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Sinha, Ram Pratap
- Technical Efficiency of Indian Life Insurance Companies-A Bootstrap DEA Approach
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Authors
Affiliations
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 4, No 4 (2014), Pagination: 32-42Abstract
Since the Indian life insurance sector deregulated only recently, the number of players in the life insurance market is quite small and efficiency studies are based on a small set of observation. One way overcoming this small size problem is to perform bootstrap DEA. The present study, accordingly, compares the performance of the in-sample life insurance companies both on the basis of an original sample and its replications through bootstrap. The study also find out the upper and lower bounds of technical efficiency scores in the context of a 95% confidence interval.Keywords
Life Insurance, Bootstrap DEA, Confidence Interval.
References
- Banker, R. A., Charnes, A., & Cooper, W. W. (1984). Some models for estimating technical and scale efficiency. Management Science, 30, 1078-1092.
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- Robust Benchmarking of Indian Mutual Funds-A Partial Frontier Approach
Abstract Views :220 |
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Authors
Affiliations
1 Government College of Engineering and Leather Technology, Salt Lake, Kolkata, West Bengal, IN
1 Government College of Engineering and Leather Technology, Salt Lake, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 5, No 2 (2015), Pagination: 1-15Abstract
Performance analysis of mutual funds is usually made on the basis of return-risk framework. Traditionally, excess return (over risk-free rate) to risk ratios were used for the purpose mutual fund evaluation. Subsequently, the application of non-parametric mathematical programming techniques in the context of performance evaluation facilitated multi-criteria decision making. However,the estimates of performance on the basis of conventional programming techniques like DEA and FDH are affected by the presence of outliers in the sample observations. The present, accordingly uses more robust benchmarking techniques for evaluating the performance od sectoral mutual fund schemes based on observations for the second half of 2010. The USP of the present study is that it uses two partial frontier techniques (Order-m and Order-α) which are less susceptible to the problem of extreme data.Keywords
Mutual Fund, Robust Benchmarking, Order-M, Order-α, Partial Frontier Approach.- Portfolio Return, Risk and Market Timing:A Non-Parametric Approach
Abstract Views :188 |
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Authors
Affiliations
1 Department of Economics, Krishnagar Government College, Krishnagar, Nadia, West Bengal, IN
2 Government College of Engineering & Leather Technology, Salt Lake, Kolkata, West Bengal, IN
1 Department of Economics, Krishnagar Government College, Krishnagar, Nadia, West Bengal, IN
2 Government College of Engineering & Leather Technology, Salt Lake, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 5, No 2 (2015), Pagination: 16-30Abstract
The present study extends the portfolio evaluation framework provided by Sharpe (1964) and Treynor (1965) by including the parameter of market timing with the help of a non-parametric framework. Data envelopment analysis has been used in the present exercise to evaluate the performance 79 mutual funds schemes operating in India for three different phases using two different models. Estimation of technical efficiency on the basis of both the models suggests that period 2 performance is substantially divergent from period 1 and 3. Also, higher moments framework gives a better measure of performance as it accounts not only the standard risk measure but also for skewness and kurtosis characteristics of returns.Keywords
Mutual Funds, Market Timing, Higher Moments, Data Envelopment Analysis.- Operating Efficiency of Life Insurance Companies: An Assurance Region Model
Abstract Views :383 |
PDF Views:1
Authors
Affiliations
1 Department of Economics. Acharya Brojendra Nath Seal (Government) College, Coochbehar 736101, IN
1 Department of Economics. Acharya Brojendra Nath Seal (Government) College, Coochbehar 736101, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 49, No 3-4 (2007), Pagination: 305-320Abstract
The present paper compares thirteen life insurance companies in respect of technical efficiency for the period 2002-2003 to 2005- 2006 using the assurance region approach. The assurance region approach was introduced by Thompson, Singleton, Thrall and Smith (1986) and was further developed by Thompson, Langemeier. Lee, Lee and Thrall (1990). This approach avoids the problem of slacks by imposing restrictions on the shadow prices of inputs and/or outputs. This leads to a reconstruction of the isoquant in a manner such that no slacks can exist at the radial projection of any input/output bundle onto the modified isoquant.
Year to year comparison of mean technical efficiency scores reveal that mean technical efficiency has improved in 2003-2004 . relative to 2002-2003, remained on the same level in 2004-2005 and declined in 2005-2006. This is likely because of divergence in the performance across the life insurers. In the last two years, most of the life insurers have exhibited increasing returns to scale. This is indicative of the wide opportunities that the insurers have in store for them.
- Asset Quality Based Ranking of Indian Commercial Banks: A Superefficiency Approach
Abstract Views :408 |
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Authors
Affiliations
1 Department of Economics, Acharya Brojendra Nath Seal (Government) College, Coochbehar - 736 101, West Bengal, IN
2 Jadavpur University, Kolkata – 700 032, West Bengal, IN
1 Department of Economics, Acharya Brojendra Nath Seal (Government) College, Coochbehar - 736 101, West Bengal, IN
2 Jadavpur University, Kolkata – 700 032, West Bengal, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 50, No 1 (2008), Pagination: 79-92Abstract
The present paper tries to make an asset quality based ranking of select (28) Indian commercial banks for four years period 2001-2002 to 2004-2005 using the super efficiency approach - a non-parametric tool. The super efficiency approach due to Andersen and Petersen (1993), allows rank order technically efficient firms. In this approach, a firm which is under evaluation is not included in the reference set of the relative envelopment model. A firm is called super efficient if its observed output exceeds what is necessary for the firm to be considered efficient relative to other firms in the sample. Out of the 28 observed commercial banks, the number found to be super efficient was only in the range between 5 to 8 during observed years. The rest were found to be inefficient. Further, the results obtained from the exercise indicate gradual improvement in mean technical efficiency scores (excepting 2003-2004) over the observed years. The observed private sector banks exhibit higher mean technical efficiency relative to the observed public sector banks for all the observed years.- Benchmarking of Indian Sectoral Mutual Funds - A Non-Separable Undesirable Output Model
Abstract Views :202 |
PDF Views:0
Authors
Affiliations
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 6, No 4 (2016), Pagination: 42-53Abstract
Performance analysis of mutual funds is usually made on the basis of return-risk framework where return is considered an output indicator and risk is considered as an input indicator. However, portfolio risk in actuality is a non-separable undesirable output and any effort to reduce it also causes a reduction in portfolio return. In view of this, the present paper uses a non-parametric nonseparable undesirable output model to evaluate the performance of 27 sectoral mutual fund schemes based on observations for the period July 2010 to June 2013. The USP of the present study is that return and risk are considered as both non-separable outcome of the process of investment. The results exhibit stability of mean efficiency scores across the observed years. Further, fund inefficiency mostly emerged from the input side and not from the output side.Keywords
JEL Classification: C-61, D-21, G-23, Mutual Fund, Endogenous Benchmarking, DEA, Non-separability, Undesirable Output.References
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- Daraio, C., & Simar, L. (2006). A robust nonparametric approach to evaluate and explain the performance of mutual funds. European Journal of Operational Research, 175, 516-542.
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- Endogenous Benchmarking of Sectoral Mutual Funds:A Case Study
Abstract Views :259 |
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Authors
Affiliations
1 Government College of Engineering and Leather Technology, Kolkata, IN
1 Government College of Engineering and Leather Technology, Kolkata, IN