margin.' Defense, at the lowest cost, always applies to all DOD acquisition and technology programs. From DoD's perspective, the ballistic missile defense network has to deal with the offensive weapon's major advantage of surprise. The question of how few ABM defensive locations are necessary to defeat the adversary's threat, is an affordability tradeoff issue balanced by engineering and system technology capabilities. These tradeoffs stress the DOD Acquisition Reform initiative's underlying impetus on affordability. NMD Program Management implemented DOD acquisition reform initiatives and strategies to manage for acquisition excellence and program balance during NMD's capability development and deployment planning phase. This includes measurable (affordable) characteristics of key enabling technologies for cost breaking improvements in production, procurement, support, and operations. The DOD Program Manager should have latitude for initiatives in the way the defense capability is built so that it appears as a cost-effective and affordable technology solution to a given threat. There is no affordable solution to developing an ABM defense capability unless technology can develop one., Prepared in collaboration with SAIC, CSF, Arlington, VA.

This grant has the central aim of exploring when, and how, probability is useful in the theory of algorithms. Most of the problems reviewed have their origins in the area of Euclidean Combinatorial Optimization, which might be operationally defined as the theory that has evolved out of the study Euclidean traveling salesman problem (TSP), the minimal spanning tree problem, and the minimal matching problem. Probability enters the study of such problems by two different paths. One path calls on exogenous randomization in the course of a genuine probabilistic algorithm. This path is of increasing importance in many areas, and on an elementary level is well illustrated by the method of simulated annealing. A second path of considerable importance calls on the introduction of stochastic models for the problem inputs. One then uses probability theory to understand as deeply as possible the behavior of the associated objective functions. This understanding is used subsequently to guide algorithm design.

A massively parallel algorithm for nonlinear multicommodity flow problems has been designed and tested. A new promising algorithm for quadratic stochastic programs with network structures has also been developed.

We consider a common variant of the vehicle routing problem in which a vehicle fleet delivers products stored at a central depot to satisfy customer orders. Each vehicle has a fixed capacity, and each order uses a fixed portion of vehicle capacity. The routing decision involves determining which of the demands will be satisfied by each vehicle and what route each vehicle will follow in servicing its assigned demand in order to minimize total delivery cost. We present a heuristic for this problem in which an assignment of customers to vehicles is obtained by solving a generalized assignment problem with an objective function that approximates delivery cost. This heuristic has many attractive features. It has outperformed the best existing heuristics on a sample of standard test problems. It will always find a feasible solution if one exists, something no other existing heuristic can guarantee. It can be easily adapted to accommodate many additional problem complexities. By parametrically varying the number of vehicles in the fleet, our method can be used to optimally solve the problem of finding the minimum size fleet that can feasibly service the specified demand.

During the past nine months, the focus has been on advanced computer based techniques to support decision aiding systems. This has been centered on the development and implementation of a prototype decision aiding information system, DAISY, which should aid in gaining experience with these types of systems. In January 1975, a team of visitors from the Navy and other contractors on the ODA project visited the University of Pennsylvania for a briefing on the overall plans for DAISY, and for a look at certain advanced techniques (e.g., Natural English Language input) which might prove useful in operational decision aiding systems.

This report is Volume 1 of a large scale field marketing experiment conducted over a three year period. This research was designed to measure and quantify, where possible, the effectiveness of Navy recruiting resources. The background of this research effort is presented in this report, together with a discussion of the experimental methodology and of the choice of measured endogenous and exogenous variables. This is followed by a short description of the collected data, and of the measurement techniques employed. Observed responses to experimental and environmental variables are briefly presented. This leads to an identification of the factors which affect military enlistments, and to an estimation of the magnitude of their effects. The effect of key marketing variables over time is examined. There follows a summary of supporting data obtained through tracking studies of perceptions, attitudes, and demographics. A conclusion discusses observed marginal costs and effects of the various treatments, and suggests implications for future resource allocation., See also Volume 4, ADA120504.

This report is Volume 3 of a large scale field marketing experiment conducted over a three year period. This research was designed to measure and quantify where possible the effectiveness of Navy recruiting resources. A discussion of the problems and issues of salesforce productivity measurement begins this report. After presentation of the data on which the investigation is based, observed learning and de-learning effects are described. Other significant phenomena are also discussed, among them the effects of recruiting goals, differences between regions and involuntary extensions of recruiters duty tours. The observed frequency distribution of recruiter productivity is presented. This is observed frequency distribution of recruiter productivity is presented. This is followed by a discussion of recruiter performance forecasting, and by suggestions for further research., See also Volume 5, ADA120505.

This report is Volume 7 of a large scale field marketing experiment conducted over a three year period. This research was designed to measure and quantify where possible the effectiveness of Navy recruiting resources. Sophisticated multivariate cluster analysis has been applied to the collected attitudinal data to determine the nature and size of any identifiable market segments in the at-large population of young people. This report outlines the technique and results of the study, then evaluates the differential rates at which the observed segments proceed through the Navy recruiting process. Differences which may be associated with variations in experimental treatment conditions are also identified., See also Volume 1, ADA120503.

This report is Volume 5 of a large scale field marketing experiment conducted over a three year period. This research was designed to measure and quantify where possible the effectiveness of Navy recruiting resources. Demographic, attitudinal, and perceptual data are presented in this report for the at-large population of young people, as sampled by telephone survey; and for participants in the recruiting cycle itself, as sampled through written questionnaires. A baseline is thus established for understanding of further studies. The cross-sectional view of the recruiting process leads to insights into its mechanisms. Complete tabulations of the collected data are appended., See also Volume 7, ADA120506.

The sense of time is implicit in almost all human activity, yet it is rarely reflected in the computer database views of these activities. This paper offers a method of dealing with time, modal storage and retrieval, and describes formal and practical realizations of the concept. The conceptual framework of Modal Data Management reflects three years of experience with the DATA (Dynamic Alerting Transaction Analysis) system, in which a time oriented DBMS has been conceived, designed and actually implemented. The paper first anchors the Modal Data Management concept in the context of the relevant research in Information Modelling and storage technologies, followed by a discussion of the architectural and functional attributes of the DATA system. The major lessons from the DATA experience are then presented, paying special emphasis to their impact on the design of future versions of the system. The concluding comments deal with specific implications of the Modal Data Management in the domains of DBMS usability and Software Engineering. (Author)

The flat-file alerter system allows one to monitor a flat file for various conditions of interest. A flat file is a sequential file of fixed-length records of identical format. In addition, the file is keyed on a specific field, and sorted on that key. Thus the addition of records (appearance of records with keys that did not exist before), deletion of records (disappearance of keys that existed before), and modification of records (modification of a field other than the key in a record) can be surveyed. (Author)