third edition, March 2010

Transcription

Asset | Econometrics Magazine
Volume 18, third edition, March 2010
Never a dull moment
Interview Arnoud Klep
Chip card for public transport
Special
Simulation in the Dutch flower trade
Practical Report
ekst
o fa l l
pr e f a c e
COLOPHON
Nekst is the quarterly magazine
of Asset | Econometrics ©2010
Correspondence
Asset | Econometrics
Tilburg University
Room E 110
P.O.Box 90153
5000 LE Tilburg
Telephone: 013 466 27 47
[email protected]
www.Asset-Econometrics.nl
Towers Watson.
Een helder perspectief
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Towers Perrin en Watson Wyatt zijn nu samen Towers Watson. Een wereldwijde
onderneming met een eenduidige focus op klanten en hun succes.
U kunt vertrouwen op 14.000 ervaren professionals die over zowel lokale als
internationale expertise beschikken. Onze aanpak is gebaseerd op samenwerking en
betrouwbare analyses. Wij bieden een helder perspectief dat uw specifieke situatie
koppelt aan het grotere geheel. Zo leiden wij u naar betere bedrijfsresultaten.
Towers Watson. Duidelijk resultaat.
Editorial staff
Marleen Balvert
Tess Beukers
Frans Fonville
Harold van Heijst
Dimphy Hermans
Bart Kruize
Bas Verheul
Has van Vlokhoven
Nienke Vugts
Fang Qi Wu
Contributions
Tessa Bakkers
Joost van Beek
Yvonne Blom
Harmen Boersma
Jorrit ten Brinke
Jeroen Dalderop
Emile van Elen
Toine Geelen
Gerwald van Gulick
Joep Hendriks
Dennis Jaheruddin
Marleen van Kalmthout
Ernst Keyzer
Andrea Krajina
Elske Leenaars
Vincent Lous
Maarten Meeuwis
Anne Michielsen
Robbert van Oosten
Loes van der Padt
Chris Pustjens
Martin Salm
Dirk Ungerechts
First of all, I would like to introduce two new editors of Nekst: Dimphy
Hermans and Has van Vlokhoven. At the same time, Whitney Pattinaja
left the editorial staff, even though we will never forget her noteworthy
contributions to this magazine. Furthermore, let me describe the events of
the past few months in just one verb: fall.
In December, many snowflakes fell down from the sky and created a beautiful landscape.
In contrast to the opinion of the majority, I want to emphasize that snow is fun and not
annoying. I heard a lot of people complain about the weather, mostly because they were
afraid of falling as a result of slippery roads.
In February, a lot of people enjoyed themselves by celebrating carnaval. Some members
of Asset | Econometrics had a wonderful time by participating in the carnaval volleyball
tournament at the sports centre of Tilburg University. However, the booze made some of
them a little too enthusiastic, so it turned out to be very important to prevent yourself
from falling on the ground during a game of volleyball. Unfortunately, I did not succeed
in this objective.
Luckily, there is also some positive news related to the verb ‘fall’. I am of course referring
to this magazine, which fell on your doormat. I hope this third edition will again offer you
a lot of joy and knowledge. Hopefully, you are going to read a lot of scientific articles,
interviews and columns this time, since it is very important to expand your knowledge
every day. Furthermore, I am confident that you will enjoy the interview with Arnoud
Klep. This name will probably not sound very familiar, but if I tell you that he was a board
member of our association exactly ten years ago, then you are most likely very eager to
gain knowledge of his wisdom.
Before you fall over yourself to read all articles right away, I will no longer obstruct you
from reading and wish you all the best forthis spring season!
Printing
Drukkerij Orangebook
towerswatson.nl
Frans Fonville
Benefits | Risk and Financial Services | Talent and Rewards
Circulation
650
Editor-in-chief
©2010 Towers Watson. Alle rechten voorbehouden.
Nekst 3 - March 2010
a b l e o f C o n t en t s
01
Preface
05
From the Board
06
Interview Arnoud Klep
09
Excursion SNS REAAL
10
The Mother of Bart van Schuppen
12
Scientific Article Kempen & Co
15
Advertisements
Page
Freshmen Activity and Saint Nicholas Drink
Towers Watson
cover
16
The Teacher: Gert Nieuwenhuis
Rabobank
04
19
Excursion Nuon
Books4Life
08
20
Parents Evening
PGGM
14
21
Asset Christmas Gala
Football Symposium
18
22
Business Interview TNO
TNO
24
25
Column Gerwald van Gulick
AEGON
32
26
Practical Report
Pharmerit
40
28
Active Members Meeting
Flow Traders
46
29
General Members Meeting and Drink
KPMG
50
30
Special: Chip card for Public Transport
Aon
58
36
Opinion Poll
Ernst & Young
66
37
Actuary Day of Tilburg
NIBC
cover
38
Business Interview Pharmerit
SNS REAAL
cover
41
An Introduction
42
Logistics Symposium and Après Ski Drink
44
Exchange Report
48
Scientific Article KPMG
51
VAET Activity
52
The Passion of Lindsay Overkamp
54
Column Martin Salm
55
Carnaval Volleyball Tournament and Asset Party
56
Triangle
60
Living in Lodges
62
LED: National Econometricians Day
63
Committee Profile: Drinks & Activities
64
Quatsch
65
Graduates and Planning
67
Puzzle
t he sp r in g semes t e r
f rom th e board
During a cold January, it was quiet in the Esplanade building. It was hard to find any (active) members on the
Wie de top wil bereiken heeft
meer nodig dan talent.
Met talent kan de wereld aan je voeten liggen. Maar talent alleen is nooit genoeg om de top te bereiken. Daarom is de Rabobank
al jaren sponsor van toptalenten uit de sportwereld. Want wij geloven dat talent gestuurd moet worden, tot bloei moet komen,
om vervolgens met de beste begeleiding het hoogste niveau te halen. Binnen de bank doen we dat niet anders. Talent is bijzonder.
Het moet gekoesterd en ontwikkeld worden. Alleen op die manier kan jouw talent uitgroeien tot een succesvolle carrière.
Spreekt onze zakelijke en menselijke benadering ook jou aan? Groei dan mee met een bank die nationaal en internationaal flink aan
de weg timmert. Wil je meer weten over de Rabobank als werkgever en over de vacatures die we op dit moment hebben? Kijk dan
op www.rabobank.nl/werken.
Carrière maken bij dé favoriete
werkgever in Nederland.
Het is tijd voor de Rabobank.
first floor. The boards of the Asset associations were depending on themselves. But at least, there were some
free workplaces. As the month passed, more and more active members showed up. Most of them were having
lively conversations about their exams.
For the next few weeks, the link ‘Check
Study Results’ on the Digital Learning
Environment was the most visited link
amongst students. Blackboard kept them
in suspense, but little by little the results
were announced. One could strike a
balance and pass to the order of the day.
The spring semester began; the Esplanade
building became crowded again.
While for most students exams are the
order of the day in Januar y, the boards
of study associations are preparing their
General Members Meetings. So did we,
as our General Members Meeting took
place on 27 Januar y. During this meeting
we looked back on the first semester and
we presented our plans for the upcoming
months. We still have lots of nice activities
lying ahead of us, but let me first look back
on some activities that already took place
in the second semester.
Asset | Econometrics & Asset | TOP-DOWN
bundled their forces in order to organise
the Logistics symposium. On 2 March,
students were explained how a cost
reduction could be realised via a Cross
Chain Control Centre, which is a control
centre in which multiple supply chains are
coordinated and managed. The day passed
away smoothly and may be considered a
success. Also the cooperation with Asset |
TOP-DOWN went well.
case round and two presentation rounds.
The organising committee, consisting
of students of study associations VSAE
(University of Amsterdam) and Kraket
( VU University Amsterdam), made sure
that ever ything was organised well. In
achieving this goal, they were assisted by
many volunteers. After a successful day,
the par ty in the Cooldown Café was the
icing on the cake.
The next day, we were looking out for
some serious sleeping time. But we had
little time to rest on our laurels, because
on Thursday 11 March it was time for the
Asset Beer Cantus.
In the upcoming months, there are some
wonder ful activities ahead. For example,
the Active Members Weekend (9-11 April),
the Economic Business weeks Tilburg (1222 April), the Football Symposium (28 April)
and the Football Tournament (9 June). If
only the next few months could please not
fly by as fast as the past months.
Name:
Harold van Heijst
Position:
Chairman
Asset | Econometrics
Board 2009-2010
On behalf of the Asset | Econometrics board,
Harold van Heijst
Chairman Asset | Econometrics
Then, after waiting for it for a long time,
it was finally 8 March. On this day the
Landelijke Econometristendag (National
Econometricians Day) took place. With
near eighty econometricians from Tilburg
we travelled to Amsterdam RAI. The
programme of the day was somewhat
different from previous years, since there
were two rounds of cases instead of one
www.rabobank.nl/werken
eve r a du l l m o men t
I nt e rvi e w A rnoud K l e p
Nekst introduces to you: Arnoud Klep. Arnoud was born in 1977 in Breda. After graduating from secondary school, he
had to choose where he wanted to study Econometrics. He did not have to think long about it. So Tilburg University
became his home for the subsequent years. He managed to finish his bachelor’s programme in three years and
obtained his master’s degree three years later.Those six years of his life form the main reason for this interview.
Becoming ac tive
Arnoud star ted his studies in Tilburg in
1995. He became an ac tive member of our
study association in 1997, which was called
‘ Tilburgse Econometristen Vereniging’
( TEV ) at that time. The first committee he
was par t of, was the Drinks & Ac tivities
Committee (Dutch: Spor t Borrel & Feest
commissie).
The board of that year was look ing for
enthusiastic people who wanted to
organise a conference and they asked
Arnoud for the new committee as well.
Name:
Arnoud Klep
Age:
33
Position:
Former Board
Member
Arnoud became chairman of the committee
that star ted organising a conference
about financial risk management in 1997.
For most members of the committee,
this assignment was their first ac tive
involvement in the association. This
rather unusual decision was not without
a reason. The Wim Bogers Stichting ( WBS,
currently k nown as SAET: Foundation Asset
| Econometrics Tilburg), the independent
foundation that was responsible for
the conference at that time, and our
association showed little cooperation in
those days. While sharing the same room,
our association and WBS would sometimes
even refuse to use each other ’s staplers.
Arnoud tried to overcome theses historical
sensitivities by having the two cultures
merged. With a group of people who, just
like himself, k new little about organising
a conference, they organised a great day
about financial risk management. The
committee worked ver y hard for one and
a half year for that one day. When that
day finally arrived, they were glad to see
that ever ything went well and that all
visitors had a nice day. Arnoud: “I t was a
great experience and I learned a lot about
organising and cooperation.”
The board
Because of his tasks with respec t to
organising the conference, Arnoud spent a
lot of time at the rooms of the association.
One day, they asked him whether or not he
would be interested in becoming a board
member. Since he enjoyed being ac tive,
he was truly interested. He put himself
for ward as candidate and was chosen
chairman of the board for the academic
year 1999-2000.
O f course, he was not the only board
member. Marieke van Boekel was secretar y,
Remco Rijntjes was treasurer and Lennar t
Chattel was coordinator ex ternal affairs.
Arnoud already k new Lennar t from the
conference committee and they were
both determined to make the best out of
it. The four of them made a plan for the
upcoming board year.
Although they did not k now each other at
the star t of their board year and though
they did not agree on all matters, they
became a ver y staunch group. They still
talk to each other ever y now and then,
despite of their completely different
lives and geographic locations. For
several years, they arranged former board
weekend trips together and an annually
recurring Christmas dinner.
The board changed several things in
the academic year 1999-2000. They put
a lot of effor t in arranging a study trip
for which you could earn study credits.
Nowadays, this would not be possible
anymore. Until 1999, Nekst was printed in
the size of A5 paper, but this was changed
into A4 paper size, as we k now it now. The
internet medium became more popular
as well and therefore the board built a
professional website for the association.
Above all, they had to take care of
all the affairs that ever y board has
to deal with.
Arnoud and his fellow board members
star ted some nice traditions, some
of which still prevail in our days. For
instance the famous phenomenon
of ‘turning’ (Dutch: keren) during
the Ac tive Members Weekend: the
chairman should be turned while
sleeping in his bed and at the end
associations for Econometrics in the
Netherlands. Arnoud always enjoyed
contac t with other associations.
He k nows a lot has changed since
he lef t the board, although he
does not think that an overall
cooperation, like Asset, would
have been possible at the time of
his chairmanship. According to
Arnoud, this remark was formulated
exceptionally tac tful. He thinks that
it should have been hard for some
interesting period. You are no longer
involved in the day to day business,
although you still keep in touch
with econometrics students.” He
sometimes regretted some decisions
that were made and he might have
done some things differently, but he
realised that things change. In his
view, the board of the association
should always be best equipped for
mak ing the overall decisions.
“ I t wa s a g re at ex pe r i e n ce and I
l e a r n e d a l ot . . . ”
of the weekend the chairman has
to clean the toilets. They tried to
maintain the tradition of tak ing
home the cups of tournaments they
par ticipated in, even if they did not
win a prize at all.
O f course, being a board member
is not always mere fun. There have
to be done some serious tasks
as well. Fur thermore, the board
got an ex tra, ver y impor tant task.
The study association that was
responsible for organising the LED
(National Econometricians Day)
backed out in a late stadium. The
fac t that the LED would not take
place was unacceptable for Arnoud
and his fellow board members, so
they decided to organise the LED
themselves. This was not an easy task,
because they only had nine weeks
until the event would take place.
They worked hard and eventually
they were able to organise a day to
be ex tremely proud of.
This was one of the reasons for the
board of 1999-2000 to improve the
cooperation between the study
former ac tive members to hear that
the decision was made for a formal
alliance with the other economics
study associations within Asset.
He admits that he is aware of the
advantages of work ing together and
that times have changed. Therefore,
he respec ts the call of the board
that made the decision.
Involved
In the period af ter his board year,
there were a lot of changes. He got
his first job and was no longer a
student. Af ter his board year, Arnoud
enrolled in an internship at Robeco.
When finished and graduated, a spot
came available at the quantitative
research depar tment of Robeco.
He worked there for two and a half
years and af ter that switched to the
struc tured finance depar tment.
At the same time, Arnoud was par t
of the advisor y council of Asset |
Econometrics. He was a member
of this board for about six years.
He liked it a lot, since he still felt
a tight connec tion with Tilburg
University. Arnoud: “I t was a ver y
Arnoud still attends some ac tivities
of Asset | Econometrics. During last
year ’s lustrum for instance, he had
a great time. He thinks it is good
to see that the members of the
association still have as much energy
and commitment and still arrange a
lot of ac tivities. He also attended
all KOALAs (ac tivities arranged
for former ac tive members) up till
now. Initially, former ac tive member
ac tivities
were
comprised
of
bowling nights and dinners. In 2004,
however, Arnoud and former ac tive
member R amon wondered whether
these ac tivities could be more
ex tensive. They convinced the board
to expand the ac tivities and turn
the event into a complete weekend
(called KOALA) with considerable
attention for traditional elements.
O verall, Arnoud looks back at some
great years. He learned a lot and
even more impor tant: he had a
wonder ful time and made some
good friends. |
Text by : Nienke Vugts
BOOKS4LIFE TILBURG
I nves t i g a t in g b ankin g
p r o duc t s
e x c ursion S N S r e aal
On 2 December, a group of students following the course Quantitative Finance went to Utrecht. In this city,
Tweedehandsboekwinkel voor het goede doel!
Books4Life Tilburg, maakt onderdeel uit van een groeiende keten van tweedehands liefdadigheidsboekwinkels. B4L Tilburg werd door studenten van de
UvT, als eerste in rij, geopend op 22 februari 2005.
Als tweedehandsboekwinkel biedt B4L Tilburg:
- groot aanbod van tweedehandsboeken tegen een zeer bescheiden prijs, de
meeste prijzen liggen tussen € 2,00 en € 5,00.
- boeken in diverse categorieën: fictie, non-fictie, kunst en cultuur,
geschiedenis, biografieën, studieboeken etc.
- B4L Tilburg wil hergebruik van boeken bevorderen door gedoneerde
boeken tegen een eerlijke, betaalbare prijs te verkopen en zo de duurzaamheid te stimuleren.
Dankzij de inzet van vrijwilligers kan minimaal 90% van de jaaropbrengst aan
goede doelen geschonken worden. Dat zijn: Amnesty International, Oxfam
Novib en kleinschalige projecten. De keuze van projecten op basis van een
persoonlijke band met de vrijwilligers garandeert dat de gelden goed terecht
komen.
Asset | Econometrics – in cooperation with SNS REAAL – organised an excursion to the office of SNS REAAL.
During this excursion, students visit a company in the field of a certain course and learn more about the use
of econometrics in practice.
For me, the day star ted with a meeting
of the Logistics Symposium committee. I
figured that I would have plenty of time
between the meeting and the excursion
to SNS REAAL, so I did not understand
why ever yone who par ticipated in this
excursion had already lef t. That was, until I
found out that we had to gather at Tilburg
Central Station at 11:30 hours instead of
12:00 hours. Oh dear! I already pic tured
myself running towards the train on my
high heels. For tunately, this is not what
really happened. Af ter a couple of missed
calls from one of the board members, I
was on the train with the rest of the group,
heading towards SNS REAAL.
Upon arrival at Utrecht Central Station,
we were only a five-minute walk away
from our destination, as the office of SNS
REAAL is in the middle of the city centre
of Utrecht. The wind was howling, so we
were glad we could go inside quick ly.
Af ter having waited for a while in the foyer
of the building, a man called Maurice Bosch
welcomed us. He led us to a lec ture room
where two of his colleagues introduced
B4L Tilburg is gevestigd in ruimte C044 van de UvT, in de kelder bij de Aula.
Telefoon: 013-4663680
Website:
www.books4life.nl
E-mail:
[email protected]
B4L Tilburg is geopend op alle werkdagen: maandag tot en met donderdag van
10:00 uur tot 17:00 uur en op vrijdag van 10:00 uur tot 15:00 uur.
NU IN DE WINKEL: De boeken uit de inzamelingsactie van boekhandel
LIVIUS
SNS REAAL
themselves. As they were tr ying to make
the beamer work, we sat down and had a
cup of tea or coffee. Soon af ter, we listened
to a presentation about SNS REAAL.
SNS REAAL is a Dutch bank ing and
insurance ser vice provider. During this
excursion, we would focus on bank ing
produc ts. We were going and tr ying to
understand how a par ticular bank ing
produc t works. Bank ing produc ts are
becoming more and more complex, so an
introduc tion was definitely necessar y.
We were told about swaps, continuous
interest rates as opposed to discrete
interest rates, put and call options, and
more. Af ter this explanation about the
basics of bank ing produc ts, it was time
to get star ted. In groups of about four
people, we were asked to find out what
happens to cer tain bank ing produc ts.
Af ter fif teen minutes, each group had
to present their solutions. Although the
first solution of my group was not that
good, we did establish an improvement.
By the time we got to the third produc t,
I believe that we even got the correc t
answer! Unfor tunately, another group was
chosen as the winner of the day and the
members of this group took off with some
nice gadgets. Af ter a drink and a chat with
the employees of SNS REAAL, we returned
to Tilburg.
Name:
Elske Leenaars
Age:
22
Begin studies:
2007
We went to Utrecht to learn more
about the use of quantitative finance in
prac tice. In my opinion, we learned a lot
about this. Nowadays, bank ing produc ts
are in the news quite of ten. To learn what
really happens to such a produc t is, in my
opinion, a great challenge and a good
example of econometrics in prac tice. |
panish in Bes t
T h e moth e r o f bart van s c hupp e n
When we, two brave editors of Nekst, arrived at the railway station in Best, a car was waiting for us. The
good at all courses. In the last years
of secondar y school, however, she
noticed a slight preference for
mathematics.
driver of the car was Bart’s mother. This was very convenient, because we were going to interview her for
this edition of Nekst. She drove us to her house, where we held the interview.
Name:
Cecile Wijne
Residence:
Best
Mother of:
Bart van Schuppen
Begin studies:
2008
Cecile, Bar t ’s mother, was born in
Zevenbergen in 1959, which is close to
Breda. She was the middle child of two
brothers and two sisters. Her primar y
school was located in Zevenbergen, so
she could easily go there. Besides, there
was also a swimming pool in Zevenbergen,
which Cecile used a lot during the summer
breaks. When she went to secondar y school
she had to go by train, since her school
was located in Oudenbosch. This train
was usually full of students, so this was
a fun place with a lot of noise. When she
finished her secondar y school, she went to
Eindhoven to study youth professionalism
(Dutch: jeugdwelzijnswerk). Fur thermore,
she star ted living in lodges in Eindhoven.
There were more girls than boys at this
school and for this reason she more liked
secondar y school. Maybe Econometrics
would have been a better choice? She
really liked the content of her studies, as it
was ver y broad.
Cecile met her husband Marc in Eindhoven,
who also studied there. They met in the
‘bunker ’ at a par ty on a Thursday evening.
This is not a study place like the bunker in
Tilburg, but it is a general meeting place.
Several bands per formed, a beer cost sixty
cents (in guilders), and it was opened till
four o’clock in the morning. All of this
created a ver y good atmosphere and the
bunker was therefore a fun place to be.
On 19 November 1989, Bar t was born. As
a baby, he was not ver y easy to handle: he
was a bit tear ful. Cecile thinks that this was
because Bar t did not want to be a baby and
that he wanted to do more than he was
capable of. For tunately, this changed when
he star ted walking and talking. Cecile
thinks that this period is one of the best
par ts of his childhood. One of the things
Nekst wonders whether Bar t looks
more like his mother or his father.
Cecile immediately answers that
her son looks more like her. It
often happens that she is thinking
about something and that Bar t
star ts talking about it simply out
of nothing. Besides, they both have
the same type of humour. However,
Bar t does not completely agree with
his mother ’s opinion. Bar t and his
father share an interest for cars and
the economy. Fur thermore, both like
being active within an association.
he really liked doing during his childhood
was changing clothes while playing. Videos
were made about this. Unfor tunately, those
videos are on videotape and we could not
watch them as they only had a DVD player.
When Bar t went to primar y school, he was
a serious pupil and not difficult to handle.
Bar t has a younger sister, Evi, and they used
to play a lot together. They even had their
own brand name: Bavi. This name was used
frequently during playing together.
At the moment, Cecile has two jobs. She
has a job at a pre-school playgroup, where
she star ted working about four teen years
ago as a volunteer and where she has been
a professional since five years now. She
could easily combine this with caring for
her children as she only had to work during
school times and her vacations were at the
same time as the vacations of her children’s
primar y school. Her other job is at a child
care. She just star ted a course that she can
use for her work. She hopes that she can
keep doing this work for a long period
of time. Besides these jobs, Cecile also
followed a course in Spanish and now she
can speak Spanish fluently. Cecile star ted
following this course after a holiday in
Spain, during which Bar t told her that
she could not say anything other than ‘ah’
combined with some hand gestures. Out
of shame, she star ted a course in Spanish
immediately after that holiday, hoping that
the above would never have to happen
again. Her language skills significantly
improved and from then on they go to
Spain almost ever y year. She stopped
following the course, but for three years
now she meets with someone following
a course in Spanish once a week and they
talk Spanish the whole time. Cecile is also
going to begin a new hobby : she is going
to do a course in running. She is promised
10
Nekst also wants to know what has
gone well and not so well in Bar t ’s
upbringing. Cecile thinks she has
done a great job and she does not
worr y about Bar t and his future.
There is only one thing she could
have done better. She says that she
has done too much for him as she did
not give him any tasks around the
house. This was because she never
had to help her parents during her
childhood either. This resulted in
the fact that Bar t is not ver y good at
cleaning up his stuff.
Bart playing in the sun
that at the end of the course, she
will be able to run five kilometres in
half an hour.
In primar y school, Bar t wanted to
get involved with spor ts, but he
did not want to do something with
running or a ball. Never theless, he
decided to play hockey, which is
a spor t in which you have to run a
lot and a ball is involved. He liked
it so much that he is still doing it.
He also considered playing kor fball,
but due to the fact that the baskets
are on top of poles, it turned out
to be too difficult for Bar t and he
decided to do something else. Bar t
also plays keyboard and guitar.
He even considered attending the
music academy instead of studying
Econometrics.
Never theless,
it
seemed better to him to keep
making music his hobby.
Soon it was clear that Bar t is pretty
smar t, but Cecile did not notice a
big preference for mathematics in
Bar t at first, since he was equally
Bar t lives in lodges for a few weeks
now. This is not an enormous shock
for Cecile, since Bar t was not at
home ver y often the past year. Cecile
thinks that this is a per fect chance
for Bar t as she really enjoyed living
in lodges herself.
Cecile is ver y proud of Bar t. As a
final advice, she says: “Enjoy your
youth.” We decided to finish the
inter view with these wise words.
Before we returned to Tilburg, we
ate a delicious meal prepared by
Cecile. |
Text by: Has van Vlokhoven
11
Figure 4: Performance Smart Index Global during the credit crunch (mid ’07 – mid ’09)
comparison of the two methods operating in the same investment universe. The return was also
compared to the return of an external market capitalisation-weighted index: GPR 250 Global.
Higher annualised return for Smart Index Global
The study results for the global product are just as promising as for the European product. Even during
the recent credit crunch, Smart Index Global succeeded in generating outperformance compared to
the benchmarks. Across the entire study period, Smart Index Global earned an annualised return of
7.9%, compared to 5.3% for the market capitalisation-weighted benchmark. This translates into an
outperformance of 2.4% per year. Furthermore, this result was achieved with a comparable volatility.
Smart Index Global outperforms its external benchmark, GPR 250 Index, by 4.0% per year.
ma r t I nde x in g f o r r ea l
A fundamentally-weighted index can indeed provide positive results for a global real estate market
es
t a t etoequi
t ies
compared
traditional,
market capitalisation-weighted indices. Our study demonstrates an average
outperformance of 2.4% per year with comparable volatility. Even during the recent credit crunch,
Smart Index Global outperformed the market capitalisation-weighted index by 3.5% per year. Thanks
to these results, KCM will soon launch a global product, which applies this methodology.
S c i e nti f i c arti c l e K e mp e n & c o
Kempen Capital Management (KCM) was the first company to introduce an article on the topic of fundamental
indexation for European real estate equities in April 2008. This was a revolutionary idea: instead of weighting
according to market capitalisation, KCM developed an index on the basis of fundamental factors as advocated
by United States academic Robert Arnott, the father of fundamental indexation.
ing the credit crunchThe(mid
’07 –ideamid
underlying
is ’09)
that market
capitalisation-weighted indices structurally
allocate large weights to overvalued
companies. This is avoided by weighting
according to fundamental factors. Two
years passed and the worldwide success
of fundamental indexation is still growing.
Total global assets in portfolios managed on
the basis of fundamental indexation rose to
US$18 billion as of mid-2009. This represents a
growth of about 20% compared to the end of
2007. In the wake of our European study, KCM
recently completed a study into fundamental
indexation (called Smart Indexing) in the
global real estate market.
fund was less affected by plummeting market
prices in the second half of 2008. KRESISF’s
lower 2009 performance compared to GPR
250 Europe can be attributed to its higher
weighting of British companies, which did not
perform well, and its underweight in Austria,
which displayed a strong return in 2009.
provide positive results for a global real estate market
-weighted indices. Our study demonstrates an average
arable volatility. Even during the recent credit
crunch,
Do the European results also apply
globally?
capitalisation-weighted index by 3.5% per year.
Thanks
The methodology is identical to the one of
the European study. First, fundamental factors
l product, which applies this methodology.
were selected, which are representative for
the real estate market. These factors also had
to meet the following criteria: 1) they are
representative of a company’s economic size,
Indexing for real estate equities
ASmart
brief
summary of previous articles:
2) they bear no relation to the valuation and/
or price
ofonequities,
and 3) information on the
fundamental
indexation
for
European
real
Kempen
Capital
Management
(KCM)
was
the
first
company
to
introduce
an article
the topic of
Position:
fundamental indexation for European real estate equities in April 2008. This was a revolutionary idea:
estate
equities
leads
to
better
results
than
factor
must
be
freely
Junior portfolio manager instead of weighting according to market capitalisation, KCM developed an index on the basis ofavailable and consistently
fundamental factors
as advocated
by US academic Robert Arnott,calculated.
the father of Three
fundamental
traditional,
market
capitalisation-weighted
fundamental factors have
indexation.
been studied on the basis of these criteria,
indices.
The European study covered the
The underlying
idea is thatand
market
indices structurally
allocateEBITDA
large weights
to
period
1990-2007
displayed
an average
namely
(Earnings
Before Interest,
overvalued companies. This is avoided by weighting according to fundamental factors. Two years
extra
return
of
2%
per
year
while
involving
a
Taxes,
Depreciation
passed and the worldwide success of fundamental indexation is still growing. Total global assets inand Amortisation), rental
portfolios
managed
on the
basisthese
of fundamental
indexation
rose to US$18
billion as and
of mid-2009.
lower
risk.
In July
2008,
promising
results
income
grossThis
dividends. Various factors
represents a growth of about 20% compared to the end of 2007. In the wake of our European study,
were
used
as
a
basis
for
transforming
Kempen
were
considered,
including
book value, but
KCM recently completed a study into fundamental indexation (called Smart Indexing) in the global real
estate market.
these did not meet the criteria. Book value
Real
Estate Securities Index Sampling Fund
contains
priceleads
linktoas real estate is valued at
(KRESISF)
into
Smartarticles:
Indexing
product
(soon
A brief summary
of a
previous
fundamental
indexation
for European
real estateaequities
better
than traditional,
marketEuropean
indices. Themarket
Europeanvalue.
study covered the
to
beresults
renamed
Kempen
Property
period 1990-2007 and displayed an average extra return of 2% per year while involving a lower risk. In
Smart
Indexing
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Since
itsused
relaunch,
the
July 2008,
these promising
were
as a basis
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Securities
Sampling as
Fund
(KRESISF)
into a Smart
(soon to be renamed
fund
hasIndex
performed
shown
in figure
1. Indexing product
The historical
performances of two indices
Kempen European Property Smart Indexing Fund). Since its relaunch, the fund has performed as
were mimicked for the period 1988-2009.
shown in figure 1.
In order to maintain the liquidity of these
indices at as high a level as possible, 250
companies were initially selected on the
basis of free float market capitalisation. Next,
Name:
a fundamentally-weighted composite index
Joost van Beek
was constructed using the three selected
31 August
20092009
** Up
Up to
toand
andincluding
including
31 August
factors and comprising 250 companies, the
Figure 1: Smart Indexing Europe vs. market capitalisation-weighted index
Smart Index Global. As mentioned above,
Figure 1: Smart Indexing Europe vs. market
Position:
From the outset, KRESISF outperformed the market capitalisation-weighted index GPR 250 Europe by
index
the weight depends on EBITDA, total rental
Senior portfolio manager 1.3% per year. Moreover, the fund was less affected by plummeting market prices in the second half
income
and
grosstodividends.
Each factor was
of 2008. KRESISF’s lower 2009 performance compared to GPR 250 Europe
can be
attributed
its
higher weighting of British companies, which did not perform well, and its underweight in Austria,
From
the
outset,
KRESISF
outperformed
the
given
an
equal
weight.
Secondly,
a market
which displayed a strong return in 2009.
market capitalisation-weighted index GPR
capitalisation-weighted index was constructed
Do the European results also apply globally?
using the same investment universe. This index
250
Europe by 1.3% per year. Moreover, the
The methodology is identical to the one of the European study. First, fundamental factors were
Name:
Loes van der Padt
selected, which are representative for the real estate market. These factors also had to meet the
following criteria: 1) they are representative of a company’s economic size, 2) they bear no relation to
the valuation and/or price of equities, and 3) information on the factor must be freely available and
consistently calculated. Three fundamental factors have been studied on the basis of these criteria,
12
namely EBITDA (Earnings Before Interest, Taxes, Depreciation and Amortisation), rental income and
gross dividends. Various factors were considered, including book value, but these did not meet the
was used as a reference portfolio, as
the only difference is the weight of the
individual companies in the index. This
resulted in a transparent comparison
of the two methods operating in the
same investment universe. The return
was also compared to the return of
an external market capitalisationweighted index: GPR 250 Global.
Figure 2: Yearly risk/return ratio Smart Index Global vs. market capitalisation weighted index 19882009
were only two clear, short-lived periods
of underperformance during the study
period.
Both Smart Index Global and the
market capitalisation-weighted index
peaked in mid-2007. Over the period
mid-2008 to April 2009, Smart Index
Global earned an average annual
outperformance of 3.5%. In the period
September 2008 to February 2009,
an example, the standard deviation of all negative returns was 13.86% for Smart In
13.94%
for the market
index.
Smart
Index
Global slightly
lagged
behind
the market capitalisationCredit
crunch
Our study demonstrates that Smart Index Global provides extra return with a comp
weighted
index.
The reason
compared
to the market
index. Yetfor
does itthis
also earn extra retur
market when investors need it most? In theory, Smart Index Global should offer
Higher annualised return
laid inin
itstimes
greater
weighting
in value
precisely
difficult
as it is often
the value of overvalued
equities that drops the f
markets. Precisely these equities have a structural overweight in market capitali
The study results for the global product
equities. Although value equities
indices, while this is not necessarily the case in Smart Index Global. As equity weight
price in Smart Index Global, this index overweights both overvalued and undervalued
performed better in previous bear
are just as promising as for the European
basis of fundamental factors. There is no price link and for this reason Smart Index
greater
protection and
higher were
returns in hit
difficultthe
times.hardest
The credit crunch
Figure
3: Outperformance
of Smart Index Globalof Smart Index
Figure
3: Outperformance
markets,
these
in gives us an op
product. Even during the recent credit
this hypothesis.
crunch, Smart Index Global succeeded in
Global
this market. Subsequently, there was a
Both Smart Index Global and the market capitalisation-weighted index peaked in mid
Additional tests on downside risk, such as semi-standard deviation, maximum
drawdown toand
period
mid-2008
April 2009, Smart
Global 2009
earned an
average annual out
generating outperformance compared
market
correction
in Index
March
and,
conditional value-at-risk, also indicated that Smart Index Global provided slightly
better
protection.
As
3.5%.
In the
period September
2008 to February 2009, Smart Index Global slightly lag
to the benchmarks. Across the entire
Additional tests on downside risk, such
on capitalisation-weighted
balance, Smart
Global
in weighting in
market
index.Index
The reason
for this laiddid
in its greater
Although value equities performed better in previous bear markets, these were hit the
study period, Smart Index Global earned
as semi-standard deviation, maximum
factSubsequently,
profit from
thisa market
strategy.
market.
there was
correction in March 2009 and, on balanc
Global did in fact profit from this strategy.
an annualised return of 7.9%, compared
drawdown and conditional value-at-risk,
to 5.3% for the market capitalisationalso indicated that Smart Index Global
weighted benchmark. This translates
provided slightly better protection. As
into an outperformance of 2.4% per
an example, the standard deviation
comparison
of the
two methods operating
in the same
investment
universe. The
was also
of return
all negative
returns was 13.86% for
year.
Furthermore,
this
result
was
compared to the return of an external market capitalisation-weighted index: GPR 250 Global.
achieved with a comparable volatility.
Smart Index Global and 13.94% for the
Higher annualised return for Smart Index Global
The study
results Index
for the globalGlobal
product are just
as promising as for the
Evencapitalisation-weighted
during
Smart
outperforms
itsEuropean product.
market
index.
the recent credit crunch, Smart Index Global succeeded in generating outperformance compared to
externalAcross
benchmark,
Index,
byearned an annualised return of
the benchmarks.
the entire studyGPR
period, 250
Smart Index
Global
7.9%, compared to 5.3% for the market capitalisation-weighted benchmark. This translates into an
4.0% per
year.
Credit volatility.
crunch
outperformance
of 2.4%
per year. Furthermore, this result was achieved with a comparable
Smart Index Global outperforms its external benchmark, GPR 250 Index, by 4.0% per year.
Our study demonstrates that Smart
Figure
4: Performance
Smart Index Global
during the
credit crunch
(mid ’07 – mid ’09)
Index Global provides extra return with
Figure
4: Performance
Smart
Index
Global
A fundamentally-weighted
can indeed
positive
results for a global rea
during the creditindex
crunch
(mid provide
’07 – mid
’09)
a comparable volatility compared to
compared to traditional, market capitalisation-weighted indices. Our study demonstra
the market capitalisation-weighted
outperformance of 2.4% per year with comparable volatility. Even during the recen
Smart Index Global outperformed the market capitalisation-weighted index by 3.5% pe
fundamentally-weighted
index. Yet does it also earn extra return
to A
these results,
KCM will soon launch a global product, whichindex
applies this methodology
can indeed provide positive results
in a declining market when investors
need it most? In theory, Smart Index
for a global real estate market
compared to traditional, market
Global should offer extra protection
indices.
precisely in difficult times as it is
Our study demonstrates an average
often the value of overvalued equities
outperformance of 2.4% per year with
that drops the furthest in falling
Figure 2: Yearly risk/return ratio Smart Index Global vs. market capitalisation weighted index 19882009Figure 2: Yearly risk/return ratio Smart
markets. Precisely these equities have
comparable volatility. Even during
The Index
regions included
in the vs.
study,market
i.e. Europe, capitalisation
Asia (including Australia) andaNorth
America, all
Global
structural
overweight in market
the recent credit crunch, Smart Index
contributed positively to the outperformance.
It is weighted
interesting to look
at the index’s
three-year rolling average outperformance. This
gives an idea of
index
1988-2009
indices, while
Global outperformed the market
Smart Index Global’s long-term outperformance. We can see that there were only two clear, shortcapitalisation-weighted index by 3.5%
this is not necessarily the case in Smart
lived periods of underperformance during the study period.
The regions included in the study,
Index Global. As equity weight is not
per year. Thanks to these results, KCM
will soon launch a global product,
related to price in Smart Index Global,
i.e. Europe, Asia (including Australia)
and North America, all contributed
this index overweights both overvalued
which applies this methodology. |
positively to the outperformance.
and undervalued equities on the basis
Kempen & Co is an independent merchant bank
of fundamental factors. There is no price
It is interesting to look at the
specialised in financial services for institutional
link and for this reason Smart Index
index’s three-year rolling average
investors, companies and high-net-worth
Global provides greater protection and
outperformance. This gives an idea
individual clients.They provide specialist financial
higher returns in difficult times. The
of Smart Index Global’s long-term
credit crunch gives us an opportunity
services in asset management, corporate finance,
outperformance. We can see that there
to test this hypothesis.
investment funds and securities brokerage.
The regions included in the study, i.e. Europe, Asia (including Australia) and North America, all
contributed positively to the outperformance.
It is interesting to look at the index’s three-year rolling average outperformance. This gives an idea of
Smart Index Global’s long-term outperformance. We can see that there were only two clear, shortlived periods of underperformance during the study period.
Figure 3: Outperformance of Smart Index Global
Additional tests on downside risk, such as semi-standard deviation, maximum drawdown and
conditional value-at-risk, also indicated that Smart Index Global provided slightly better protection. As
13
Johan van Arkel, PGGM
A wi l d b u l l and c o l o u r ed
sh o t s
Fr e shm e n A c tivity and S aint N i c holas D rink
Calculator
of innovator?
If I think of paintball, then I think of American movies, in which people on a ranch throw balloons filled with
paint to each other. So when I had the opportunity to enjoy a game of paintball during the Freshmen Activity,
I immediately subscribed myself at the Astrics room.
Stagiair
Junior actuarieel medewerker
In de sector zorg en welzijn is PGGM een financiële dienstverlener
De toonaangevende afdeling Actuariaat & Asset Liability
van formaat. Kijk maar naar de cijfers: we beheren de pensioenen
Management van PGGM bestaat uit 25 professionals. Jonge
van meer dan twee miljoen klanten en we beleggen negentig
mensen, die advies uitbrengen over de meest uiteenlopende
miljard euro wereldwijd. En dan hebben we het nog niet eens
kwesties. Wat wordt bijvoorbeeld ons financiële beleid? Hoe
over de aanvullende producten die we ontwikkelen. Kortom,
‘houdbaar’ is een pensioencontract? Wat is de beste methode
typisch een organisatie waar ambitieuze vernieuwers zich
van verslaglegging en welk verzekeringsproduct heeft echt
kunnen uitleven. Zeker als je op zoek bent naar een uitdaging
toegevoegde waarde? Maar ook: wat moet de invloed van het
in het actuariaat. Heb je er de inhoud voor, dan wacht je een
solidariteitsprincipe zijn? Al met al heb je tal van mogelijkheden.
prachtige carrière op het snijvlak van zakelijk en maatschappelijk
Je kunt beginnen met een (afstudeer)stage. Of je kiest gelijk
belang. Inclusief een aantrekkelijk salaris, interessante oplei-
voor de functie van junior actuarieel medewerker. In beide
dingen en een prettige balans tussen werk en privé. Klinkt goed?
gevallen doe je snel een schat aan kennis en ervaring op.
Klopt. Lees meer over je kansen op www.pggm.nl/werkenbij
En je krijgt alle ruimte voor initiatief. Dus: ben je bijna of
net klaar met je studie actuariaat, wiskunde of econometrie?
Bel (030) 277 85 43 voor meer informatie. Direct solliciteren is natuurlijk ook een optie. Stuur je reactie met cv naar
PGGM, Human Resources, t.a.v. Martine Gersen, Postbus
117, 3700 AC Zeist, of per mail naar [email protected].
www.pggm.nl/werkenbij
Rodeo
On Tuesday evening, I biked to Voltage. I was
already warned for getting a lot of bruises
during this activity, but I bravely entered
the building with my old sports shoes on.
Voltage has a big hall where you can do a lot
of activities and you can also play paintball in
the biggest indoor paintball area of Europe.
Inside the building, I met the other freshmen
and many sophomores. We were split into two
groups and my group started with the rodeo.
Because I lacked the skills for riding a wild bull,
I decided to watch other people on the rodeo.
The goal was to sit three minutes on the wild
bull having one hand on the bull and a hat
in the other, as if you were a real cowboy. If
you could handle this, then you were a winner.
Unfortunately, it was not easy to accomplish
this. The bull was untamed and I heard that
you did not sit on a soft pillow, so three
minutes were actually very long. However, it
was fun to see how everyone tried to handle
the bull.
Paintball
After the rodeo, we went to the paintball
area, which was a big, cold, and dark hall that
resembles a battlefield with sounds of war. We
could dress ourselves in red or white overalls
as there was a red and a white team. I was part
of the white team and our motto was ‘shining
white’ (Dutch: stralend wit) and ‘white should
stay white’ (Dutch: wit moet wit blijven).
Armed with a gun and fifty paintballs, we set
foot on the battlefield. With a helmet on our
heads and constantly forced to take cover
behind barrels, it was hard to see your enemy.
After a short time, however, the war started.
Hitting the enemy twice meant his death, so
when you saw two hands in the air you knew
you had done your job well. The dead people
had to go to the instructor, who counted the
number of deaths in each team. After that,
you could return and enjoy the game again.
Unfortunately, the other team consisted of
real slaughters, so we lost the game.
Saint Nicholas
After the activities, we went to Café Babbus,
where the monthly drink of Asset | Econometrics
took place. The pub was decorated in Saint
Nicholas style and several members, who had
placed their shoes in the Astrics room the
week before, received a present from the Saint.
Because Saint Nicholas had missed the boat
back to Spain, he visited the econometricians
in Tilburg with two Black Peters (Dutch: Zwarte
Pieten) at the pub this evening. Some members
had to come over to the Saint and they had to
sit on his lap, because the Black Peters had
noticed some interesting actions of these
members in the past year. Of course, the Saint
also brought presents with him. The winner
of the rodeo activity received a present with a
cowboy theme and after the board members of
Asset | Econometrics sang a song for the Saint,
they all got a chocolate letter. Furthermore, the
only male board member received a football
with little princesses. The Saint also offered a
free barrel of beer and after that he definitely
had to go back to Spain. It was a nice evening
and I am looking forward to the next Freshmen
Activity! |
Name:
Chris Pustjens
Age:
18
Begin studies:
2009
Saint Nicholas and his Black Peters
15
eachin g sh o u l d Be Taken
M o r e S e r i o us ly
The Teacher
You probably know Gert Nieuwenhuis as a teacher of econometrics courses and statistical courses for
economists. What you probably do not know, is that he was born as a farmer’s son. This is the story of a
farmer’s son, who became an Associate Professor in Statistics at Tilburg University.
Name:
Gert Nieuwenhuis
Position:
Associate Professor
Youth
Gert was born in Empe, which is a village close
to Zutphen, on a small farm. In primary school,
he was very good at studying and therefore
the head of the school gave him the advice to
go to the lyceum. Although he was expected
to become a farmer, he knew that a future as a
farmer on a small farm was not too bright and
he decided to follow this advice and he went to
study in Zutphen. First, he did the ULO, which
is comparable to the theoretical layer of VMBO
these days. After one year on the ULO, he went
to grammar school. This was very complicated
in the beginning, since he was born as a
farmer’s son and could therefore not speak
Dutch: only dialect. After finishing grammar
school, he could not get a scholarship and his
parents did not have enough money to pay for
his studies. Therefore, he decided to work for a
while and started working at the IT department
of Akzo, although he always kept in mind that
he wanted to study sooner or later.
Gert studied Mathematics in Nijmegen.
Nevertheless, it was not his first choice. The
main reason for attending Greek and Latin
at secondary school was that he wanted
to become an archaeologist. At that time,
archaeology was clustered with the Roman
ages, in which he was – and still is – very
interested. Unfortunately, there was not a
lot of work for archaeologists back then and
therefore it seemed wise to study his second
choice.
His days as a student (1968 – 1970) were
a restless time. It was a time with lots of
occupations of buildings. In his second year
of Mathematics, students from Radboud
University Nijmegen (including Gert) occupied
the Mathematics faculty. They proposed a
different way of education: more teamwork,
more society centred and less formal. This
occupation lasted for about four to five months.
The actions came to a standstill because of the
summer break, during which everybody went
on holiday. Although the occupation issue
blew over, it was an interesting experience
from which everyone learned a lot.
During his studies, Gert had a considerable
amount of jobs in order to be able to keep up
with the costs of studying. Amongst others
he worked at Van Gend & Loos, Honig, Gazelle
and as a student assistant at the university.
Furthermore, he worked as a teacher in
mathematics at a secondary school in the last
two years of his studies. This was a job for about
twenty-five hours a week. Since an almost full
working week was difficult to combine with his
studies, he decided to stop teaching, and soon
after he finished his studies.
University career
After graduation, Gert was asked to set up
the course Stochastic Point Processes at
the Mathematics department of Radboud
University Nijmegen. This course was also
meant for students in medical physics. The
next two years, he set up this course and gave
lectures as well. After these two years, he did
research in the field of Stochastic Processes
and Statistics. He obtained a doctoral degree
and worked for two and a half days and later
three and a half days a week at the university.
This schedule was perfect for Gert, since he
had two young children at that time and his
wife had a job as well. Later on, he could not
get a full assignment in Nijmegen anymore,
so he went to Tilburg University to work with
Professor Van der Genugten.
Nekst asked Gert Nieuwenhuis whether or not
he has the ambition to become a full professor.
He answered that if one wants to become a full
professor, that person has to do a lot of research
and has to have a considerable number of
publications. In Gert’s view, however, research
16
comes in second place. Instead of doing
research, he prefers giving lectures and
developing course material. Together with
Professor Van der Genugten, he developed
Dutch lecture notes for Introduction to
Probability Theory and Probability and
Statistics.
should therefore receive more money.
In his opinion, the university should deal
with education in the following way. First
of all, there should be more money and
appreciation for teaching. Secondly, the
money should be divided on the basis of
labour intensity for those courses.
Recently, he also developed some other
course material. For three years, he
had been writing a book for the course
Statistics 1 for Business Economics, which
he did mostly in the weekends. He finished
his book Statistical Methods for Business
and Economics in 2009. What Gert really
likes about developing subject material
is that all the topics of the course have to
be covered and tied together, whilst you
also have to consider how far you will go
into doing this. His assumption is that if
you raise the standard, students will aim
higher as well.
Personal life
Gert has a family consisting of five children
between the ages of 25 and 29: he has two
children and his wife has three children.
They live in Malden, close to Nijmegen. In
his leisure time, Gert likes running. In the
summer, he runs three times a week from
his house via the Maas-Waal canal to the
Maas and along the Maas over the dike to
a water sports area in Plasmolen, Limburg,
and back. He ran about a hundred ‘half
marathons’ in his younger years and a
‘whole marathon’ once. Gert: “Running
a whole marathon costs a lot of training
time and I was dead tired afterwards,
which is why I would never do that again.”
Another hobby of Gert is cycling. If he
goes to Nice (France) during his holidays,
he takes his racing bike with him. He loves
cycling there because of the weather, the
mountains, and the multiple hairpin bends
(U-shaped bends in the road).
According to Gert, it is an unpleasant
development that research is considered
more important than education at Tilburg
University. In his opinion, education has
to be taken more seriously. He has been
chairman of the Educational Committee
for bachelor’s programmes in Business
since 2004 and is therefore faced with
this discussion quite often. Of course, the
university will never say that you give
too many lectures and that you should
put more effort in research instead, but
gradually the department members
become supposed to earn their own
money. If your principal activity is teaching,
then this is impossible to do. Currently, if
you teach a course, you get money from a
separate fund. Basically, all courses get the
same amount of money and Gert thinks
that this is unfair. For the Econometrics
programme, this is not a problem, but for
the Economics studies, there are large
differences in the amount of work between
the different courses. For some courses,
only the professor has to be paid, but
some other courses are a lot more labour
intensive, as many lectures, tutorials and
practical lessons are required. According
to Gert, the lecturers of those courses
Besides these hobbies, he also likes
listening to music and reading books. He
especially likes the singer-songwriters
genre, about which his son, who went to
the Rock academy in Tilburg, tells him
a lot. He likes reading history books and
novels. Gert thinks Arthur Japin is a very
good writer. He likes the fact that this
writer is very open-minded.
A piece of advice
“Econometrics is a beautiful study, which
is very ‘cosy’ and as a student you are close
to the members of the department. Try to
bring out the best in yourself, because
this study is a great starting point for your
future. Try to understand everything that
is presented to you and do not be satisfied
with sixes.” |
Gert Nieuwenhuis’s choices:
RU or UvT?
UvT
Univers or Nekst?
Nekst
Computer or Pen and Paper?
Computer
Word Finder or Sudoku?
Sudoku
Theory or Practice?
Theory
Tilburg or Nijmegen?
Nijmegen
Summer or Winter
Olympics?
Winter Olympics
Calculator or Mental
Arithmetic?
Calculator
Cooking Dinner
or Mensa?
Cooking Dinner
Mathematics or
Econometrics?
Mathematics
Text by: Dimphy Hermans
17
i n - h o use p o we r g ene r a t o r s
E x c ursion nuon
On Thursday 10 December, Asset | Econometrics held an excursion to Nuon for students following the course
Dynamic Capital Investment. We started the day with a presentation about Nuon and thereafter we had to
make a case about in-house power generators, which gave insight into the daily business at Nuon.
At the beginning of the day, someone
from the HR department told us about the
activities of Nuon and the job opportunities
they offer to econometricians. After this
presentation, we were shown an animation
video of what the world would look like
according to Nuon in about fifty years from
now. According to Nuon, we would be driving
electric cars, producing our own power inhouse in an environmental friendly way
and electricity could be generated out of a
wide variety of daily life tasks, such as the
movement of a car or from pressure tiles in
the sidewalk. This was also an introduction
to the case, which was about in-house power
generators.
After the introduction, Muammer Cider, who
did his master’s thesis for Econometrics on
this subject and recently started working
at Nuon, gave us an introduction to the
case. We first held a brainstorm session on
the relationship between demands and inhouse power generators. The main issues
were: How much space will it take? What to
do with excess power? From what source
should the power be generated to guarantee
a constant supply?
After the brainstorm session, we were divided
into groups to do an assessment. We had to
answer about eight questions concerning
the in-house power generator and we were
supposed to come with a sort of conclusion
for Nuon, answering the following question:
Would it be wise for Nuon to invest in inhouse power generators? I was in a group
of six students, consisting of five students
following the master’s programme in
Econometrics at Tilburg University along
with having done a bachelor’s programme
at the University of Eindhoven. As can be
expected, we got a little hung up in the
technical details: is it possible to store the
produced energy? Can you put excess energy
on the network? However, Mr Huisman came
to help us, although we only had a few
minutes left, so we did not answer all the
questions and we certainly did not reach
any conclusion! Luckily we had two brave
team mates who wanted to tell the other
groups our conclusion. Besides, all other
presentations were very short as well and
not exceptionally in-depth.
When Mr Cider started talking about the
subject again, it became clear that he had
expected more outcomes from our side
on the case. However, there was obviously
very little time and the questions were too
specific to give a sufficient answer in the
available time. He ended the session by
presenting the outcomes as they should
have been according to his master’s thesis.
We ended the day with a drink and everyone
had the chance to talk with employees of
Nuon about the company. To conclude, this
day was a perfect opportunity to get insight
into what an internship at Nuon may look
like. |
Name :
Anne Michielsen
Age:
23
Begin studies:
2009
Sustainable power generation
19
o w t o win a b o t t l e o f wine
R a b b i t s o n a C h r is t mas dish
P ar e nts e v e ning
ass e t c hristmas gala
In November 2009, my wife and I received an invitation for the Parents Evening of Asset | Econometrics. At first I
Let me tell you about an event that you may have missed last year. It took place at The Gallery on 17 December
thought this invitation was a mistake, because we assumed that there would be no parent evenings after our son
2009. I can let you know that a lot of students from various studies were present. Moreover, everyone was
graduated from high school.This evening,however,was meant for parents of active members of the study association.
dressed up very nicely. Do you know what I am talking about? Of course, I am talking about the Asset
So, my wife and I registered for the evening and on Friday 11 December, we travelled from Houten to Tilburg.
Christmas Gala!
Upon arrival, we received a cup of coffee
in a comfor table salon, called Tilbur y ’s, at
Tilburg University. We sat down at a table
with a few empty seats. We introduced
ourselves to our table mates and found out
that we shared a table with the parents of
Harold van Heijst.
Name:
Toine Geelen
Father of:
Thomas Geelen
First, the members of the board introduced
themselves to us and explained what
the organisational structure of Asset |
Econometrics looks like. To our surprise,
there appeared to be a large amount of
committees and over for ty active members.
After the presentation of the board, all
the chairmen of the committees came
to the floor one after another. Ever yone
told ver y enthusiastically about his or her
committee.
We received a lot of information about the
tasks of the several committees, such as
the Drinks & Activities committee. Frans
Fonville told something about the Nekst
committee, which creates this magazine.
He told about the many trials of a Nekst
edition. In an appealing way he illustrated
the stress a deadline of Nekst brings about,
by throwing the many papers of the trial
versions on the floor.
closed biddings. Some bottles of wine were
available for auction and each time a bottle
was sold by means of a different kind of
auction. It appeared to be the house wine
of Asset | Econometrics. Because of the
high quality of the wine, we were ver y keen
on winning an auction, without paying too
much of course. Eventually, we went home
with two bottles of wine.
Before the gala, it was already clear to me
that it would be an evening that nobody
would forget. On my way to The Galler y,
I learned by experience what a shower
of salt and snow, caused by passing cars,
looks like. For tunately, I was not the victim
of this shower; the girls of the group were.
Never theless, before we arrived at the gala,
they had already cleaned their legs.
After the auction, we par ticipated in a
tour through the Esplanade building, in
which the rooms of the study associations
are established. Notable were the many
posters of organised activities, which
hung on the walls in the rooms. When we
returned to Tilbur y ’s, we saw a shor t video
giving an impression of the daily life in
the rooms of Asset | Econometrics. We got
a nice view on how things work within a
study association.
Upon arrival at The Galler y, it was a little
disappointing to see that there were
only a few econometricians. Of course,
the board of Asset | Econometrics was
present. A small group, however, does not
mean that a par ty will be less successful!
All requirements for a per fect gala were
present: a glass of Champagne to welcome
ever yone, a photographer taking pictures,
a nice location, a DJ, snacks, and last but
not least, lots of beer and wine for free! I
think, for those who were not at the Asset
Christmas Gala, the latter will be a good
reason for them to come this year. In
contrast to the Orientation & Information
Day of last November, not all rooms of The
Galler y were open this time. The gala was
held in the biggest room of The Galler y, in
which the opening of the OID took place as
At the end of the evening, we had a
drink and a chat with the other parents.
Thereafter, we went home by train, heading
for Houten. During our journey back home,
we looked back on a successful Parents
Evening and I would like to thank the
board for organising this event. |
Our own son, Thomas Geelen, told about the
Logistics Symposium committee. According
to Thomas, the Logistics Symposium
committee is the best committee there is
and it has the best members. What else
could be expected with such a nice son?
During the break we received drinks and
nuts. After that, Ruud Hendrickx, a professor
of the depar tment of Econometrics & OR,
told us something about auctions in a
compelling way. There are many types of
auctions, such as first price auctions and
well. The room appeared large enough for
a fantastic par ty till two o’clock!
With about 200 people at the gala, the
room was pleasantly filled and there were
a lot of people dancing. The DJ did not
play a lot of Christmas music, but mostly
modern popular music. One of the played
songs was Flappie by Youp van ‘t Hek.
Personally, I really like this song. I noticed
that lots of other people did as well. A
guy standing next to me apparently loved
this song so much that he could not stop
singing it. However, his singing was a little
bit annoying for some other people. I think
this guy really lost his rabbit in real life.
Hopefully, he never got a rabbit on his
Christmas dish.
Without a doubt, you get to know a lot
of people during such a par ty. Besides,
networking with people from other studies
gives a broader view on what is going on at
TiSEM and you get to know the substance
of the other studies as well.
Name:
Jorrit ten Brinke
Age:
17
Begin studies:
2009
Someone proposed the idea of an after
par ty. At two o’clock, however, beer had
flooded so richly that we would probably
not reach the after par ty before closing
time. I think that most of the par ty crashers
agree with me. Another thing I liked about
the Asset Christmas Gala was the feeling
of closing the year by means of this par ty,
since the Christmas holiday star ted after
the gala. After a year of hard work, the gala
was a per fect star t of my holiday.
To conclude, I hope to see you at the
Christmas Gala at the end of 2010! |
M e e t i n g a t T i l b u r y ’s
20
Me and the ladies
21
ave y o u r o wn pa t h a t T N O
B usin e ss int e rvi e w T N O
TNO, a company set up by the government, was glad to invite Nekst for an interview to let us find out what
this company has to offer. Therefore we made our way to Delft, where one of their ICT offices is located, and
received a warm welcome from Femke Hulsbergen, employee at TNO ICT. Settling in an empty room, with a
hot drink to warm us up, Nekst started the interview.
The company
TNO as a whole prides itself on its 4000
employees, divided over five different
branches: ‘Building and Foundation’, ‘Defence
and Safety’, Quality of Life’, Industry and
Technology’ and ‘ICT’. The latter has about
350 employees, of which about 300 work
in Delft and the others in Groningen. TNO
ICT cooperates with the aforementioned
branches as well. This makes the work to be
done very diverse and interesting.
Name:
Femke Hulsbergen
Age:
31
Position:
Consultant
As mentioned before, TNO was set up by the
government. Why would the government
do that? Femke: “ TNO is a Dutch research
organisation designed to develop knowledge
and help companies to use this knowledge
to innovate. For example, a few years ago
you were unable to watch video clips on
your mobile phone. We helped to figure out
how this could be accomplished and showed
the result to the companies, after which they
started producing such phones.
Although we were set up by the government,
we work independently and therefore can
do unbiased research. The only limitation
for TNO is that the company is not allowed
to compete with the commercial companies.
For example, if a company is developing
innovation plans and we turn out to be
cheaper than the commercial companies, we
cannot compete with that company on the
offer. We charge a fixed price for our services
and we are allowed to make a three percent
profit only.”
The employee
After hearing all this information about the
company, we would like to know some more
about Femke: “I studied Econometrics and
followed a master’s programme in Marketing
at the Erasmus University Rotterdam from
2002 up until 2008, which means that I have
worked here for two years now. Before that,
I studied Commercial Economics in Arnhem,
which focused on market research. I did an
internship at a market research company
and the quantitative side of it sparked
my interest. Thus I ended up studying
Econometrics.”
How did Femke immediately end up at TNO
though? Femke: “I wanted a combination of
research and consultancy, but I never really
thought about it, as I was busy graduating. I
had stored an advertisement on Intermediair
and got an offer telling me to take a look at
the vacancies TNO had. I had already received
an offer from another company, but thought
it would be best to see what TNO had to
offer as well. In the end, and that was quite
a tough decision, I decided to work here and
before Christmas my contract was signed.”
When you start at TNO, you will be guided
from the first day onwards. Every three to
four weeks your manager will invite you for a
chat, in which you can discuss your work, the
projects you are working on and how you
feel about things. Within the company, there
are several courses you can take. However,
if you want to do something besides these
courses, you can ask your manager as well
and he will usually comply.
Femke’s contract was signed for forty hours
a week and she usually sticks to those neatly.
Sometimes she works thirty minutes or an
hour extra, though she rarely spends her
weekends working. As an early bird, she
arrives around half past seven in the morning
and because of all the things she works on
for the past few weeks, she leaves the office
around six o’clock. To compensate for that,
she takes quite a few holidays: Malaysia,
Ardennes, Dolomites, multiple weekends
off, with all of these in just one year. You get
22
Nekst 3- March 2010
33 days off, but if you want to, you
can ask for extra days, if it does not
disrupt your projects.
If she could have worked anywhere
else, where would she have gone? This
question results in a sigh and some
deep frowns. “I am not sure… The
thing I like most about my job is that
you are in close contact with the client
you are working with. The process of
interacting with one another to find
out what it is they want us to develop
is very interesting. The consultancy
part is what appeals to me most and
that is something you can do almost
everywhere in the Netherlands. The
nice thing about TNO is the fact that
you generate knowledge. Although I
like that, I would not even consider
working at a university, because I like
the commercial side of things.”
The team
Projects are done in ‘working
teams’, which means you all work
on developing a certain product
together, though the independent
tasks among the team members may
differ greatly. Femke mostly works
with mathematicians, because of the
quantitative side of her work. Most
of them are fellow econometricians,
mathematicians or ICT-skilled people.
Econometricians are definitely needed:
she gives us some examples of the
many vacancies for econometricians
in all branches of TNO. And for a
reason: Femke uses her econometric
knowledge regularly. Femke: “I have to
do a regression analysis quite often.
In such cases, I find myself wondering
which type of regression is the best
to use. I think the most important
aspect is the way of thinking that the
study Econometrics teaches you, the
way of analysing data, thinking about
it and looking at it from a certain
perspective.
Part of her work is guiding several
working teams in order to make
everything work, which she likes a lot.
Of course, there are a lot of different
possibilities when working at TNO. For
example, you can decide to become a
consultant, focusing on interaction
with your clients and advising them.
Another road to take is one of a
specialist, who knows all about a
certain field of knowledge.‘Marketeers’
can be found within TNO as well,
focusing on finding those clients who
are in need of advice. Whatever road
you take, TNO will offer you courses to
help you grow. Of course, if you think
that this is not enough, you can get
your own personal coach to develop
competences or you can take extra
courses you find suitable.
There is an employees association as
well, which organises monthly drinks
and activities for its members. For
example, they have been to other
branches to see what happens over
there in terms of research, after
which a drink took place. Sometimes
employees themselves come up with
ideas for organising events, such as
poker tournaments or a dance night.
Personal information
Besides travelling, Femke has another
bunch of hobbies: cycling, walking,
photographing,
playing
games,
diving, playing squash and yoga. She
does not read that much, but once
she is reading a good book, she will
pick it up whenever she has some
time to read. She admires people
who go all the way for their passion,
such as sportsmen. However, this is
not something she would easily do
herself.
Finally, she gives us some advice: “ Try
writing your bachelor’s or master’s
thesis at a company, for it can help
you to find out whether you like that
company or not and to discover what
it is like to work at that company.
Such opportunities can be found at
TNO as well.” She also thinks that it
is very useful to become active. “ Try
organising activities or something
similar, as companies are interested
in such experience as well. And of
course: choose a job you like!” |
Text by: Fang Qi Wu
A great atmosphere at TNO
23
E l ec t i o ns
Column
Since the beginning of 2010, the air is filled with the buzz of elections. We already knew there were going to be
municipal elections, but a lack of trust over Uruzgan has caused the government to collapse, necessitating general
elections on 9 June 2010. Elections are very exciting for econometricians, as we can analyse our own voting power,
consider the power of the various parliamentary parties, or we can muse about the obstacles in coalition forming.
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Let me consider some topics that will not make
it to mainstream discussions. Party leaders are
important figures in general elections. You see
their face on television and in the papers every
day and they are believed to be representing
the ideas of their parties. They are conveying
those ideas to the voters, who can then make
an educated decision on the policies they want
the next government to carry out. At least, this is
said. In reality, the proper way for voters to reveal
their opinion about issues concerning general
policy is by means of local elections. Issues
like Uruzgan and the economic crisis are used
by voters to decide for whom to vote in local
elections. General elections, on the other hand,
are used as a popularity contest among party
leaders.1
There is also another persistent rumour regarding
elections. It has been said many times that
money buys elections. There is a clear reasoning
behind this line of thought, which sounds very
convincing. If you are willing and able to spend
a lot of money on your campaign, then you
will most likely buy a lot of advertising time.
Furthermore, having money is in itself a clear sign
of success. Because people know you very well,
they are more likely to vote for you. Besides, if
you need to assess candidates, you will probably
trust a successful person in fixing the problems of
your country, don’t you? There is very convincing
evidence pointing to this conclusion, according
to advocates of this theory. Almost every man
elected as president in the United States of
America2 outspent his direct opponent.
I suspect my grandmother of using this strategy.
Last week she was reviewing the policies of the
local parties, and found one she particularly liked.
Within five minutes, however, she decided to vote
for CDA, because she agreed with Balkenende
about the mission in Uruzgan. Although my
grandmother claims that she votes CDA because
of this reason, I am not sure about the causality.
Research has shown that the human mind needs
to ‘make sense’ out of things. In some experiments,
the researcher conducting the experiment is
deliberately being rude. He plays his role well:
when asked afterwards, everyone dislikes him.
Now researchers added another element: they
asked a new group of subjects to donate money
to help them with their research. When asked
about the rude researcher, they apparently had
a different opinion: they liked him. Because our
mind cannot understand why we would donate
money to a researcher we dislike, our mind
reverses the conclusion: we liked this guy after
all. The same probably happened in case of my
grandmother. She has always voted CDA, so she
should definitely agree with Balkenende.“If I vote
CDA, then it must be because I like and trust the
people running that party,” her mind concludes.
But once again, the causality should be reversed.
Suppose you have two candidates, one is favoured
by voters and the other one is an underdog. If
you are a large company trying to gain goodwill
from the new president, you are much better off
supporting the campaign of the winner. There is
usually no reason for supporting the underdog.
There is evidence suggesting this really happens.
Consider the campaign of Barack Obama, who
got a lot of money for his campaign, while his
Democratic opponent, Hillary Clinton, had more
money at the beginning of the campaign period.
Besides, a lot of millionaires have tried to run for
president in the USA, but most of them did not
even survive the preliminary rounds.
Name:
Gerwald van Gulick
Position:
PhD Candidate
It is clear that the mechanisms behind elections
may not be as grim as you might think at first
sight. Who to vote for in the popularity contest
in the Netherlands? I might just look at policy
instead... |
1. Attentive readers might wonder: “If this is the case, when can I vote if
I am concerned with local issues?” Even more attentive readers already
know that this is impossible.
2. For women, the sample size is equal to zero.
25
imu l a t i o n in t he D u t ch
f l o we r t r ade
P ra c ti c al r e port
When looking for an internship in the field of Operations Research, an interesting project
in the ornamental wholesale attracted my attention. Flowers are a famous Dutch expor t
product and our country represents sixty percent of the world’s trade in flowers and
plants.
The flower trade
The flower auctions in the Netherlands are the
heart of the world’s flower trade, with 39 clocks
operating every day. The three biggest auctions
are located in Aalsmeer, Rijnsburg, and Naaldwijk.
Near these auctions, several wholesalers in
flowers and plants are located, such as cash and
carriers, order line drivers (Dutch: lijnrijders),
and exporters. These wholesalers have clients
in the Netherlands, for example florists, garden
centres, and supermarkets, to which 12 percent
of allSimulation
products are sold;
the Dutch
other 88flower
percent trade
are
in the
exported.
Name:
Yvonne Blom
Age:
23
Begin studies:
2004
analysed for wholesalers and other parts in the
supply chain. Studies were performed regarding
different types of wholesalers.
My research took place at the wholesaler
‘Hamifleurs’, which is a big cut flower exporter
located in Naaldwijk. This company buys most
of the flowers by using the auction clock. Clients
of Hamifleurs are mainly wholesalers in other
European countries.
Problems in the current situation
The problems that the wholesaler experiences
in the current auction system can be split into
Yvonne
blom
23 2004
The supply
chain
of flowers
is shown in figure 1.
logistical, commercial, and social problems. In
logistics, the sorting process cannot be arranged
Flowers first go from grower to auction, where
When
looking
for auction,
an internship
in the
of Operations
Research,
project in the
they are
sold.
After the
flowers
andfield
plants
efficiently
due an
tointeresting
a discontinuous
delivery
ornamental wholesale
attracted via
my attention.
famous Dutch
product
and our
are transported
to the wholesaler
internal Flowers
fromare
theaauction
and a export
long time
between
the
logistics
(in case
the transaction
at trade moment
buying
country
represents
60 percenttakes
of theplace
world’s
in flowersof
and
plants.and delivery. Client orders
a nearby auction) or via road transport (from
may be completed late and may be incomplete
Theauction).
flower trade
when transportation needs to start. In the
another
Currently, most of the products
are present in front of the clock during auctioning,
commercial area, pricing is a problem. At a certain
The flowerbased
auctions
in the or
Netherlands
are the heart
of the
the world’s
flower
with 39atclocks
but auctioning
on images
just information
time,
company
stopstrade,
purchasing
the other
becomes
more every
common.
development
is
From
that moment
onwards,
operating
day.Another
The three
biggest auctions
areauction
locatedlocations.
in Aalsmeer,
Rijnsburg,
and Naaldwijk.
the increase
in
popularity
of
other
ways
of
buying,
everything
is
purchased
at
the
Naaldwijk
Near these auctions, several wholesalers in flowers and plants are located, such as cash and auction
carriers,
and demand increases over there. The current
such as buying directly from growers (via E-trade)
order line drivers (Dutch: lijnrijders), and exporters. These wholesalers have clients in the
or by means of long term contracts.
auction times also cause the social problem of
Netherlands, for example florists, garden centres, and
supermarkets,
to times.
which Especially
12 percentpurchasers
of all
unattractive
working
are sold; exist
the other
88 percent
are exported.
Sinceproducts
flower auctions
in the
Netherlands,
have to start very early in the morning.
auctioning takes place early in the morning,
The supply
chain
of flowers
in figure 1. Flowers
go from grower to auction, where they
Futurefirst
scenarios
starting
at 6:00
hours.
From isashown
wholesalers’
are sold.this
After
thenot
auction,
flowers
plants are transported
to the
wholesaler
via by
internal
logistics
perspective,
may
be the
most and
efficient
Based on three
scenarios,
stated
the VGB,
the
auction
timetheanymore.
Therefore,
the
effect or
ofvia
other
times
was
analysed.
My
(in case
transaction
takes place
at atrade
nearby auction)
roadauction
transport
(from
another
auction).
organisation
of most
wholesalers
in flowersare
and
plantsin front
research
analysed
in which
scenario
company
Currently,
of the products
present
of the clock
during
auctioning,
butthe
auctioning
(VGB) initiated the project ‘Other auction times’. In
performs best in logistics, commercial, and social
based on images or just information becomes more common. Another development is the increase
this project, the effects of other auction times are
fields.
in popularity of other ways of buying, such as buying directly from growers (via E-trade) or by means
of long term contracts.
Grower
Auction
Wholesaler
Client
Figure 1: the flower supply chain
Figure 1: The flower supply chain
Since flower auctions exist in the Netherlands, auctioning takes place early in the morning, starting at
6:00 hours. From a wholesalers’ perspective, this may not be the most efficient auction time
26
anymore. Therefore, the trade organisation of wholesalers in flowers and plants (VGB) initiated the
Figure 2: Conceptual model
1. Optimised logistics with the current
auction times. In this case, products are
generally delivered at the wholesaler’s
location one hour earlier than in the
current situation and distribution is
demand-driven.
2. The current auction system moved to the
afternoon one day earlier. The products are
in the auction building during auctioning.
They are delivered the next morning.
Delivery is done earlier, because the
destination is known earlier.
3. Virtual auctioning in the afternoon, while
the flowers are still at the grower. They
are delivered at the auction building in
the evening and go to the wholesaler’s
location in the morning. Here, delivery is
done earlier as well.
All three scenarios were analysed for
Hamifleurs using a set of Key Performance
Indicators. These KPIs were defined using
the Balanced Scorecard and they can
be divided in the categories Financial,
Customer, Internal Business Process,
and Organisation. Examples of these
KPIs are costs, throughput time of order
handling, lead time, product freshness,
and attractiveness of the work. A part
of the KPIs is qualitative. The qualitative
KPI values were determined on the basis
of interviews with the company. The
quantitative KPIs were determined using
a simulation model.
Model
The logistics system of Hamifleurs is set
up as follows. When products from the
auction arrive at the wholesaler’s location,
they are stickered and checked on quality.
If they are not sold yet, flowers are placed
in inventory. Otherwise, buckets are placed
on the sorter such that they go to the exit
lane to which a certain client is assigned.
In case a client requires extra handling,
this is done first. Extra handling can be,
for example, packing in boxes, bundling
or placing flowers in plastic covers. At the
sorter exit lanes, the buckets are placed on
trolleys. When a client order is finished, it is
checked again before it goes in the truck
for transportation.
First of all, all these processes were
simplified in a conceptual model, as
shown in the picture. After that, a
simulation model using the programme
Arena was developed to analyse the
process in the current situation and in the
three future scenarios. To determine the
input for simulation, data was required
on, for instance, processing times of the
processes in the system, client orders, and
inventory levels.
Results
After verification of the base model,
given the current statistics, the scenarios
were run. The model outputs, such as
throughput time, ready time of the system,
and utilisation of the sorter, were used
to calculate the values of the KPIs in the
different scenarios. After determination of
all values, the list of indexes was discussed
with the company.
The third scenario, virtual auctioning in the
afternoon,turned out to be the best scenario
for Hamifleurs. With earlier deliveries, the
logistical process can be arranged more
efficiently, such that handling is finished
earlier in time. Flowers go to the auction in
the evening instead of in the morning (the
second scenario), so the third scenario also
yields a higher product quality.
Together with the results of the other
studies for wholesalers and other parts
in the chain, an advice will be given to
the board of the VGB on the best future
scenarios. |
27
c t ive wi t h capi t a l A
C an we v o t e p l ease ?
A c tiv e M e mb e rs M e e ting
G e n e ral M e mb e rs M e e ting and D rink
What would any association be without its members thinking actively about the directions the association should
It seems a long time ago that the second General Members Meeting (GMM) of this academic year took place
follow? Members who feel committed to the quality of the activities, which the association organises? And members
on Wednesday 27 January. During this meeting, the board members of Asset | Econometrics elaborated on
who are willing to share ideas about what should be done and what should be left? Presumably not very much. With
what they have done during the past months and had to indicate if there were any big problems for the
that in mind, the board of Asset | Econometrics invited all its active members for the yearly Active Members Meeting.
future.
Name:
Jeroen Dalderop
Age:
19
Begin studies:
2008
On a Wednesday evening in January, not that
cold for the time of the year, seventeen active
members responded to this invitation of the
board. We gathered together in a cosy room
on the third floor of Café Karel. After we had
sat down and had had a cool drink or a hot
chocolate, Harold van Heijst, chairman of the
board, opened the meeting. He welcomed
everybody and explained the purpose of the
evening. At that moment, we realised that it
was really going to be an Active members
meeting, with capital A. The board came up
with three actual themes and it was up to us
to discuss them. This made it impossible to
just sit down and wait for what was going to
be said. We had to think ourselves.
For the first theme, we had to think about
the question what we should do to get the
international - mainly Chinese - students
more involved in our association. Therefore,
we were split up in three groups of about six
people. First, we started with brainstorming
about the issue and after that, every group
had to present its ideas. Brainstorming turned
out be quite fun. We came up with the ideas
of organising a karaoke night, arranging a
firework show and changing ourselves into a
Chinese dragon during Chinese New Year. Well,
maybe those plans were not very realistic…
Thereafter, it was time for the presentations.
Almost every presentation resulted in a
highly-involved plenary discussion, in which
each opinion triggered reactions from others.
There were a lot of different views, but also a
lot of interesting ideas.
The second theme, which we were about to
discuss, was the issue of offering tutorships
to econometrics students. The main question
was whether we should let this be done
via the MAK, as has been done up till now,
or via Asset | Econometrics itself. Groups
were shuffled, so we got the opportunity to
share ideas with members from other years.
New brainstorm sessions took place and
during the presentations, we could roughly
distinguish two camps: the one in favour of
offering tutorships via the MAK, the other
camp in favour of offering tutorships via Asset
| Econometrics. Main advocates of the MAKcamp (no verbal joke) argued that the MAK
has more experience in organising tutorships
and a sufficient amount of participants to
keep this profitable. Advocates of the Astricscamp argued that Asset | Econometrics is
an easy way to get into contact with other
econometrics students and has better insight
into which older students are capable of
giving extra lessons. Again, contrary views
and a lot of interesting ideas.
For the final theme, our opinions were
asked about the lay-out of the wonderful
magazine, which you are reading right now:
Nekst. During this final session, it seemed as
if every econometrician suddenly turned into
a graphical designer. Often heard phrases
were: ‘Put a photo on the cover’, ’Use the
vector image of the new banner’, ‘No green,
but light blue’ and so on. However, there was
a common agreement on one issue: it is an
illusion that we would be able to change the
lay-out in a day and a night. In the best case,
some of the ideas may be implemented next
academic year.
When gathering together at The Gallery at
19:00 hours, it turned out that the quorum was
not reached. This meant that we had to wait for
another fifteen minutes for the next meeting to
begin. At the beginning of the meeting, Harold
van Heijst appointed Janneke van Schijndel as
voting commissioner, although it was already
announced that there would be nothing to vote
for. If there, however, would be an unexpected
voting necessary, then a voting commissioner
was needed. At the end of the meeting, it turned
out that there was indeed nothing to vote for,
since there were no unexpected problems.
After having listened to an overview of the past
activities and the upcoming events, we got an
overview of the points of focus of the board.
One point of focus was the new house style
of our association. At that moment, the main
house style was just finished and the result was
presented. We noticed a new big pop-up wall
behind the board, which replaced the old one
that still had the TEV logo on it. I think the new
house style looks great.
Another point of focus was the integration in
faculty association Asset, which seems to go
quite well in general. There were some minor
issues there, but the board members mentioned
To conclude, I think that it was an interesting
and fun meeting, in which a lot of active
members discussed and got inspired by each
other’s ideas. In this way, we also got to know
each other in a different setting. Hopefully,
some of the ideas as presented during the
Active Members Meeting will become policy
in the future. |
28
The new pop-up wall
that they were still working on those matters.
The last point was about the internationalisation
and integration of foreign students within our
association. This turned out to be still quite
difficult, but there was already some progress
made in January. The board announced that
our association even had two foreign active
members at that time.
When all the points of focus were discussed, a
financial overview was presented. Financially
spoken, our association is quite healthy and there
are even more funds available than expected at
the beginning of the academic year. During this
agenda item, there are always a lot of discussions.
The most important discussion was about the
subsidy of the department. In the first GMM, this
subsidy was divided over the different activities.
During that meeting, it was proposed to put the
subsidy under a separate entry. During this GMM,
however, people suggested that the subsidy
should be divided over the activities again. I am
very curious to know what Anouk Rennen, the
treasurer of the board, will do next time. All in all,
the finance monitoring committee concluded
that there were no problems detected in the
ongoing financial issues.
Name:
Harmen Boersma
Age:
21
Begin studies:
2007
After Harold closed the meeting, it was time for
some less serious business. First of all, most of
us took a better look at the pop up wall. After
we approved this wall, the board started to
clean up and the members went to Café Babbus.
We were almost an hour earlier than expected,
since the GMM did not last too long. As more
members were entering the pub, most of us
got their first beers. Around half past ten, the
board arrived and everyone received a glass of
Champagne, which was quickly followed by a
free barrel of beer. Although there were not that
many discussions during the GMM, it was still
an interesting meeting and I hope to see you all
during the next GMM. |
29
hip ca r d f o r pu b l ic
t r ansp o r t
S p e c ial
After years of preparation, the chip card for the public transport system is currently being introduced. Dutch
students have already received this card as a replacement of the former student travel card. Nekst deemed it
time to dedicate an article to this chip card.
The ch i p c a rd fo r p u b l i c t ra n s p o r t
(D utch : O V - c h i p k a a r t, b u t we w i l l
refer to i t a s ‘O V c h i p c a rd ’ ) , i s
the ne w l y i nt ro d u ce d m e a n s o f
payme nt fo r t h e p u b l i c t ra n s p o r t
system i n t h e Ne t h e r l a n d s a n d w i l l
in due t i m e re p l a ce a l l o l d m e a n s o f
payme nt . Th e O V c h i p c a rd i s a s o c alled ‘s m a r t c a rd ’, w h i c h co nt a i n s
a chip w i t h d at a o n i t . I t i s a k i n d
of ban k c a rd t h at c a n b e u s e d a s
a mea n s o f p ay m e nt by l o a d i n g i t
with c re d i t ( e u ro s ) o r w i t h a t rave l
pro duc t .
In fac t, t h e re i s n o t o n l y a s i n g l e
t yp e o f O V c h i p c a rd, b u t t h e re a re
three t y p e s ava i l a b l e : a p e r s o n a l , a n
anonym o u s, a n d a d i s p o s a b l e c a rd.
This is d o n e i n o rd e r to m e e t t h e
differe nt d e m a n d s a u s e r c a n h ave.
The p e r s o n a l c a rd s u i t s yo u w h e n
you trave l w i t h p u b li c t ra n s p o r t o n
a regul a r b a s i s. W i t h a p e r s o n a l c a rd,
you c a n g e t a u to m at i c d i s co u nt s i f
you are e l i g i b l e fo r o n e a n d yo u
c an au to m at i c a l l y re l o a d yo u r c a rd
via you r b a n k a c co u nt . I f yo u j u s t
o cc asi o n a l l y u s e p u b l i c t ra n s p o r t,
you c a n b u y a n a n o ny m o u s c a rd, a s
this c a rd co nt a i n s n o p e r s o n a l d at a
and c a n t h e re fo re b e l e nt to o t h e r s,
for inst a n ce f a m i l y m e m b e r s. L a s t l y,
the di s p o s a b l e c a rd i s m e a nt fo r
p eople w h o n o r m a l l y d o n o t u s e
public t ra n s p o r t, b u t u s e i t a fe w
times. I t i s ex p e c te d t h at m o s t l y
tour ist s w i l l b u y s u ch c a rd s.
At thi s p o i nt i n t i m e, i t i s s t i l l
p ossib l e to u s e t h e o l d m e a n s o f
payme nt n ex t to t h e O V c h i p c a rd
such a s t h e t i c k e t s t r i p ( D u tc h :
str ipp e n k a a r t ) i n m o s t a re a s o f
the Ne t h e r l a n d s. I n s o m e re g i o n s,
h oweve r, the OV chip c ard is not
eve n o fficially in use yet.
For
i n s t a n ce, in T ilburg it is not p ossible
to c h e c k in or out using your OV
c h i p c a rd when travelling by bus.
R i g ht n ow, showing your student
O V c h i p c ard will allow you on the
b u s. Th ese issues are supp osed
Figure
1: Regions
where
the OV chip card is already
introduced
to c h a n ge on 1 J uly, when you
s h o u l d b e able to use the chip c ard
eve r y w here in the Nether lands.
Th e re ason for intro ducing the
O V c h i p c ard is that it has cer tain
a dva nt a ges over the old system
w i t h t i c k ets. One of the advantages
i s t h at you will b e able to travel
w i t h t h e public transp or t system
by o n l y using one c ard compared
to t h e different tick ets for trains,
b u s s e s, and the metro at this
m o m e nt . Another advantage is
30
that at the time the OV chip c ard
will b e intro duced, train and metro
stations will only b e accessible
through entrance gates. This will
not only put a stop to fare do dging,
but it will also provide more
safet y, as stations are no longer
freely accessible. B esides these
advantages, transp or t companies
will b e able to see how many p eople
travel at cer tain times and in what
direc tion. This mak es it p ossible
to improve matching c apacit y and
demand, esp ecially dur ing rush
hours.
Students
In the past, students used to get an
OV student c ard, which was valid
for public transp or t in week ends
or on weekdays. Students could
cho ose one of these t wo options
dep ending on their preferences.
All you had to do was showing this
c ard when ask ed for and it would
allow you to travel for free or with
a discount. As of Januar y 2010, the
OV student c ard was su pp osed to
b e no longer valid and instead the
OV chip c ard for students would
have to b e used.
The OV chip c ard for D utch students
is an example of a p ersonal c ard
and is distr ibuted by DUO (for mer ly
k nown as IB G roup). I t has to
b e loaded with a travel pro duc t
for week ends or weekdays, so it
basic ally wor ks the same as the OV
student c ard. H owever, this travel
pro duc t c aused problems. At first,
it was planned that ever y student
could travel with his or her OV chip
c ard with a travel pro duc t loaded
on it from 1 Januar y onwards. This
Figure 2: OV chip card in practice
deadline proved to b e imp ossible
to meet.
A new arrangement was proposed:
the old OV student card was still
va l i d i n J a n u a r y 2 0 1 0 a n d s t u d e n t s
had to charge their chip card with a
t r ave l p r o d u c t a t a c h a r g i n g p o i n t
a s s o o n a s p o s s i b l e. T h e s e c h a r g i n g
p o i n t s, w h i c h w e r e n e w l y i n s t a l l e d,
experienced a lot of technical
difficulties. They were often out of
order and when they did work, it
was sometimes impossible to load
a t r ave l p r o d u c t o n yo u r O V c h i p
c a r d. T h e l a t t e r p r o b l e m o c c u r r e d
during rush hours. During these
h o u r s, t o o m a ny p e o p l e t r i e d t o
l o a d a t r ave l p r o d u c t a t t h e s a m e
time and the system that had to
coordinate
these
transactions
could not handle the traffic. As
a r e s u l t , n o t e ve n h a l f o f a l l t h e
Dutch students had collected their
t r ave l p r o d u c t h a l f w ay J a n u a r y o f
t h i s ye a r.
Fo r m e r m i n i s t e r P l a s t e r k s a w n o
other option than to postpone
t h e d e a d l i n e fo r l o a d i n g a t r ave l
p r o d u c t fo r i n d e f i n i t e t i m e. L a t e r
on, when technical difficulties
w e r e o ve r c o m e, t h e n e w d e a d l i n e
w a s s e t t o 1 6 M a r c h . Fu r t h e r m o r e,
students are stimulated to load a
t r ave l p r o d u c t o n t h e i r c a r d s b y
introducing prizes that can be won
i f s t u d e n t s l o a d a t r ave l p r o d u c t .
S t u d e n t s c a n w i n a s k i i n g va c a t i o n
o r a n A p p l e i Pa d.
Problems and criticism
The introduc tion of the OV chip card
did not go ver y smoothly, which led
to negative publicit y in the media
and complaining OV chip card
users. Public transpor t passengers’
organisation
R OVER
requested
an investigation regarding these
problems. S ome problems that
occur red are: brok en equipment,
credit being wr itten off unjustified,
and an increase in pr ices on some
tracks. S omething else that can be
seen as a problem, is the fac t that
when you want to wave someone
goodbye at the station, you need
an OV chip card to check in. Af ter
check ing in, you only have thir t y
minutes to check out or else you
will automatically pay a fee.
31
Het doel
is dat je
zelf initiatief
neemt.
Ga naar
aegon.nl/werk
Eerlijk over
werken bij AEGON.
Figure 3: A chip card for public transport
The student c ard has some sp ecific
problems. At the moment, it is
still unk nown in what way the
system should pro cess a for t y
p ercent
discount
for
p eople
travelling to gether with a student
in p ossession of an OV chip c ard.
Another recent development is the
r ise of complaints from students
that their pr ivac y is b eing har med
as they c an only have a p ersonal
c ard.
The pr ivac y issue only comes into
play when a p ersonal c ard is used.
When check ing in or out, data is
b eing collec ted ab out the jour ney
that has b een made. I f you travel
with a p ersonal c ard, your name
will b e added to these data and all
of the data will b e stored for seven
years. Therefore, some p eople
are wor r ied as they do not k now
how safe the database is and for
what pur p oses this infor mation
will b e used. The M inistr y of
Transp or t, Public wor ks and Water
M anagement is of the opinion that
no har m is b eing done regarding
the pr ivac y of users of the OV chip
c ard. According to this institution,
the travel infor mation and p ersonal
infor mation are stored separately
and only if absolutely necessar y,
these data will b e link ed.
OV chi p c a rd i n p ra c t i ce
I f ever y t h i n g wo r k s a s i t i s s u p p o s e d
to wor k , t h e n t h e O V c h i p c a rd i s a
change fo r t h e b e t te r : i t wo r k s e a s y
and ef f i c i e nt . I n p ra c t i ce, h oweve r,
there a re s t i l l s o m e p ro b l e m s t h at
have to b e s o l ve d a n d t h e p e r s o n n e l
of tran s p o r t at i o n co m p a n i e s h a s to
get use d to t h i s n e w p h e n o m e n o n
as wel l . S o m e s t a f f i s o bv i o u s l y
confus e d d u e to a l l t h e c h a n g e s.
Tak e fo r i n s t a n ce t h e co n d u c to r
who th re ate n e d a s t u d e nt to f i n e
him, b e c a u s e t h i s s t u d e nt d i d n o t
load h i s t rave l p ro d u c t o n t h e
c ard in J a n u a r y. I t w i l l d e f i n i te l y
tak e so m e t i m e b e fo re t h e O V c h i p
c ard w i l l b e i nte g rate d. H oweve r,
all b e g i n n i n g s a re d i f f i c u l t a n d
the OV c h i p c a rd i s ce r t a i n l y n o
except i o n . |
Tex t by : Te s s B e u ke r s & B a r t K ru i ze
The M inistr y suggests that an
anonymous c ard c an b e used
if p eople still have objec tions
regarding the pr ivac y. H owever,
this is not a full-fledged alter native
as discounts c annot b e translated
to an anonymous c ard. Students,
for example, c an get an anonymous
c ard, but they will never b e able
to travel for free as in the c ase of
using the student OV chip c ard.
Another problem that arose even
b efore the OV chip c ard was
intro duced on a large sc ale was
the issue of crack ing the chip
c ard. I t tur ned out that the OV
chip c ard c an easily b e crack ed by
sp ecialists in the field of computer
secur it y. Crack ing the c ard mak es
it p ossible to manipulate the data
on the c ard. The question remains
whether cr iminals will ac tually b e
interested in OV chip c ard fraud as
it only involves small amounts of
money.
33
Book of Faces
Ac tive Members Weekend
Finance Expedition
Drinks & Activities
Board Asset | Econometrics 09-10
Promotion
Logistics Symposium
Business Research Programme
9002 eettimmoC
Actuary Day of Tilburg
Introduction Activity 09-10
Economic Business weeks Tilburg
Freshmen
(Active) Members Day
Orientation & Information Day 09-10
:thgir ot tfel morF
,knirbnekeepS ohcyT ,trevlaB neelraM
,snemmoR aidualC ,eziurK traB ,rejiemkreK neilevE
aderB nav einahpètS ,snajrejiueH lacsaP
Nekst
namriahC
snemmoR aidualC
Education
Football Symposium
r ave l l in g wi t h O V chip ca r ds
T he g o o die - b a g and t he u g ly
O pinion poll
A c tuary D ay o f T ilburg
Probably every student knows about the introduction of the OV chip card. Nekst detected some negative
On 4 February, I got all dressed up for the Actuary Day of Tilburg organised by Asset | Econometrics. If you
remarks about the OV chip card lately. Besides, Nekst also heard questions about the new chip card, as most
would have asked me what an actuary does before that day, I would have probably mumbled something
people do not know what to think about it. Therefore, it is time for some answers. What do students think of the
about insurance, premiums, and some other loose words in that direction. This day came as a blessing to me,
new OV chip card and what are the main (dis)advantages of this card? Several students gave their opinion.
as I want to pursue a master’s degree in Econometrics, but I have no clue which one to choose.
Roland Daamen (First year student)
I mainly see disadvantages regarding the introduction of the
OV chip card. Apart from the problems during the introduction
of the card, there is hardly any difference between the old
and the new situation: you still do not have to check in and
out when travelling neither by bus nor by train. However, I
think that if students would have to check in and out as well,
this would really annoy me. Especially because there is no
check-out post on the platform of Tilburg West station when
arriving in the direction of the university. This would mean
that hundreds of students would have to use one check-out
post at the opposite side of the platform at the same time.
This will cost five minutes and probably even more. Moreover,
if your bus arrives a bit late at the railway station, you might
not be able to catch your train anymore, because about sixty
people have to check out in the bus first and after that you
would also have to check in for the train again.
Although orientation days like this one
are primarily organised for long term
gains, like helping you make a sound
career choice, I cannot help but finding
the shor t term gain in the form of a
goodie bag at least as impor tant. Af ter
all, I still am a human being (my thanks
go to Wim van Ger ven of the Ac tuarial
Institute for reminding me of this during
his presentation).
Ad van Herpen (Second year student)
The OV chip card: a masterpiece for using public transport in
the Netherlands. You only need an OV chip card for travelling
by bus, train, tram, or metro. Before, you had to buy a ticket
– most of the time you even had to buy a ticket strip with a
minimum of ten tickets on it – for the bus and thereafter a
ticket for the train. Therefore, it is not surprising that by the
time a conductor wants to see your ticket, you have lost it
somewhere in the train or bus. The OV chip card will solve a
lot of these problems. However, the introduction of the card
was very disappointing. The goal was to have all students
in the Netherlands travelling with the OV chip card from
February 2010 onwards. Therefore, you had to activate your
OV chip card somewhere in the Netherlands during January.
However, I could not find anything about the whereabouts of
such an activation spot on the website www.ov-chipkaart.nl.
Other students told me where to activate my OV chip card,
but I do not think that this is according to the plans of the
government.
Whitney Pattinaja ( Third year student)
As soon as I received the message that the OV chip card
was going to be the only transport card that can be used
for travelling for free, I hurried to the store in order to pick
up my travel product before the deadline of 31 December
2009 (which eventually got postponed to March). At this
point, I had my first problem concerning the OV chip card:
the machine did not work properly at Albert Heijn. I had to
wait for ten minutes (twice!) to find out that ‘picking up your
travel product’ was not possible at that time. Secondly, in
the beginning of January 2010 the chip card was not even
valid in the Veolia buses in Tilburg! Furthermore, this one
time I had to buy a ticket for the train to Breda, but my train
had already arrived. Therefore, I hurried towards the train
and thought: “Well, I will use the OV chip card!” I knew that
I had enough money on the card for the journey to Breda.
The machine, however, refused to check me in. All of these
examples make clear that I do not have positive experiences
with the OV chip card. If you ask me, I prefer the old public
transport card!
Hettie Boonman (Master student)
I think it is good that there is going to be a general card for
buses, trams, and trains. In other countries, the system with
similar cards seems to work quite well. However, I notice lots
of troubles in the system in the Netherlands. Most important:
the check-out posts. As there are no gates, you easily forget
to check out. This can be very expensive for customers, since
this costs them the maximum amount of twenty euros when
travelling by train and four euros when travelling by bus.
Besides, once you got out of the bus, you cannot check out
anymore. Your bus is probably already gone and so is your
money! In other countries, gates are used that only open if
you hold your card against a scanner. In this way, you do not
have to pay any additional fines! |
The bag itself was provided by TiasNimbas:
the Business School of Tilburg University.
I t was in the building of this organisation
that most of the ac tuar y day took place.
Not without a reason we soon found out,
as TiasNimbas was proud to present a
master ’s programme in ac tuarial sciences
in collaboration with the Ac tuarial
Institute. Prof. Dr Schumacher tried to
promote this programme, although his
stor y was full of uncer tainties since the
programme is still in development. I t
seemed to be a decent programme to me,
especially for those pursuing a career as
an ac tuar y and who are luck y enough to
find a company that wants to suppor t
them.
When I looked inside the bag, I found a ver y
useful mini-mouse provided by Achmea.
Such a big insurance company cer tainly
had to be present on a day like this.
Achmea mainly told about the company
as an ac tuarial institute, which was ver y
interesting. Besides, I was luck y enough
to be in a group with an Achmea ac tuar y
during the pub quiz and he explained me
a lot about being an ac tuar y.
Af ter stick ing my head a little bit fur ther
into the bag, I found an Admira water
bottle. To me, Admira was the least
familiar company of the day. Af ter a shor t
36
introduc tion to the company, the floor
was for two of their ac tuaries to talk about
their jobs. The first one was specialised
in pensions and showed how this area is
moving these days. The second one was
a woman from Hungar y. She showed us
one of her models made in a computer
programme I never heard of before. Her
model made me think of a joke I once
heard: “ There are two things you are better
off not watching in the mak ing: sausages
and econometric estimates.”
Digging even fur ther down the bag, I
found a big jar full of nuts. One might
wonder what k ind of company gives me a
jar of nuts. Well, no company does. I t was
ac tually the trophy my teammates and I
received for winning the aforementioned
pub quiz. I t was a nice informal ac tivity
af ter an incredibly formal day.
The first speaker of the day, an independent
ac tuar y, did not put anything in the goodie
bag. Besides, I ran out of silly bridges
anyway. He told about his career and the
oppor tunities you have being an ac tuar y.
He presented a variety of projec ts he was
work ing on. To me, it all sounded ver y
interesting.
Name:
Vincent Lous
Age:
22
Begin studies:
2009
To conclude, the Ac tuar y Day of Tilburg
was a great day and I would like to thank
the committee members responsible
for organising this day as well as the
companies that were present: Achmea,
Admira, Aon, and Deloitte. Thanks to
this day, I have a better pic ture of what
an ac tuar y does. However, I got the idea
that ac tuaries do not have to work hard
and still get a lot of money. I t looks like
a world in which you can have one’s cake
and eat it too. Tempting… |
37
l e x i b l e , dive r se and m o r e
B usin e ss int e rvi e w pharm e rit
For this business interview, Nekst visited Maarten Treur at Pharmerit BV in Rotterdam. Upon entering
the building, in which Pharmerit is located, Maarten and his colleagues were just having lunch together.
Fortunately, there was just enough space for two enthusiastic editors at the big lunch table, so Maarten
invited them to join.
Pharmerit is located on the seventh floor, which
has a nice view on the skyline of Rotterdam. The
large amount of glass used in the building makes
it possible to almost always look outside, even
when you walk through the corridor. There are
about sixteen employees working for Pharmerit
at this location. Pharmerit also has an office
in York (United Kingdom) and in Washington
(United States of America). With a total of
thirty employees, Pharmerit is a relatively small
company. It is also a young company. Pharmerit
was founded in the Netherlands in 2000, the
office in York was set up in 2006 and the US office
started in 2005.
Name:
Maarten Treur
Age:
27
Position:
Senior Research
Consultant
Personal information
After lunch, we went to a meeting room for the
interview with Maarten Treur. First of all, we would
like to know a bit more about Maarten himself.
Why did he choose to study Econometrics?
Maarten: “I like mathematics and economics.
Quite a common answer for people who study
Econometrics, is it not? Applied mathematics and
statistics also appealed to me.” Maarten studied
in Rotterdam, because the Erasmus University
offered the possibility to choose among four
masters and had the largest department of
Econometrics at that time. He was also a member
of the student association Gaudium and of the
study association ‘Het Econometrisch Dispuut’.
Maarten: “Most people associate Econometrics
with mere theoretical knowledge, so I recommend
econometricians to become an active member of
an association. It also gives you the opportunity
to improve your social skills. You learn how to
organise meetings, convince people, cooperate
and organise activities.”
At the end of his master’s programme, Maarten
decided to combine his master’s thesis with
an internship at Hunter Douglas. He optimised
the production process of custom-made rollerblinds. Maarten’s thesis was not yet finished after
his internship at Hunter Douglas, so he decided to
work part-time as a database analyst at the Renal
Replacement Registry Netherlands (Renine,
Dutch:
REgistratie
NIerfunctievervanging
NEderland). At that time, he already knew he
wanted to become a consultant. A colleague
at Renine advised him to consider working for
Pharmerit, where he has worked for three years
now.
Pharmerit
So, what does Pharmerit do? Most people
probably know that Pharmerit works in health
economics. The consultants are specialised in
health economics research, outcomes research
and strategic market access research. Sounds
very interesting, but what do all these nice terms
mean?
Health economics research considers the healthrelated and economic implications of innovative
health care interventions such as vaccination
programmes, screening programmes, use of new
medical devices or pharmacological treatments.
The latter field is also known as pharmacoeconomics which is Pharmerit’s main business.
Drug makers commission Pharmerit to develop
disease models that inform health authorities
on the health related benefits and costs of
new drugs. Based on this information, health
authorities decide whether or not to reimburse
new innovative medicines.
market. It can support the development
and commercialisation of new products,
while keeping international, national and
local regulations for healthcare products
in mind. The sponsors of Pharmerit are
mainly big pharmaceutical companies
such as Bristol-Myers Squibb, Pfizer,
GlaxoSmithKline or Johnson & Johnson.
Working at Pharmerit
Working at Pharmerit means working in a
diverse environment. Maarten: “I work in
a commercial and scientific environment.
I can model, but I also do presentations
for clients. I work at the computer, but I
also visit clients or attend international
conferences. I work at a company that
combines econometrics and medicine,
pharmacy and health sciences; I like this
diversity.”
When you start working at Pharmerit, you
will start as a junior research consultant.
In the beginning, you will start working
on a single project for one customer
guided by a senior research consultant.
While you are developing more skills,
38
Career options
Pharmerit is a small company with a lot
of opportunities in the continuously
growing field of health-economics.
There are many options to choose from.
You may write scientific articles and it is
even possible to write a dissertation at
Pharmerit. Maarten already wrote a few
papers. “I want to obtain my PhD degree
in the next few years.”
Another possibility is to guide interns
from the university who are at Pharmerit
for their master’s thesis. Or you can choose
to take upon other responsibilities within
Pharmerit. Maarten: “It depends on what
you want. Pharmerit organises courses
at conferences in Europe, Asia and the
United States of America, so you can also
become an instructor for these courses.”
Pharmerit is an international company,
which offers you the opportunity to work
abroad for a while. Maarten told us that
he goes to foreign countries for a short
period of time quite frequently. “You can
also work at one of our offices in York or
Washington for a longer period of time.”
Econometricians and Pharmerit
From everything Maarten told, one will
understand that Pharmerit is a young,
flexible and diverse company. It can be
an interesting place to work. Maarten:
“You work with people from different
backgrounds. You work with people
from abroad, but you also work with
pharmacists and people who studied
biomedical sciences. You also learn to
communicate your models to people
with different backgrounds.”
Working as an econometrician at
Pharmerit means that you can use
econometric methods, while you also
have to learn new methods. Maarten:“The
advantage of econometricians is that
their quantitative background enables
them to quickly understand complex
problems.” You are not finished learning
after your master’s programme, Maarten
explains. “Econometrics is a good starting
point for your future, but there is still a lot
to learn.”
To conclude this interview, Maarten
described the future of econometrics
in healthcare. Maarten sees a future
in applying more econometrics in
healthcare, because it is still a relatively
unexplored field. Maarten: “I think
econometrics will become more and
more important in health services. People
are getting older and there will be less
money available at the same time. This
leads to more pressure on health-care
budgets requiring the need for creative
and quantitative solutions in which
econometricians can play an important
role.” |
Outcomes research on the other hand,investigates
the effect of healthcare interventions on relevant
outcomes in humanistic, economic or clinical
terms. It gives an answer to the question: what
are the benefits to society? Examples of this kind
of research are quality of life questionnaires to
elicit patient satisfaction, medical chart reviews
and studies looking at the burden of disease of a
specific indication in society.
Strategic market access research helps bringing
new healthcare technologies to the international
you will get more responsibility. Once
you become a senior research consultant,
you are responsible for five to six projects
simultaneously, you will do presentations
on your own and you will guide junior
consultants.
Text by: Tess Beukers
Maarten behind his computer
39
s t uden t ass o cia t i o ns
A n introdu c tion
Students have always been looking for the best way to make life as a student as exciting as possible. This resulted in
the foundation of many student associations in cities all over the Netherlands. There are a lot of student associations in
Tilburg as well. Nekst was interested to hear the stories of fellow econometricians about their student association.
When I started my studies two and a
half years ago, I had already decided
that I wanted to become a member of
a student association. Mostly because I
wanted to meet people from other study
programmes and also because I wanted
to live in a larger and more communal
house. During the TIK-week, I concluded
that T.S.C. St. Olof fitted me best, so I
decided to become a member.
Health Economics
Globally, healthcare system are confronted with increasing pressure on health care budgets
due to ageing populations and growing expenditures. In this challenging field, decisions
need to be made about the optimal allocation of available and novel health-care
interventions. This is the field of health economics where disciplines such as medicine,
pharmacology, statistics and econometrics come together. In health economic analyses the
balance between health improvements and costs of new interventions, such as medicines
is assessed.
Pharmerit
Commissioned by big pharmaceutical companies, Pharmerit develops disease models to
assess the health-related benefits and costs of new medicines. Based on this information,
local health care authorities make decisions about reimbursement of these medicines.
Within Pharmerit, econometricians and pharmacologists work closely together building
these disease models. In this semi-academic field, academic as well as commercial skills are
indispensible. Pharmerit is active in many different countries with offices in Rotterdam,
York and Washington.
Job opportunities
Pharmerit is always looking for highly skilled, quantitatively schooled and motivated new
people. If you are interested in applying your quantitative skills in the growing, challenging
and international environment of health-economics, Pharmerit my be interested in you.
Visit our website for further information or contact Bart Heeg, [email protected], .+31
(0) 10 451 9924.

Looking back, I have never regretted
my decision. Of course, the introduction
Pieter Platteel
week of Olof was not fun, but it was not
too bad and all the stories I had heard in
T. S . C . S t . O l o f
advance turned out to be untrue. I became
a member of a society and got a room in
the house of the society. I like hanging around, eating together,
going out, etcetera. This year, I also got to know the more serious
part of Olof, as I became a member of the Bookkeeping Committee.
We basically check and assist the treasurer of the association. My
function is very nice and useful. To conclude, I really like my student
life: especially Olof and my society contribute a lot to that.
T.S.R. Vidar is the only student association
in Tilburg that is aimed at rowing. Vidar
combines activities of standard student
associations with a traditional student
sport. This is what we call: the power of the
combination. For me, this was – besides
the great atmosphere – an important
reason for joining Vidar. As a member
of T.S.R Vidar, you can choose between
rowing on a high level and keeping it easy
by rowing as little as you like.
When I became a member of Vidar, I had
Gijs IJsebaert
never thought that I would like to row on a
high level. After a few months, however, it
T. S . R . V i d a r
became clear to me that I underestimated
the beauty of rowing. After a very short
period of time, rowing has become a major part of my life and I
have never regretted my decision a single moment. This has already
made my time within Vidar a great experience. On the other hand, a
lot of people who do not like rowing at all have a great time within
Vidar as well.
T.S.V. Plato was founded in 1987.
Nowadays, this association is the largest
student association in Tilburg with a
total of almost 700 members. I became a
member in my second year (2008). Since
that time, I am very active within Plato: I
joined several committees and I became
a member of society Equilibre.
The strength of Plato is the great diversity
within the association. There are a lot of
members and therefore everyone can
identify himself with a certain society
Tom van der Vorst
within the association. There are 21
T. S . V. P l a t o
of such societies and Equilibre is one
of the oldest. Last year, we celebrated
our fourth lustrum with a week full of
activities, including a gala with dates and a lot of former members.
I really enjoyed this week.
I recommend everyone to join a student association. Moreover,
there are a lot of great parties and you make a lot of friends! If you
want to know more about Plato, then just ask me!
T.S.V. D’Artagnan is the fourth musketeer
and the fourth student association in
Tilburg. The association has a building in
the city centre of Tilburg, where activities
take place almost every day. The activities
are very diverse. On one evening we may
be singing karaoke, whereas the next
day we do a workshop of some kind.
Debates, symposia, workshops, lectures,
parties, and lounging: everyone has a
place within d’Artagnan. Besides all the
evenings, a lot is taking place during the
Paul Deckers
day as well. Committees have meetings
and people come by to study or watch
T . S . V . D ’ A r t a g n a n some television. In the summer, you can
also sit on the terrace of d’Artagnan and
drink a nice cold beer or a cocktail.
It even gets better! Every year, d’Artagnan organises a trip to a
country that you would usually not visit. In the past years, we went
to places like Cuba, Morocco and Russia. We will visit India this
year.
Nekst 3
2 - March
December
2010
2009
41
C : C o nvincin g C o mpanies t o
C o o pe r a t e wi t h C o mpe t i t o r s
L ogisti c s S ymposium and apr è s ski drink
On Tuesday 2 March, my alarm went off early as it often does. While I was trying to keep my eyes open, I collected
As Joep already mentioned, there was a parallel session after the break. Whilst Joep was enrolled in the
my jacket, blouse, and trousers, which formed my formal clothing for the day.Thereafter, I headed for the bathroom
workshop offered by ING, I went to the workshop offered by NedTrain. I had heard of this name before and I
to brush my teeth. As soon as I was fully awake, I made myself a breakfast and a lunch, of which I already knew
was quite curious for two reasons. First of all, I was not exactly sure what NedTrain does with trains. Secondly,
that it was going to end up in the recycle bin because of the great lunch that would be served at the symposium.
I wondered how their activities would be related to Operations Research.
When I was sure that I did not forget anything
– and this also included the socks of a friend
of mine – it was time to head for Tilburg!
Coincidentally (or maybe not), I came by a nice
article about logistics in one of the news papers
in the train. It certainly set the tune for the day.
Name:
Joep Hendriks
Age:
19
Begin studies:
2008
In the morning, I first had to follow some lectures
including Differentiation and Integration Theory
and the introductory meeting of Modelling in
Practice. It seemed to be an ordinary Tuesday
morning, except that many people were dressed
up very nicely and I noticed that many people
had paid a lot of attention to their haircuts,
shoes, etcetera. After a long, long morning of
staring at the clock and watching it approaching
half past twelve very slowly, it was finally time
for the main activity of the day: the Logistics
Symposium. Theme of the day was: Cross Chain
Control Centre. At the reception desk, we were
welcomed by the committee, some volunteers,
and a terrific lunch. The choice between the
different sandwiches was so difficult that I
eventually took two… mi scuzi!
After a few minutes, Thomas Geelen suddenly
shouted that we had to hurry up and move
to the auditorium, where we were welcomed
by him as the chairman of the Symposium
committee. At first, Thomas was a bit nervous,
but soon he started to become the person we
know again. Thomas, you did a great job! After
Thomas, the floor was for Prof. Dr Kant. He held an
introductory talk about the theme of the day. He
used a nice example to make everybody familiar
with the subject: companies transporting cow
feed should cooperate in order to distribute the
feed as efficiently as possible.
After this presentation, Prof. Dr Van der Velde
had the task to make us more familiar with the
subject, but as he explained us, it would be
very difficult to get us totally familiar with the
subject as very few people can explain what 4C
(Cross Chain Control Centre) actually means.
Whether he made us familiar with the subject
or not, his lecture was great. He really made
me listen and he tried very hard to explain 4C
in great detail. Moreover, he told us about the
ambitions of Dinalog, the institution that tries
to set up and explore the possibilities of such
a control centre in logistics. Mark my words:
this institution is ambitious, which is a good
thing. To put it in perspective, seven percent
of Dutch GDP is earned in the field of logistics,
whereas only one percent of the Dutch citizens
are employed in logistics. It is clear that this
business offers great opportunities.
As soon as Prof. Dr Van der Velde was finished,
Mr Van der Meij took the microphone. He is
director of the delivery company DHL Exel,
president of some committees in logistics, and
he is also an Officer in the Order of OrangeNassau since 2005. He studied Transportation
Studies and believes that people in logistics
should certainly be in the board room of any
big company. At the end of the presentation of
Mr Van der Meij, some of us were in need of a
break, which fortunately was scheduled next.
After the break, we all had to find our guides,
who led us to the Dante Building, where the
workshops would take place. I was enrolled
in the workshop offered by ING. I liked the
workshop, although it was a bit disappointing
that it was actually more like an interactive
lecture than a workshop. The workshop dealt
with the issue of Supply Chain Finance (SCF).
The main idea behind this is that you can
squeeze cash from a company by collecting
money from your debtors as soon as possible
and postpone payments to your creditors as
long as possible. The bank plays a key role in this
concept, because it more or less pays money to
firms that still have debtors owing them this
money. In this way, the working capital of that
firm is enlarged.
42
At the start of the workshop, we got a brief
introduction to NedTrain and I learned that
NedTrain is responsible for the cleaning and
maintenance of Dutch trains. As there are many
trains, it is important that there are enough spare
parts available for repairs without building
up large expensive inventories. Furthermore,
trains are quite expensive, so decreasing the
fraction of trains that cannot be used due to
maintenance will lead to significant savings as
well. Although NedTrain is over 150 years old,
the company is still trying to become more
efficient. As the company is already leading
the international quality ranking for train
maintenance companies, it now wants to take
the lead in the cost rankings as well.
Given an outline of the status quo, we had
to find improvements for the continuous
maintenance cycle for trains. The main
objective was to find sufficient improvements
in order to decrease the standard length of a
maintenance session from 48 hours to only
8 hours. The main advantage of this change
is the fact that trains can be repaired during
overnight sessions and are thus available during
rush hours. The symposium was organised by
Asset | Econometrics and Asset | TOP-DOWN,
so people with different backgrounds worked
together in groups to solve the problem. It
was fun to see the resulting large diversity
in suggested solutions. Not surprisingly,
however, the winning team mainly consisted
of econometricians.
After the prizes were presented, there was
a short break followed by a presentation by
Prof. Dr Hagdorn. She introduced a new topic
that is quite important in practice, but often
forgotten in lectures. This topic was none other
than the matter of trust! Game theory dictates
that cooperative gains are higher than gains
that are achieved by summing up the efforts of
individuals.This makes perfect sense. In practice,
however, convincing companies to cooperate
with their competitors turns out to be quite
hard. As 4C is all about cooperation among
companies, it is crucial to find ways to make
companies trust each other. Prof. Dr Hagdorn
showed that operating as an independent
third party ultimately led to cooperation
among companies in the area of Maasvlakte.
With trains that are rarely operating below full
capacity, it is possible to expand the area with
Maasvlakte 2. After this presentation, the other
speakers of the day joined Prof. Dr Hagdorn to
discuss several topics and answer all questions
the audience had regarding the 4C concept.
As people were not shy to ask questions, there
was not enough time to answer all of them.
Fortunately, everyone had the opportunity to
talk to the speakers in person during the drink,
which took place in the foyer right after the
discussion.
In the evening, there was another activity of
Asset | Econometrics: the Après Ski Drink! As
not only econometricians, but also strategy
and logistics students were invited, there
were quite a lot of people downing ‘Flugels’
at Café Babbus. Of course, the traditional beer
steins and lederhosen completed the good
atmosphere! |
Name:
Dennis Jaheruddin
Age:
21
Begin studies:
2007
Panel discussion
43
anish H y g g e and Be l g ian
s t o emp
E x c hang e R e port
The country of bicycles, licorice, windmills, and rain, where people are very straightforward and drink a lot
of alcohol. That is how the exchange coordinator described the host country to the new exchange students
during his welcome speech. No, I have not been on exchange to Holland. I went to Denmark and it was
definitely a semester completely different from the regular semesters in Holland.
Name:
Tessa Bakkers
Age:
22
Begin studies:
2006
I departed on Saturday 18 August and it did
not really feel like I was leaving for half a
year. At that moment, you do not realise it.
The flight was just an hour, so I did not have
the time to think about it. I did not even
have the time to feel lonely as my buddy
was waiting for me at the airport to pick
me up and escort me to my residence. My
residence was huge, with twenty people on
each of the five floors. I had my own kitchen
and I had to share the bathroom with only
one other girl. The location was great, since
all university buildings were close by. One
of them was actually connected to my
residence, so for some classes I did not even
have to put on shoes (figuratively spoken). I
arrived a bit early, so there was no one else
yet. Fortunately, my buddy stayed for a while
and she showed me around the city. The
next days, more and more people arrived
and soon I met all other 99 house mates.
On Monday, I had to go to my first lesson
Danish, because I signed up for a Danish
Crash Course. During a week I had a class of
three hours with about twelve other people
every day. The classes were very interactive.
We learned how to greet, to count, to
enumerate the days of the week, to tell the
time, and to ask for directions. We did not
learn grammar, but only some frequently
used sentences and words. The classes were
mainly focused on pronunciation and soon
we realised that there was no logic behind
it at all. Danish writing looks quite similar
to Dutch writing, so reading was hardly a
problem. Speaking, in contrast, was very
difficult. Words are not pronounced as they
are written and some sounds are not even
pronounced at all. Luckily, this was not that
big of a problem as everyone in Denmark
speaks English fluently. Even when you were
trying to talk in Danish, people automatically
switched to English. Therefore, I only used
the words ‘tak’ (thanks) and ‘undskyld’
(sorry).
The weather was still very pleasant, so every
time after class we went outside to lie down
in the park or we went downtown to discover
Copenhagen. Every evening, there were
some social activities organised. The first
day, there was a Danish ‘Hygge’, which means
something like cosiness. We got Danish food
(licorice, chocolate milk and a special kind
of hotdog, which was extremely Danish) and
a play was performed to show the Danish
culture and habits. We also did a quiz to test
our Danish knowledge. The other evening
activities were speed dating, folk dancing
and a city boat tour. Afterwards, we went out
to discover the bars. I think this was one of
the best weeks during my exchange.
The next week was amazing as well: the
introduction week. Another 400 people,
who did not participate in the Danish crash
course, arrived. Now the number of exchange
students had increased to a total of 700
students! They probably figured out before
that Danish is not the most useful language
to learn, although I would never have wanted
The little mermaid
44
The famous coloured houses of Nyhavn
to miss the experience. During the
introduction week, there were some
information sessions in which we
learned about the courses, the class
schedules, the exams, the computers
and all other important Danish rules.
We even got an instruction on how to
ride a bike: when going left, do not
cross at once, but cross the road twice
straight. I actually witnessed a lot of
accidents, especially because no one
was used to pedal breaks.
In the evening, there were again
several social activities on the
programme, which actually meant
that we ended up partying in the
most famous clubs of Copenhagen.
It was a unique experience, since we
would normally be unable to afford
going to those clubs. Next to a high
entrance fee, a beer would cost you
at least seven euros. Although I was
already quite used to the high prices
in Copenhagen, these prices were
still way too high for a poor student.
The final party of the introduction
week was even more special: a formal
dinner with a band playing afterwards.
Besides, everyone was expected to
dress up in a suit or a gala dress. In
my opinion, it was a great closure of
the week.
A closure of the introduction week
means a start of the classes. Yes, I
did do some studying too, although
it was not that much. Compared to
the first two weeks, the start of the
semester did not run very smoothly
as the organisation was terrible.
Classes were given at different times
in different rooms every week and
therefore they would always conflict
at some point. Furthermore, they
assigned me to four courses that were
all taught in the second quarter, which
did not start until October. Therefore,
I had to change all my courses, even
though many classes were already full.
Therefore, I ended up with four random
courses that were hardly related to
Econometrics: Sports
Economics,
Financial Management, Descriptive
Tourism and Cultural Economics
and Logistics and Transportation
Economics. Nevertheless, the courses
were interesting. In Sports Economics,
we
learned
everything
about
European football leagues and the
famous Northern American leagues.
In Descriptive Tourism and Logistics,
we talked mainly about travelling.
While the content was quite amusing,
the level of difficulty was incredibly
low. Therefore, I passed all my exams
without too much effort.
Despite I did not learn a lot in class,
I did learn many other things in
Denmark. First of all, it is very nice
to experience the differences in
45
teaching of the courses. Teachers
expect students to participate
actively. They ask more questions and
Danish students love giving answers.
There is a lot more discussion in class.
In addition, we had to work on more
presentations, papers and projects
than in the Netherlands. Many exams
were written on a computer, which I
found very convenient in case you
had to write a lot.
I also heard many stories from other
exchange students about their classes
and how they live as a student, and
I noticed that they are way more
motivated and performance-driven
than Dutch students. Grades and
internships seem to be a lot more
important in other countries and
there is less opportunity for resits. I
also learned many habits, traditions
and behaviours from all the other
exchange students, which is of course
one of the great experiences of
an exchange. However, I think that
one of the most important things I
have achieved during my exchange
is that I have improved my English
considerably. I thought I could not
speak it very well until I arrived in
Copenhagen. I noticed that Dutch
and Scandinavian people are actually
very good compared to people from
the more southern countries. I even
got a higher grade for an oral exam
than my Brittan friends. I had many
native English speaking friends and
they were very helpful if I had any
difficulty in finding the right words.
When I was not in class, I spent lots
of time in my residence. There was
a big common room where people
were talking or playing games
almost every evening. We organised
several activities as well. We even
had a couple of international dinners,
during which everyone had to make
a traditional dish from their country.
I found out that the Dutch ‘hutspot’
and Belgian ‘stoemp’ are exactly the
same. Besides, I was very surprised to
notice that everyone liked the dish
that much.
Denmark via some smaller towns with
my parents. As a result, there was no
time to get bored.
There were many house parties,
especially in the summer, and all
birthdays were celebrated outrageous.
Furthermore, we went out very often.
Copenhagen is a very lively city and
there are hundreds of bars and clubs.
For that reason, something was
always going on. The exchange crew
organised many parties as well. There
was a kick-off party, a Halloween
party, a Christmas party, a goodbye
party etcetera. Moreover, this crew
organised several trips. For example,
we went with 450 students to Oslo
with a huge cruise ship. That was quite
an experience! In addition, I went
to Prague for a couple of days with
two Canadian girls, a Finnish and an
American girl and I went to Sweden
for one day, which was just half an
hour crossing the bridge. Many friends
came to visit me and I travelled around
I have been back for a couple of
weeks now and it seems ages ago that
I have been there. It feels weird to
write this, because I realise that it will
never be the same again. It sounds
very dramatic, but it is true. There
will be some people that I will never
see again. However, I am still talking
to many others and plans are already
made for a big reunion. Some people
stayed in Copenhagen for a full year
and it is strange to read that they are
still doing the same things, but with
different people. It is good to know
that they miss us a bit as well. I have
learned a lot, I have met many people
and I did many things that I would
or could never have done in the
Netherlands. Therefore, I would like to
say to you that you should definitely
go on exchange. It is an unforgettable
and great experience! |
Te s s a w i t h f r i e n d s
47
Os t Op t imisa t i o n
S c i e nti f i c arti c l e kpmg
Cost optimisation is an age-old topic, but remains a high priority in times of economic struggle. A company that
cannot compete simply does not survive. However, research and practical experience show that companies
often become mired in cost cutting, providing no lasting effect. In order to achieve real results, it is necessary
to perform a fundamental analysis and to carry out measures based on that analysis.
Slicing the budget provides no long-lasting
comfort
• 59 percent of companies seem to be capable
to truly reduce costs, while only 8 percent
completely realise their intended cost
optimisation.
• Particularly in times of economic crisis, it is
necessary to increase the efficiency of cost
reduction programmes.
• Shrinking costs does not automatically lead to
success in the future; it is also important to be
well prepared for the psychological aspects.
Name:
Ernst Keyzer
Position:
Advisor at KPMG
Performance &
Technology
Cost optimisation is an age-old topic
The necessity of effectively managing a
company’s cost level manifests itself not only
in lean years. Even in years of economic growth,
attention should be paid to achieving better
control of the relationship between expenses
and income. The pressure to be in tip-top
shape – as a result of transparency with regard
to performance and pressure stemming from
private equity parties, etcetera – is high in such
times as well. A company that is not prosperous
enough soon becomes a target for takeover.
Private equity parties maintain cost reduction
programmes themselves as a permanent part
of their corporate strategy.
Changing competitive relationships are also a
stimulus for cost optimisation. That was evident
several years ago in the Dutch supermarket
sector, among others. For years, Albert Heijn
was seen as a grocer with a good eye for service,
but less of an eye for price. Competitors such
as Aldi were given the opportunity to seize an
apparently unhindered share of the market by
paying close attention to prices and expenses.
When the megagrocer from Zaandam did
react and engaged in price competition, a
supermarket war erupted. All at once, cost
optimisation was at the centre of everyone’s
agenda. Suppliers such as Unilever were forced
to contribute by adjusting their prices.
Particularly in times of economic crisis, it is
necessary to increase the efficiency of cost
reduction programmes. The reality, however,
is that such plans do not always lead to
the desired results. Moreover, the KPMG
report ‘Rethinking Cost Structures: Creating
sustainable cost advantage’ shows on the
basis of international research that companies
often achieve the opposite of what they want,
principally due to unnecessary prudence with
respect to their cost strategy.
KPMG research 1: not all opportunities are
being utilised
Most managers agree that an efficient cost
structure is a source of competitive advantage.
In our research, four out of five participants
emphasise the importance of an efficient
cost structure, although only 59 percent of
companies are successful in truly reducing
costs. A small minority of eight percent is able
to realise its intended targets completely. The
vast majority of approximately ninety percent,
therefore, does not. The most important
reasons for this are:
Plans are too cautious
Many companies do not seem to be very
ambitious when defining their cost reduction
initiatives and allow themselves to be
(mis)guided by practical obstacles and political
considerations. Only if external pressure
becomes very high, greater aspirations appear
attainable.
Turnover growth erodes cost efficiency
Forty-two percent of respondents acknowledge
that turnover growth reduces their competitive
edge regarding cost level. In theory, it is in
times of growth in particular that it is simple to
realise cost efficiency. In reality, however, the
situation is more tenacious: times of growth
are often synonymous with poorer efficiency
ratios.
48
There is not enough clarity about who the
‘owner’ of the costs is
In practice, mainly the CFO and/or CEO
are concerned with cost optimisation. In
order to have a truly sustainable chance of
success, cost optimisation must however
be anchored in the entire company. A
cost-aware culture of that nature begins
with clear responsibilities.
Cost drivers are not clear
Many organisations do not have any
insight into the ways in which their most
important costs are generated. Only half
of the companies investigated know
exactly how costs and profit generating
activities are influenced. The connection
between activities and costs is usually
not clear, meaning that making choices
with regard to those activities is hardly
possible.
Furthermore, research shows that
considerable nerve is required for
structural
cost
reduction.
Many
managers still prefer to use slicing the
budget as cost-cutting method and
go for quick wins. This causes at best a
temporary effect, because just like with
many fad diets, the kilos come back
within no time. A company that wants
to optimise costs over the long term
must have the daring to carry through
a fundamental approach by diving into
the entire business model, carrying out
changes in the entire organisation, and
involving the entire management team
in such changes.
The pitfall of shrinking costs2
In the ‘80s, countless factories were
closed in branches that were at the end
of their life cycle. Since then, unabated
attention has been paid to cost
reduction, also within the framework of
post-merger integrations. Cost reduction
has therefore been generally accepted
in a world in which companies are
constantly making adjustments in order
to maintain their competitive strength.
There is a risk of falling into the trap of:
‘downsizing, rightsizing, dumbsizing,
capsizing’. Research has already been
done into the effectiveness of cost
reductions for a number of decades. One
of the most extensive and systematic
investigations was carried out in the ‘80s
by Cameron, Freeman and Mishra 3. Their
investigation, which took four years to
complete, led to the conclusion that a
negative correlation existed between
the efficiency of an organisation
and shrinking costs through layoffs.
Although much has changed since then,
it is still important to remain aware of
the related psychological effects. This
involves the following issues:
• The psychological agreement in which
an unspoken lifelong career is promised
in exchange for hard work and loyalty no
longer applies. In its place, a company
must provide meaning to the term
employability.
• Attention should be paid to the stress
reaction of remaining employees. The
threat exists that they could lose their
jobs in the future, while having to work
harder in the meantime by picking up
the work left by their laid-off colleagues.
For the management, the challenge is
to provide active leadership to the cost
shrinking process.
• Attention should be paid to the
strain on managers who have to lay
off employees. A loss of reliability and
distancing from the shop floor lie await
them. This also places further pressure
on the employees who remain.
in importance on the agenda of
management. In practice, however,
many initiatives seem to lead
to disappointment and the cost
cutting method does not offer any
long-lasting effect. KPMG research,
practical experience, and the literature
concerning the psychological effects of
cost reduction provide valuable lessons.
These lessons can be summarised into
three aspects:
Leadership and communication
• A clear, shared vision of the necessity
and direction for change
• Strong leadership
• Transparent external and internal
communication
Excellent implementation
• A good understanding of the business
and its underlying drivers
• Clear accountability for targets
• An integrated approach with a balanced
project portfolio
• Central coordination and control
concerning content and financial
results
• Focus on realisation
Changing behaviour
• Sound HR tools to manage personal
outcomes
• Changing and securing new working
methods
• Paying attention to the psychological
aspects of cost reduction |
References
1. KPMG, Rethinking Cost Structures: Creating sustainable
Personal
misfortune
is
usually
unavoidable. Moreover, reducing costs
does not automatically lead to success
in the future. In essence, a company
that is well prepared for the reactions
of those involved minimises the risk of
failure.
cost advantage, 2008
2. Based on Kets de Vries, ‘Worstelen met de Demon: over
emoties, irrationaliteit en onbewuste processen in mens en
organisatie’, [Wrestling with the Devil: emotions, irrationality
and unintentional processes in people and organisations],
2000
3. Cameron, Freeman, Mishra, Best Practices in White
Collar Downsizing: Managing Contradictions, Academy of
In conclusion
Now that the economy has survived
a period of inclement weather, cost
reduction will only continue to rise
Management Executive 5/3, 1991
* This article is based on ‘Excellent presteren - Visie op betere
bedrijfsvoering’ by Maarten van Hest, Ernst Keyzer and
William Koot, KPMG Advisory N.V.
49
ga naar www.gaaan.nu
l us t r um f o r A l umni
A ss o cia t i o n
V A E T A c tivity
Right now, you are reading a magazine that is meant primarily for students. Due to this fact, most readers will
probably not have heard about VAET. VAET is the abbreviation for the alumni association for econometricians in
Tilburg (Dutch: Vereniging van Afgestudeerde Econometristen Tilburg). As most students would like to become
alumni at some point in time, it makes sense to give a proper introduction to this alumni association.
What is VAET?
As mentioned in the introduc tion, VAET
is the alumni association for former
students of the Econometrics programme
in Tilburg. The association was founded
over for ty years ago and its main goal
is to intensify the relationships between
former
econometrics
students
and
between former students and members
of the depar tment of Econometrics and
Operations Research. In order to achieve
this, VAET organises a yearly alumni event
for which all former students and all
current and former staff members of the
depar tment are invited. The primar y goal
of the alumni event is offering par ticipants
the chance to meet former classmates and
friends and to maintain their network.
In addition, the VAET day is a per fec t
platform for digging into the recent
developments in the area of econometrics.
Membership is free (no yearly membership
fee required) and former students can
apply for membership af ter successful
completion of the bachelor ’s or master ’s
programme in the field of Econometrics
and Operations Research.
VAET Ac tivity
The most recent VAET day was held on
Tuesday 10 November 2009. Due to the
fac t that VAET was celebrating its 40th
anniversar y last year, a special programme
was organised. Jean Frijns and Wim van
den Goorbergh, two renowned former
students of the depar tment holding
senior management positions in different
companies in the financial area, held
fascinating lec tures on stability and trust
in the financial world. The day was chaired
by Piet Verheyen, who is a founder and
honourable member of VAET. Af ter the
two interesting lec tures, there was also
time to strengthen the relationships
a u d i t ta x a dv i s o r y
between former classmates and (former)
staff members of the depar tment. In line
with tradition, the day was concluded
with a drink at Tilbur y ’s and a dinner in
a restaurant near Tilburg University. The
day was visited by over eighty people
and was well appreciated considering the
many positive feedbacks we received.
VAET and students
The board of VAET offers all students in
the final phase of the master ’s programme
the oppor tunity to get to k now VAET by
inviting them to the VAET day on a regular
basis. As a result, we were ver y pleased
to see that some students grasped this
oppor tunity and joined the most recent
VAET day. O f course, we were also delighted
to have two board members of Asset |
Econometrics at the event. We hope to
welcome even more students during the
nex t VAET event, which will take place at
the end of this year. |
Name:
Dirk Ungerechts
Position:
Chairman VAET
Wim van den Goorbergh
51
vi o l in p l ayin g ne r d
T h e passion o f L indsay O v e rkamp
As a child, Lindsay asked for a flute. In no-time she was done with it and wanted something else. The next
instrument she learned playing was not as conventional as a flute: she took accordion lessons. For twelve
years now, she can play the accordion. In transitional class, however, she again longed for a new challenge
and back then her passion for the violin was born.
Name:
Lindsay Overkamp
Age:
20
Begin studies:
2008
Lindsay tells you need fine movements to
be a good violinist. A flexible wrist, arm,
shoulder, and flexible fingers are required
as well. Therefore – as with most things
– it is a good idea to star t at a young age.
Although Lindsay did not star t playing
the violin a long time ago, she is already
leading the orchestra of her local school of
music, which has a violin section consisting
of thir ty to for ty violinists. Besides, she
sometimes plays some minor solos during
concer ts. Lindsay says that she is not ready
yet for a big solo, since she is still learning
a lot.
like a violin arm, but for tunately she has
not had any inconveniences from that so
far.
Besides playing in the orchestra, Lindsay
is also a member of a string quar tet,
called Col Legno. Col Legno is a term that
describes a special way of playing the
violin. Instead of playing with the hairs of
the bow, you play with the wooden side.
This gives a kind of spooky effect. At first,
Lindsay found it hard to fit in the group,
because the other girls had a different
way of playing. It took her about a month
before she felt comfor table enough to play
louder and make mistakes.
Lindsay practises one and a half hour with
the orchestra ever y week and per forms at
the local school of music once in a while.
There is a concer t ever y Christmas and on
the open door day in March they per form
as well. Besides that, the parents’ council,
Nico, and his wife sometimes arrange trips.
For instance, there was a trip to Austria,
where orchestras from all over Europe
gathered to play together. Unfor tunately,
Lindsay could not join the trip, because of
her exams. In 2007, the orchestra had an
exchange with the orchestra from Jarocin,
Poland, because of the 800th anniversar y
of the sister commune of Veldhoven, where
Lindsay ’s school of music is situated. Marc
van Platen, a Dutch composer, wrote a
music piece for this occasion. It was a ver y
modern piece about kids playing with
the radio. Lindsay admits that she did not
really like it.
From practice to per formance
To become a good violinist in a shor t
period of time, Lindsay practises a lot.
She practises at home about four times
a week. She star ts with tuning her violin.
Thereafter, she plays some etudes, which
are technical music pieces with fast string
changes. Lindsay : “It is a bit boring to play,
but an etude is a good exercise.”
After playing several etudes, she rehearses
some pieces for the orchestra or quar tet.
When she has played for about one and a
half hours, her arm gets tired and she has
to stop. She does not know whether there
exists something similar to a tennis elbow,
Lindsay gets personal violin lessons from
Nico Dezaire, who is also the conductor
of the orchestra and the super visor of the
quar tet. Those lessons are ver y impor tant
to Lindsay, because Nico gives her a lot of
useful instructions. She has learned a lot in
a shor t period of time, but still lacks a lot
of experience. However, she does not want
to accept the fact that she cannot succeed
in ever ything.
The orchestra usually plays film music
and some classical music. In Poland, for
example, they played a 007 medley and
a classical piece with a lot of runs, which
caused Lindsay to get tired fingers. It was a
bit of a tragedy for her, because her music
sheets were in the wrong order as well.
52
Right now, they are working on a
medley composed of music from the
Star Trek movies and series. Lindsay
put this idea for ward through the
Hyves website of the orchestra. They
work for about two to three months
on one piece. The music from Star
Trek will be played on the open
door day. According to Lindsay, it is
a beautiful piece, even though they
still need to practise a lot.
A special per formance took place
on 13 December 2009. Kempisch
Symphony Orchestra Veldhoven and
the orchestra of Lindsay ’s school of
music gave a per formance together.
The combined orchestra played the
music of ‘ The Snowman’ live, while
the movie was playing on a big
screen behind them. Besides the
combined orchestra that consisted
of ninety people in total, there was
also a children’s choir consisting of
for ty-five children, which sang some
par ts. Although the movie had a
total length of thir ty minutes, not
ever yone had to play ever y par t, so
there were some shor t breaks to let
your hands rest.
Suppor t
Lindsay ’s mother always wanted to
play an instrument, but she never
got the chance. For this reason,
she has always suppor ted and
encouraged Lindsay. She is probably
Lindsay ’s biggest fan, although she
has some competition from Lindsay ’s
boyfriend and her father. Lindsay :
“My father is not a great musician
himself : he even whistles false!”
When Lindsay star ted playing the
violin, she hired a violin from her
school of music. After some time,
however, she felt ready for having
a violin of her own. She went to a
violin maker in Eindhoven with Nico
to make sure that she would buy a
good one. For the best sound, it is
essential that the right kind of wood
and varnish are used. Fur thermore,
the violin has to be built extremely
precisely. It was a huge investment
and Lindsay is ver y thankful to her
parents for this wonder ful bir thday
present. She has got her violin for
five years now and – except for some
broken strings – nothing happened
to it.
Next to playing the violin herself,
Lindsay likes listening to other
musicians as well. She sometimes
visits concer ts or listens to a CD. At
the moment, her favourite violinists
are Janine Jansen and Hillar y
Hahn. André Rieu is not one of her
favourites, although she admires
him. Not because of the music he
plays, but because of his enthusiasm
and precision. A violinist, who she
would really like to meet, is the great
Paganini, even though he already
passed away over a hundred years
ago. She would like to ask him how
he wrote all those difficult music
pieces, like Caprice 24.
Lindsay notes that it is sometimes
hard to combine her passion and
her studies, especially since she
has recently moved to Tilburg. As
a consequence, she has to bring
her violin with her ever y time she
goes from Veldhoven to Tilburg.
Lindsay tells that she is willing to do
that, because the orchestra is such
a staunch group and she still likes
the music they play. Fur thermore,
they have a ver y good conductor.
In the end, however, she thinks that
studying should definitely come
in first place. Lindsay : “I think of
myself as a violin playing nerd.” As
you might have guessed, she does
not want music to be her whole life,
although she would like to continue
playing in the orchestra at least until
she is sixty years old. Fur thermore,
she would also like to learn how
to play the cello and the piano.
Without a doubt, music will remain
her passion for a long time. |
Text by: Nienke Vugts
Lindsay practising with the girls of Col Legno
53
ha t makes y o u happy ?
a nice wa r m - up f o r ca r nava l
Column
Carnaval voll e yball tournam e nt and ass e t party
What makes you happy? Most people have thought about this question at some point in their life. Classical Greek
On Thursday 11 February, just before carnaval, two activities were organised by the students in Tilburg: a
philosophers, medieval theologians, and modern self-help gurus have written many books on the question of how
carnaval volleyball tournament in the sports centre and a pre-carnaval party in Café Bolle. Of course, some
to live a happy life. When people seek advice on this question, they tend to turn to priests or psychotherapists, to
members of Asset | Econometrics joined to show their volleyball skills and to taste a little bit of the carnaval
their parents, or to barkeepers. Few people seek advice from economists. This might be a mistake.
atmosphere in advance.
Happiness is a popular research topic in economics and
many economists, including some colleagues in my
department, examine the determinants of happiness.
Some results of this research have been summarised
in a book by the British economist Richard Layard. 1
Name:
Martin Salm
Position:
Assistant Professor
How do economists measure happiness? They tend to
ask people questions like: “Taking all things together,
would you say that you are very happy, quite happy, or
not very happy?” Are the answers to these questions
meaningful and can they be compared across
people? Richard Layard claims that these answers are
meaningful. If we ask friends or colleagues about a
person’s happiness, their answers tend to agree with
the person’s own assessment. This even holds for the
assessment of an interviewer who has never met this
person before. Answers about happiness are similar
if people are asked the same questions in different
languages. Such answers also seem to be related with
electrical activity in the relevant parts of a person’s
brain.
So what makes people happy? Happiness can
fluctuate with the activities people are involved in.
People tend to be most happy while having sex and
they tend to be least happy while they are commuting
or working. During social interactions, people tend to
be most happy when they are talking with friends and
least happy when they are talking with their boss. If we
compare happiness across countries, then the Dutch
are the happiest people in the world. 2
Economists tend to be especially interested in the
relationship between happiness and income. In their
utility maximising framework, they tend to assume
that utility increases with income. Furthermore, it is
interesting to see if this also applies to happiness. Not
surprisingly, richer people tend to be happier. However,
if we compare average happiness across countries on
the basis of GDP per capita,we find that this relationship
is nonlinear. Happiness increases strongly with income
up to a GDP per capita of about $10,000 and increases
very slowly or not at all for higher income levels. If
we compare happiness over time for rich countries,
such as the United States of America or the United
Kingdom, we find that happiness has not increased
at all during the last fifty years. This seems surprising,
given that real incomes have doubled during this
period, life expectancy has increased substantially, and
that people did not have flat screen TVs and iPods fifty
years ago.
There are several explanations for the fact that people in
rich countries are not getting happier.One explanation
is that after the satisfaction of basic necessities such
as food, clothing, and shelter, happiness does not
increase with average income. People might still care
about their relative income position and they receive
happiness out of getting higher incomes than their
comparison group, but the number of people with
above median income stays constant over time. If
people derive happiness exclusively from their relative
social position, then average happiness does not
increase with average income. This way of reasoning
is of course very different from standard economic
theory.
Another explanation is that higher incomes have
made people happier, but that there were also other
negative factors wiping out the gains in happiness.
Humans are social beings and happiness tends
to be strongly related to social cohesion. Average
happiness across countries varies with factors such as
the ratio of people who say that other people can be
trusted, the proportion of people belonging to social
organisations,the divorce rate,the unemployment rate,
the quality of government, and religious beliefs. Social
coherence has declined in many Western countries in
the past decades and this could have offset the gains
in happiness from higher income.
How can you find an answer to the raised question?
You could ask you priest or your parents about it.
However, you could always read some articles in
economic journals as well. |
1. Happiness – lessons from a new science, Penguin Press, New York, 2005
2.This can be seen on a graph on p. 32 of the Layard book.
54
The activity started in the Astrics room at
17:00 hours, where all participants met to
have dinner together. Unfortunately, we had a
lecture until 16:30 hours, so we were unable
to join for dinner as we had to dress up as
well. The theme for participants of Asset |
Econometrics was Beauty and the Nerd. It
turned out that almost everyone felt more
familiar with the nerd type! Why should we
not, since we are still econometricians? Some
of us wrote difficult equations on their shirts,
others were wearing nerdy glasses and white
socks. However, there was also a Miss Universe
in our team!
The volleyball tournament began at 19:00
hours. Asset | Econometrics took part with
two teams: Voulez-vous Jouer? and Astrics’
Blue. On the registration form for this day, we
had to indicate whether we were experienced
in volleyball or not. The semi-experienced
players formed Voulez-vous Jouer? and the
inexperienced players formed Astrics’ Blue. Each
team was placed in a pool with teams of the
same level of experience in order to give both
experienced and inexperienced participants
the opportunity to play some nice games.
When we arrived at the sports centre – about
half an hour late – we heard from our fellow
team members of Astrics’ Blue that we already
won our first match without being present,
because our first opponent had not shown
up at all and luckily enough some of our team
members had. At that time, our colleagues
of Voulez-vous Jouer? were playing their first
match and even won!
After a first round of beer, it was our turn again.
Our first real match ended in a painful defeat,
although nobody seemed to care about that
at all. The next two hours, we played two more
games (one win, one loss), supported the other
team, and drank some beers.
As soon as the tournament was finished, we
moved to the sports canteen, where the party
had already started. However, after having
danced to the ‘Tsjoe tsjoe wa’ song and having
walked the polonaise for the first time that
evening, some of us began to ache for a game
of volleyball again and returned to the sports
hall to play another match. The others became
enthusiastic as well, so in the end almost all
econometricians could be found in the sports
hall.
At about twelve o’clock it was time for us to
bike to Café Bolle, where the pre-carnaval party
was taking place. Upon arrival at Café Bolle, it
was so crowded that we had great difficulties
reaching the other side of the pub, where we
had to hand in our coats. Yet it was a great
party with many of the well-known aspects of
carnaval: we met some living bananas, walked
the polonaise several times and sang along
with this year’s carnaval songs (something
about a ‘soft g’ this time). After a few more hours
of partying, our legs began to feel weak and it
was time to go home. Of course, we first ate a
Jantje Sandwich (Dutch: Broodje Jantje) before
going to bed. I look back with satisfaction: it
was a nice activity and I was perfectly warmed
up for five more days of carnaval! |
Name:
Maarten Meeuwis
Age:
18
Begin studies:
2009
The beauties and the nerds
55
a very high quantile or estimation of a very small probability, which is where extreme
interested in the interactions between the stocks that portfolio is made of. For example,
value theory is used. Instead of looking at the return on the whole portfolio, we might be
it is very useful to know how will the crash of one stock influence the returns on other
interested in the interactions between the stocks that portfolio is made of. For example,
stocks in the portfolio. The notion of extremal or tail dependence is introduced to
it is very useful to know how will the crash of one stock influence the returns on other
describe this connection, and for that the multivariate extreme value theory is required.
stocks in the portfolio. The notion of extremal or tail dependence is introduced to
2 Multivariate extreme value theory
s t ima t in g e x t r ema l
dependence
of real numbers such that
�
�
maxi=1...,n Xi − bn
2 Multivariate extreme value
theory
the∞,
maximum
of n vectors of dimension d to be a vector consisting of the
P
≤ x = F n (an x + bn ) → G(x),Defining
as n →
(1.1)
an
componentwise maxima: the first element of that vector is the maximum of all first
maximum
of n vectors
of dimension
be a vector consisting of the
for every continuity point of G, we sayDefining
that F isthe
in the
max-domain
of the
attraction
of G, dis to
elements,
second element
the maximum of all second elements over n vectors, and
componentwise
maxima:
the
first
element
of
that
vector
is the maximum of all first
and call G an extreme value distribution.
so on, we generalize the univariate max-domain of attraction condition in the following
elements, the second element is the maximum of all second elements over n vectors, and
The max-domain of attraction condition (1.1) provides a (limit)
way.model for the right tail
so on, we generalize the univariate max-domain of attraction condition in the following
of a distribution.
from
d-variate
disDefinition 2.1 Let X1 , . . . , Xn be a random sample for
all x ∈a[0,continuous
∞)d . The function
l is called the
stable tail dependence function, and it is
way.
Extreme value theory is often used in finance, for estimating
Value-at-Risk,
used to describe the tail dependence structure.
tribution
functionExpected
F , Xi = (Xi1 , . . . , Xid ), i = 1, . . . , n.
If there exist positive sequences
Assuming
that the stable tail dependence function belongs to some parametric family
, . . . , Xn be estimation
a random sample
from a continuous d-variate
dis2.1 named
Let X1two
Shortfall and other risk measures of aDefinition
portfolio. The
of
(an,1 ),involve
. . . , (an,d ) and sequences
(bn,1 ), . . . , (bn,d ) of realwithnumbers
thatθ from
as na parameter
→ ∞, space Θ ⊆ Rp , we define an estimator
an unknownsuch
parameter
function
F , Xi =
(Xi1 ,is. .where
. , Xid ),extreme
i = 1, . . . , n. If there exist positiveθ̂nsequences
a very high quantile or estimation of atribution
very small
probability,
which
of θ as the solution of
�
�
F n)(a
x + bn,1 , . . .such
, an,d x
bn,dn)→
→ ∞,
G(x)
(2.1)
d + as
), . return
. . , (an,don
) and
sequences
(bn,1 ),we
. . .might
, (bn,d
that
g(x)ˆln (x)dx =
g(x)l(x; θ̂n )dx,
value theory is used. Instead of looking(aatn,1the
the whole
portfolio,
beofn,1real1 numbers
[0,1] function
[0,1]
Extreme value theory is the part of probability and statistics that provides the theoretical background for
the componentwise maxima: the
implies
d
univariate
max-domain
auxiliary
that
we choose.
nis every
for
continuity
point
x
:=
(x
,
.
.
.
,
x
)
of
G,
we
say
that
F
is
in
the
max-domain
interested in the interactions between the stocks that portfolio
made
of.
For
example,
1
d
ˆ
F
(a
x
+
b
,
.
.
.
,
a
x
+
b
)
→
G(x)
(2.1)
the nonparametric estimator of l and g : [0, 1]d → Rp is an auxiliary function
n,d
first element of that vec tor is then,1 1 of n,1attracn,d
tiond conditions
for thewhere ln isHere,
that we choose.
of attraction
of G,onand
we call G a (multivariate) extreme
value Here,
distribution.
it is very useful to know
how will the
crash
of one
stock influence
returns
other
maximum
of for
all every
first
elements,
thex the
together
modeling events that almost never happen. The interest for these events originates from their potentially large
�
�
continuity
point
:= (xmarginal
G, we say that F is
in the max-domain 1 �
n
1 , . . . , xd ) of distributions,
1
1
ˆln (x) :=
stocks in the portfolio.
The
notion
of
extremal
or
tail
dependence
is
introduced
to
1 Ri1 > n + − kx1 or . . . or Rid > n + − kxd ,
second element
is
the
maximum
of
with
a
max-domain
of
attrac
tion
Let
F
,
.
.
.
,
F
be
the
marginal
distributions
of
F
.
The
multivariate
max-domain
k
2
2
1
d
of attraction of G, and we call G a (multivariate) extreme value distribution.
i=1
describe this connection,
for that
the multivariate
theory
is required.
consequences, such as in the case
of a bigextremal
flood or adependence
stock market crash. Examples of extreme events come from
all and
second
elements
over nextreme
vec tors,
condition
for the
dependence
j
of value
attraction
condition
implies
d univariate
max-domain
attraction conditions for
where Rof
Estimating
i denotes the rank of Xij among X1j , . . . , Xnj , i = 1, . . . , n, j = 1, . . . , d and
Let F
distributions
of F . (2.1)
The multivariate
max-domain
1 , . . . , Fd be the
k ∈ {1, . . where
. , n}.
and so on. We
generalise
themarginal
struc
ture. Namely,
the
R jcondition
denotes
i
the
marginal
distributions,
together withimplies
a max-domain
of attraction
for the
the rank of X ij
Note that
require that marginal distributions nor the copula of F are
of attractionofcondition
implies dexistence
univariate of
max-domain
of attraction conditions
forwe do not
univariate
attrac tion
the
limit
among
X
, . . . ,X nj , i = 1, . . . , n,
fields such asExtreme
meteorology,
finance,
non-life
value theory
is the
part ofinsurance
probabilityand
andreinsurance,
statistics thatinternet
provides page
the ranking, and even athletics.
2 Multivariate extreme
valuemax-domain
theory
1j
dependence structure. Namely, (2.1) implies the existence
of
the
limit
parametric. That is, we consider a large semiparametric
model. The introduced esthe marginal
distributions,
together with a max-domain of attraction condition
for the1, . .version
allkx ∈ [0,
∞)d. . .The
function
calle
condition in the
following
way.
. , dof for
and
{1,
. in, Einmahl
n}. et al.l is(2009)
theoretical background for modeling events that almost never happen. The interest in
timator isj a=simplified
an M -estimator
introduced
−1
lim timplies
P (1of−
F1existence
(X11 ) ≤ tx
or .limit
. . or(2.2)
1 − Fand
txapproach
(2.2)
Defining the maximum of n vectors of
dimensionstructure.
d to be aNamely,
vector (2.1)
consisting
the
toestimator
describe
the tailstable
dependence
stru
it follows
of theused
moment
of bivariate
tail dependence
1 the
d (X
1d ) ≤the
d ) =: l(x),
Univariate
ex
treme
value
theor
y
where
the
distribution
of
Y
is
nondependence
the
of
these events originates from their potentially large consequences, like in the case of a
t↓0
function introduced in Einmahl et al. (2008). We prove that θ̂n is consistent and asympAssuming
that the stable
Ex treme value theor y developed in parallel
degenerate and describes the possible
Definition
2.1
Note that we do
not require
thattail depende
componentwise maxima:
the first element
of that vector
is the maximum of all first
−1
lim t P (1 − F1 (X11 ) ≤ tx1 or . . . or 1 − Fd (X1d ) ≤ txd ) =: l(x),totically normal.
(2.2) These results do not rely on the continuity, and not even the existence
big flood or a stock market crash. Examples of extreme events come from fields such
with
an unknown
parameter
from a pa
to the more widely k nown central limit
distributions of Y.
Let X 1 ,is. the
. . maximum
,X n be a of
random
sample
marginal
theθ requirement
t↓0second
elements, the second element
all
elements over n vectors, and
of the partial
derivatives of l distributions
(with
respect
to x), which nor
is the standard
2
as meteorology (floods,
heavy
largeloosely
scale forest fires), finance,
for stable
asymptotic
other
of it
l, is
the nonparametric
all
x ∈ [0,
∞)d d. The
function
is called
the
tailnormality
dependence
function,
θ̂n ofestimators
θ asand
the
solution
of is, one, as well
from
a max-domain
continuous
d-variate
all
[0,∞)
. The
funcltion
l is
copula
ofofFall are
parametric.
That
theorwind
y.Thestorms,
central
limitrainfall,
theorem,
so on, we generalize the
univariate
of attraction
condition for
in for
the
following
� Ledford and Tawn
and Tawn (1991);
1the
1 as the maximum
2likelihood estimators,
3 see Coles
non-life insurance and
re-insurance,
even athletics.
2describe
used to
the tailtail
dependence
structure.
spoken,
states internet
that ifpage
an ranking,
experiment
is
Definition 1.1
distribution function F, X i = (X i1 , . . .
called
stable
dependence
we consider
a large
semiparametric
way.
(1996). The absence of the differentiability assumption enables the estimation
of tail
g(x)ˆln (x)dx
T ri A ngl e
d
d
We illustrate the behavior of the above estimator on a 3-dimensional mo
factors. We simulated 500 samples of size n = 5000 from a model
X
= max{0.5Z , 0.2Z , 0.3Z }
Assuming
theused
stable tail
belongs
to
some
parametric family
repeated many times independently and
If there exists a sequence (a n ) of positive
,X id ), i = 1, . . . , n. If there exist positive
function
andthat
it is
to dependence
describefunction
model.
introduced
estimator[0,1]
isd a
dependence
in a widerThe
class
d . The
for all x ∈ [0, ∞)
function
l of
is models.
called the stable tail dependence function
p , that
a randombysample
a continuous
d-variate
disDefinition 2.1 Let Xsequences
One
important
model
yields
a non-differentiable
parametric stable tail depen1 , . . . , Xn bedenoted
with
an
unknown
parameter
θ
from
a
parameter
space
Θ
⊆
R
we
define
an
estimator
under the
conditions, the random
numbers and a sequence (b n ) of real
(a n,1 ), from
. . . , (a
)
the
tail
dependence
struc
ture.
simplified
version
of
an
M-estimator
ˆ
Univariate extreme
valuesame
theory
n,d
where
ln is the nonparametric estimator o
1 thethestable
2the factor
3 function,
d . The function
usedl is
to called
describe
tail dependence
structure.
function
istail
model.
A d-dimensional
r-factor
model
for
x θ2
∈as[0,the
∞)
dependence
and
is X = (X1 , . . . , Xd )
Estimating
extremal
dependence
tribution function F , X
(Xi1 , . . . , Xid(b
), n,1
i ),
= .1,. . ., .(b
, n.
there
sequences
θ̂all
solution
of
variable
modeling
the average
outcome of
numbers such that:
and
)Ifof
realexist positive
Assuming
that
the
stable
taildence
introduced
inthat
Einmahl
et
al. it
(2009)
i = sequences
n of
d . The functio
d . The
n,d
wefor
choose.
Here,
can bethe
defined
bycalled
all
x∈
[0, ∞)function,
Assuming
that
stable
tail
dependence
function
belongs
to
some parame
for
all
x
∈
[0,
∞)
function
l
is
the
stable
tail
dependence
and i
�
�
d
of
real
numbers
such
that
d
used
to
describe
the
tail
dependence
structure.
for
all
x
∈
[0,
∞)
.
The
function
l
is
called
the
stable
tail
dependence
function,
and
it
is
the
experiment
will
approximately
follow
numbers
such
that
dependence
func
belongs
to
and
it
the
approach
of
the
(a
),
.
.
.
,
(a
)
and
sequences
(b
),
.
.
.
,
(b
)
of
real
numbers
such
that
as
n
→
∞,
for
all xtion
∈ [0, ∞)
.ˆThe function
l is called
thefollows
stable
tail
dependence
function,
and
it is
Extreme
value
theory
developed
in
parallel
to
the
more
widely
known
central
limit
theX
=
max
{b
Z
},
j
=
1,
.
.
.
,
d,
(2.3)
n,1
n,1
n,d
n,d
n
j
ij
i
�
�
p�
Extreme value theory is the part of probability and statistics that provides the
�
i=1,...,r
g(x)
l
(x)dx
=
g(x)l(x;
θ̂
)dx,
n
n
with
an
unknown
parameter
θ
from
a
parameter
space
Θ
⊆
R
,
we
define
1
1an
used
to
describe
the
tail
depen
used
todescribe
describe
the
tail
dependence
structure.
1
maxi=1...,n Xi − bn
used to describe
the
tail
dependence
structure.
ˆln (x)
d . The
3
1
2
3
Assuming
that
theto
stable
dependence
function
to
some
parametric
d tail
d
n
some
parametric
family
with
an
estimator
of
the
bivariate
thetheorem,
standard
normal
distribution.
used
the
tail
dependence
structure.
:= family
1 bij R
>n+ −
[0,1]
[0,1]
for
all
x
∈
[0,
∞)
function
l
is
called
the
stable
tail
dependence
function,
and
it
is
where
themoment
Zi are belongs
independent
and
heavy-tailed
random
variables,
and
are
nonnegative
n
i
ory.
The
central
limit
loosely
speaking,
says
that
if
an
experiment
is
repeated
P
≤
x
=
F
(a
x
+
b
)
→
G(x),
as
n
→
∞,
(1.1)
n
n
k
2ta
(2.1)
F (an,1 x1 + bn,1 , . . . , an,d xd + bn,d ) → G(x)
�
theoretical background for modeling events that almost never happen. The interest ina
θ̂
of
θ
as
the
solution
of
r
nthatparametric
that
the
stable
p ,1belongs
Assuming
the
stable
tailstable
dependence
belongs
to some
parametric
fam
i=1
numbers
such
for all
j=
. Assuming
.an
. , d. estimator
Factor
models
are
rather
general
Assuming
that
stablethe
tail tail
dependence
belongs
tothat
family
n
ij
unk
nown
parameter
from
tail
dependence
func
tion
Assuming
the
stable
tail
dependence
function
parametric
family
with
an unknown
parameter
θsome
from
a parameter
space
Θ
⊆
R=function
we
define
i=1
d →
p bis
ˆ function
used
to the
describe
dependence
structure.
�1]that
�to1,some
where
estimator
of la
and
:that
[0,
R
an
auxiliary
function
d . The function
d . The
many
timesoriginates
independently
and under
the same
conditions,
the like
random
variable
modforgstable
all
xare
∈used
[0,dependence
∞)
function
l
is
called
the
stable
tail
dependen
for allln xis∈the
[0, nonparametric
∞)
l
is
called
the
tail
function,
and
it
is
models
in many
different
areas
such
as
psychology
or
finance.
The
function
p
these
events
from
their
potentially
large
consequences,
in
the
case
of
a
j
p
an
θ
withan
parameter
θ from
a parameter
space
⊆
Runknown
, the
we
define
θthe
from
a θparameter
space
Θan
⊆unknown
R , we
define
ansome
max-domain
of attraction
of→
G,∞,
every continuity
point
:=
(x1for
, . . . ever
, xwith
ofan
G,unknown
we say
that
Fthat
is in
the
max-domain
ˆln (x)dx
as n x
continuit
yparameter
point
space
we
define
in
et
al.
Formally, if X 1 , . . . ,X n are independentfor every continuity point of G, we say that F is in the for
where
Rp ,iΘ
denotes
rank
of an
Xijestima
among
with
unknown
parameter
θestimator
from
aintroduced
parameter
space
ΘEinmahl
⊆
we
define
an
estimator
d) y
θ̂parameter
of
as
the
solution
of
= Rwith
g(x)l(x;
θ̂(2008).
)dx,parameter
nstable
Assuming
tail
dependence
belongs
to
parametric
family
that
we
choose.
Here, function
l ofused
the
factor
modelg(x)
istail
given
by
to
describe
the
dependence
structure.n
outcomecrash.
of theExamples
experiment extreme
will approximately
follow
the
standard
used
tail dependence
structure.
for all x ∈ [0, ∞)d . The function
ltois describe
called thethe
stable
tail dependence
function,
and
it disin (2.3)
[0,1]
[0,1],dn}.
bigeling
floodthe
or average
a stock market
eventssame
comeand
from
fields
such
θ asconsistent
the solution of
random
variables ofwith
the
∞. For
every
continuity point of
of attraction of G, andx we
:= call
(x 1 , G. .a. (multivariate)
, x d )θ̂nofof G,
say
that
an
estimator
of
as
the
solution
We
prove
that
is
θ aswe
the
solution
ofF distribution.
k ∈�
{1,
θ̂nθ̂nof
θ n�
asas
the
solution
of pof �
of
θ
the
solution
r �θ̂.n. .of
extreme
value
callas
Gnan→
extreme
value
distribution.
�
� stable
withtoandescribe
unknown
parameter
θ1
from
a parameter
space
Θ3⊆�1 R �, wefunction
define
an
estimator
Assuming
the
stable
tail
dependence
function belongs
21 the
1l(x)
Assuming
that
belongs
to)dx,
parametric
� that
�
�ˆstructure.
� to so
used
dependence
=
max
{bijfamily
xj }.
�some
X
random
variables
withthat F is in the max-domain of
distribution.
Formally,
if X
1 tailˆ
ldependence
(x)dx
=1nonparametric
1 , . . . ,mean
n are independent
d →
ˆln is−the
n+
as normal
meteorology
(floods,
wind storms,
heavy
rainfall,
forest
fires),
is in the max-domain of
attraction the tailof
normal.
These
distribution
with
μlarge
andscale
finite
G, finance,
we say
1 Rg(x)
>n
kx
orˆ . . and
.g(x)l(x;
or Ridasymptotically
>θ̂estimator
nnp+
− kx
, that
ln (x) :=
we 1]do
not
that m
where
ofNote
and
g : [0,
Rprequire
is an auxiliar
d lj=1,...,d
i=1
d i
d an
ˆ
θ̂
of
θ
as
the
solution
of
with
unknown
parameter
θ
from
a
parameter
space
Θ
⊆ Rp ,g(
w
k
2
2
The
max-domain
of
attraction
condition
(1.1)
provides
a
(limit)
model
for
the
right
tail
Let
F
,
.
.
.
,
F
be
the
marginal
distributions
of
F
.
The
multivariate
max-domain
g(x)
l
(x)dx
=
g(x)l(x;
θ̂
)dx,
ˆ
[0,1]
[0,1]
g(x)
l
(x)dx
=
g(x)l(x;
θ̂
)dx,
n Assuming that the stable
an unknownfunction
parameter
θ from
a parameter
Θ⊆R
, we define
n space
n an estimator
1
d
tail dependence
to some
parametric
n with
g(x)
lnfamily
(x)dx
=
g(x)l(x;
θ̂nThat
)dx,
i=1 n belongs
the same
distribution
with mean
µinternet
and finite
variance
σ 2even
, thenathletics. attraction of G and we call G an extreme
d notparametric.
of G and we call G a (multivariate)
results
do
rely
on
the
continuity
σ 2 , then
is, we consider[0,1]
a larg
�
�
[0,1]d
[0,1]
that we
choose.
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non-life
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andvariance
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ranking,
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[0,1]d
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[0,1]
p
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θ̂
of
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as
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θ̂
of
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as
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of
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of
attraction
condition
implies
d
univariate
max-domain
of
attraction
conditions
for
d → Rp is an auxiliary function
with an unknown parameter
θnˆ
parameter
space Θestimator
⊆ R , we define
an estimator
Z1value distribution.
Name:
ˆladenotes
�n
where
lfrom
isijthe
nonparametric
of
l�and
1]
extreme
and
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of of an M�-e
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the rank
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, . . . ,g
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, i�
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= 1,the
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and � version
ng(x)
=
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θ̂n )dx,
n (x)dx
p nonparametric
�
ˆln isθ̂the
is� the
estimator
of l and
g : [0, 1]
→ Rpisis
anâuxiliary
function
1estimator
1
where
estimator
l and
gwhere
:where
[0, 1]ˆldn[0,1]
function
p
dR is an auxiliary
ˆl→
i − nµ d
θ of
as the
solution
of [0,1]d offor
1of l and1g : [0,
d nonparametric
ˆldn (x)dx
i=1 X
Extreme
value
theory
is
often
used
in
finance,
for
estimating
Value-at-Risk,
Expected
the
marginal
distributions,
together
with
a
max-domain
attraction
condition
the
where
l
is
the
e
n of nonparametric
ˆ
is
the
nonparametric
1]
→
R
is
an
auxiliary
funct
n
g(x)
=
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)dx,
ˆ
n
(x)
:=
1
R
>
n
+
−
kx
or
.
.
.
or
R
>
n
+
l
nkx
√
the
par
tial
derivatives
of
l
(with
→
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as
n
→
∞,
k
∈
{1,
.
.
.
,
n}.
and
it
follows
the
approach
of the−θ̂momen
that
we
choose.
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n =
1
ln (x)dx
g(x)l(x; θ̂ni )dx,
d ,
Andrea
i
�
� we choose.d g(x)
that
Here,
kd
2[0,1]d
2
[0,1]d
1 Krajina
Univariate extreme value σtheory
n
that
we
choose.
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[0,1]
[0,1]
i=1
d →marginal
p is an distributions
Shortfall
andmax-domain
other risk measures
of a portfolio.
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two involve
estimation
dependence
structure.
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the the
existence
limit
that
we
choose.
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ˆln of
�
�
that
we
choose.
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ˆ
The
of attrac
tion condition
Let
F1,of(2.1)
. . . implies
, Fd be
marginal
respec
t
to
x),
which
is
the
standard
Note
that
we
do
not
require
that
nor
the
copula
of
F
are
n
function
introduced
in
Einmahl
et
al.
(200
where
is the
the �
nonparametric
estimator
of
l
and
g
:
[0,
1]
R
auxiliary
function
�
g(x)ln (x)dx = 1 �g(x)l(x; θ̂n )dx,
n 1�
�
d → Rp is
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1 d estimator
n
ˆln is dthe nonparametric
1
where
of l and g : [0, 1]
p is an auxiliary
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j n of 1l�
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ˆlˆlnn(x)
1choose.
1
11na +
is the
estimator
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grequirement
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→ idX
R>
high theory
quantile
or estimation
of a very
which
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kx
or+
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−>
where
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asymptotic
where
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a random variable
following aa very The
(1.1)
provides
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the probability,
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parametric.
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esdo not
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or
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i for
i1
lim tis
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F1 (X11 ) ≤ tx1 of
or F.
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or 1ˆlmultivariate
Fd:=
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) ≤1txdHere,
) i1=:
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1
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R
> l(x),
n+
− kx
Ri >(x)
n
+
−
kx
,
Extreme
value
developed
in parallelatostandard
the morenormal
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known central limit
the- of
n−
1 or . . .kor
d
2
2
1 we
d2
k p
2nchoose.
ˆ
that
Here,
ˆ
d
ˆ
(x)
:=
1
Ri1
l
t↓0
Position:
k
2
2
(x)
:=
1
R
>
+
−
kx
or
.
.
.
or
R
>
n
+
−
kx
,
l
i=1
i=1
that
we
choose.
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n
n
1
d
where
l
is
the
nonparametric
estimator
of
l
and
g
:
[0,
1]
→
R
is
an
auxiliary
function
max-domain
of
attrac
tion
condition
estimator
of
l
and
is
an
normality
of
all
other
estimators
of
standard
normal
distribution.
The
theor
y
tail
of
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distribution.
�
�
i
i
i+3
timator
is
a
simplified
version
of
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M
-estimator
introduced
in
Einmahl
et
al.
(2009)
of
the
partial
derivatives
of
l
(with
resp
i
i
value
theory
is
used.
Instead
of
looking
at
the
return
on
the
whole
portfolio,
we
might
be
n
k
∈
{1,
.
.
.
,
n}.
n
i
i=1
extreme
valueslimit
was theorem,
inspired by
the following
happens with
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k
�
k
2
2
n
1�
1
1
ory.
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loosely
speaking,question:
says that “What
if an experiment
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�
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d i=1
i=1
jn
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well
of ex treme values was inspired by theinterested in the interactions between the stocks that portfolio is made of. For example,
�
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d copula
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iti1jfollows
approach
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:= where
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.of
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orthe
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est
where
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in,
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j that we choose.
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Note
we
do
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1,Rrank
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1.for
irank
R
denotes
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, .among
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Xbivariate
.,1marginal
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or
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orthe
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di :=
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i
i >n+
distribution
in
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when
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is
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i
ˆ
where
R
denotes
the
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of
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among
X
,
.
.
.
,
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i
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.
.
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,
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.
.
,
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and
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2
2
ij
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ln (x) :=
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or . . . or Ri > nk+ − kxd ,
i
2
j
2
j
many times independently
and
under
the
same
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the
random
variable
mod�
n
i=1
the
maximum
likelihood
estimators,
following question: “ What happens toit is very
Ex treme
valuehowtheor
y crash
is ofoften
usedinfluence the returns on other
introduced
in
Einmahl
et
al.
(2008).
We
prove
that
θ̂
is
consistent
and
asympas
the
maximum
likelihood
estimators,
sa
i=1
�k ∈function
where
R
denotes
the
rank
of
k
∈
{1,
.
.
.
,
n}.
where
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denotes
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rank
of
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among
X
,
.
.
.
,
X
,
i
=
1,
.
.
.
,
n,
j
=
1,
.
.
.
,
d
k
2
2
n
parametric.
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is,
we
consider
a
large
semiparametric
model.
The
intro
ij
1j
nj
1
1
1
i
useful
to
know
will
the
one
stock
i
{1,
. . . ,+
n}. − kx or i=1
d
k ∈ {1, . . . , n}.
ˆ
by the
of partialofmaxima?”.
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of a car tirefollow
failurethe
from
de Haan
:= =0.4,1θ totically
Ri1 > n normal.
. results
. . or Rdo
>not
n+
−
kx
, seej Coles
1
d continuity,
jlnθ(x)
i do
eling
the sequence
average outcome
experiment
will
approximately
θ.of
θ5, =0.5,
θ6.=0
the limitthe
distribution
in the
central limit
in standard
finance for estimating Value-atand
Tawn
(1991);
Ledford
These
rely
on
the
and
not
even
the
existence
(1996).
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absence
of
the
differentiabil
1=0.5, θk
2 the rank
3=0.3
4.=0.2,
Note
that
we
not
require
that
marginal
distributions
nor
the
copula
F
are
2
2
k
∈
{1,
.
.
.
,
n}.
where
R
denotes
of
X
among
X
,
.
,
X
,
i
=
1,
.
.
.
,
n,
j
=
1,
.
.
.
,
d
and
where
R
denotes
the
rank
of
X
among
X
,
.
,
X
i
=
1,
.
.
k
∈
{1,
.
.
.
,
n}.
timator
is
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simplified
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M
-estimator
introduced
in
Einmahl
et
ij
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j
i
stocks
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portfolio.
notion of extremal or tail dependence is introduced to
Note
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not rank
require
that
marginal
i=1 that
Note that we doi not require
marginal
distributions
nor
the
copula
of F
where
Ri denotes
of X
X
, . .are
.distributions
, Xnj
, i = 1, . .nor
. , n, the
j = copula
1, . . . , d of
andF are
ij among
and Ferreira
(2006)theorem
illustratesif
these
approaches.
tire
goRisk,
flatthe
either
asted The
when
ofThe
par
tialwillvariables
and
(1996).
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absence
of
the
Expec
Shor tfall and other risk
of the partial
derivatives
of
l and
(with
respect
to1jkx),
which
is
the
standard
requirement
dependence
inThe
aof
wider
class
ofesmodels.
normal
distribution.
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X1 , .parallel
.the
. , Xnsequence
are
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random
with
parametric.
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is,
we not
consider
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semiparametric
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introduced
∈a{1,
. . . ,Tawn
n}.
k
∈
{1,
.
.
.
,
n}.
it
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approach
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moment
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bivariate
stable
tail
d
Note
that
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requi
Note
that
we
do
require
that
marginal
distributions
nor
the
copula
of
F
j
parametric.
consider
model. The introduced esparametric.where
That
we consider
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The
k ∈X{1,
. . .That
, n}.Xis,
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andnonparametric
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consequence
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nailbyor
athe
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2 , the
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enables
sums
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replaced
measures
forrequire
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other
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asprove
well
One
important
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n
timator
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simplified
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Einmahl
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(2009)
do
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thenroad,offor example)
thea same
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variance
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1
introduced
inM
Einmahl
al.not
(2008).
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that
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Note
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Fetnor
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That
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athat
large
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introduced
Note
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require
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the
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timator
is
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-estimator
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k
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timator
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-estimator
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θ
2 approach
the
estimation
of
tail
dependence
parof
tial
maxima?”
An
example
of
a
car
tire
involve
estimation
of
a
ver
y
high
quantile
as
the
maximum
likelihood
estimators,
see
Coles
and
Tawn
(1991);
and
Tawn
dence
function
is
the
factor
model.
A
dconsequence of a sum
many
small
events
(due
to
wearing
out
over
time).
and
it
follows
the
of
the
moment
estimator
bivariate
stable
tail
dependence
parametric.
That
is,
we
consider
a
large
semiparametric
model.
�n
normal.
These
results
do esnot The
relyintroduced
ontimator
the continuity,
and not
even
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parametric.
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is,
we
consider
amarginal
large
model.
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isessimplified
timator
is consider
a θtotically
simplified
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ofofintroduced
an
M -estimator
inaEinmahl
et version
al. (20
parametric.
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is,
we
atail
large
semiparametric
model.
introduced
3stable
2 Multivariate
extreme value theory
Note
that we
do
not
require
that
distributions
nor
the
copula
F
are
and it follows
the approach
of the
moment
estimator
of semiparametric
bivariate
dependence
Xi −De
nµHaan
and
it
follows
approach
the
moment
stable
tail
dependence
d
aisofenables
wider
class
orfunction
estimation
failurerandom
from
(1996).
Thethe
absence
of
theofdifferentiability
assumption
the
estimation
of
tail
i=1
can
be
defined
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timator
a bivariate
simplified
version
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M
-estimator
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function
introduced
in Einmahlestimator
et
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(2008).
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thatof
θ̂nmodels.
is consistent
and asympConsider independent
, . . .Ferreira
from(2006)
a distribution
F . of a ver y small probability,
√ variables
→ Z,Xand
n, X
→n ∞,
1as
of
the
partial
derivatives
of
l
(with
respect
to
x),
which
is
the
standard
timator
is
a
simplified
version
of
an
M
-estimator
introduced
in
Einmahl
et
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timator
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MThe
-estimator
in Einmahlof
et al.it(2009)
and
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approach
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That is, we
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introduced
esitEinmahl
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θ̂n of
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et
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=bivariate
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totically
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notitprove
rely
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n is consistent
jof
Extreme value theory establishes under which conditions on F there
sequence
i=1,...,r
for
asymptotic
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l,
the
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on
Defining the
maximum of n vectors of dimension d to be a vector consisting of the
and
it
follows
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approach
of
the
moment
estimator
of
bivariate
stable
tail
dependence
and
it
follows
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approach
of
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stable
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dependence
timatorThese
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Einmahl
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function
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totically normal.
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Einmahl
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(2008).
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n introduced
function
introduced
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tire will go flat either as a consequence of
Instead of look ing at the return on the
impor
tant
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yields
One
important
model
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parametric
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offunction
the
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of
l on
(with
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which
ismodel
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standard
requirement
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rely
theOne
continuity,
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where
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Z
are
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where
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a standard
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i
(an ) Zofispositive
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56
3 -. March
3 - March 2010
57
l(x) =
max {bij xj }.
i=1
1
11 ≤ tx1 or
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ij j
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X
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with independent factors Z , Z and Z following a standard Fréchet di
F (x) = exp{−1/x}. The unknown parameter is θ = (0.5, 0.4, 0.3, 0.2, 0.5, 0.3
other 3 parameters are determined by the model. The auxiliary function g = (
is given by g (x) = x , g (x) = x , i = 1, 2, 3.
Figure 1: 3-dimensional 3-factor model, estimation of θ = 0.5, θ = 0.4,
θ = 0.2, θ = 0.5, θ = 0.3
3
i=1
i=1
j=1,...,d
i=1
j=1,...,d
X1 = max{0.5Z1 , 0.2Z2 , 0.3Z3 }
RUIMTE
X2 = max{0.4Z1 , 0.5Z2 , 0.1Z3 }
X3 = max{0.3Z1 , 0.3Z2 , 0.4Z3 },
d
all x ∈ [0, ∞) . The function l is called the stable tail dependence function, and it is
with independent factors Z1 , Z2 for
and
Z3 the
following
a standard Fréchet distribution,
used to describe
tail dependence structure.
Assuming that the stable tail dependence function belongs to some parametric family
FZ1 (x) = exp{−1/x}. The unknown
parameter is θ = (0.5, 0.4, 0.3, 0.2, 0.5, 0.3), and the
with an unknown parameter θ from a parameter space Θ ⊆ R , we define an estimator
θ̂ of θ as the solution of
other 3 parameters are determined by
the model.
The auxiliary
function g = (g1 , . . . , g6 )
�
�
g(x)ˆl (x)dx =
g(x)l(x; θ̂ )dx,
is given by gi (x) = xi , gi+3 (x) = x2i , i = 1, 2, 3.
p
n
voor beweging
n
[0,1]d
i=1
θ4
θ5
where
denotes the rank of Xij among X1j , . . . , Xnj , i = 1, . . . , n, j = 1, . . . , d and
θ6
k ∈ {1, . . . , n}.
Note that we do not require that marginal distributions nor the copula of F are
parametric. That is, we consider a large semiparametric model. The introduced estimator is a simplified version of an M -estimator introduced in Einmahl et al. (2009)
and it follows the approach of the moment estimator of bivariate stable tail dependence
function introduced in Einmahl et al. (2008). We prove that θ̂n is consistent and asymptotically normal. These results do not rely on the continuity, and not even the existence
of the partial derivatives of l (with respect to x), which is the standard requirement
for asymptotic normality of all other estimators of l, the nonparametric one, as well
as the maximum likelihood estimators, see Coles and Tawn (1991); Ledford and Tawn
(1996). The absence of the differentiability assumption enables the estimation of tail
1000in a wider class of models.
200
400
600
800
1000
dependence
k
One important model that yields a non-differentiable parametric stable
tail dependence function is the factor model. A d-dimensional r-factor model X = (X1 , . . . , Xd )
F i g u r e 2 : 3 - d i m e n s i o n a l 3 - f a c (b)
tor model, estimation of
can be defined by
θ4 = 0.2, θ5 = 0.5, θ6 = 0.3
Xj = max {bij Zi }, j = 1, . . . , d,
(2.3)
0.015
0.000
0.000
0.005
0.005
0.010
0.010
RMSE
0.015
0.020
0.025
0.025
0.020
θ1
Rθij2
θ3
0.030
where ˆln is the nonparametric estimator of l and g : [0, 1]d → Rp is an auxiliary function
that we choose. Here,
�
� θ6=0.3
n
θ4=0.2, θ5=0.5,
�
1
1
ˆln (x) := 1
k
2
2
θ1=0.5, θ2=0.4, θ3=0.3
RMSE
n
[0,1]d
200
400
600
k
(a)
800
i=1,...,r
Figure 1: 3-dimensional 3-factor model, estimation of θ = 0.5, θ = 0.4, θ = 0.3,
θ4 = 0.2, θ5 = 0.5, θ6 = 0.3
Om jezelf te ontplooien, heb je ruimte nodig.
where the Zi are independent and heavy-tailed random variables, and bij are nonnegative
�
11, . . . ,as
2
3 2 show the root mean
psychology
Figuregeneral
1 and
numbers such that ri=1different
bij = 1 for areas
all j = such
d. Factor
models are rather
and different
finance.
The
func
tion l of or
the
errors of the estimator of
models that are used in many
areas
such
as psychology
finance. squared
The function
fac
tor
model
in
(2.3)
is
given
by
θ.
The
6
parameters
appear to have
l of the factor model in (2.3) is given by
been estimated well, with the root
r
�
mean squared errors being in the
l(x) =
max {bij xj }.
j=1,...,d
range from 0.01 up to 0.015. |
i=1
Figure 1 shows the root mean squared errors of the estimator of θ. The 6 parameters
We illustrate the
3 behaviour of the
appear to have been estimated well, the root mean
squared
errors being in the range
above estimator
on a 3-dimensional
Aon geeft je die ruimte.
model with 3 fac tors. We simulated
500 samples of size n = 5000 from
from
up tovan0.015.
Zodat jij 0.01
ons kan overtuigen
jouw kracht en expertise.
Om het beste uit jezelf te halen, heb je ruimte nodig.
Om creatief en flexibel te werken, heb je ruimte nodig.
References
Coles, S. G. and J. A. Tawn (1991). Modelling ex treme
multivariate events. Journal of the Royal Statistical
S ociet y, S eries B 53, 377–392.
Zodat jij kunt bewegen tussen risicomanagement en pensioenadvies.
Zodat jij in beweging blijft.
References
www.werkenbijaon.nl
a model
de Haan, L. and A. Ferreira (2006). Ex treme Value
Theor y : An Introduction. New York: Springer.
X1 = max{0.5Z 1 , 0.2Z 2 , 0.3Z 3 }
X2 = max{0.4Z 1 , 0.5Z 2 , 0.1Z 3 }
X3 = max{0.3Z 1 , 0.3Z 2 , 0.4Z 3 },
Einmahl, J. H. J., A. K rajina, and J. Segers (2008). A
for all x ∈ [0, ∞)d . The function l is called the stable tail dependence function, and it is
method of moments estimator of tail dependence.
dependence
structure.
14, 1003–1026.
with independent facused
torstoZ 1describe
, Z 2 andthe tailBernoulli
Assuming
that the stable tail dependence function belongs to some parametric family
Z 3 following a standard
Frechet
p , we define an estimator
an unknown
θ J.from
a Kparameter
⊆ RAn
distribution, F Z1 (x) = with
exp{−1/x}.
The parameter
Einmahl,
H. J., A.
rajina, and J. space
Segers Θ
(2009).
Munk nown parameter θ̂nisof θ as=the(0.5,
estimator of tail dependence in arbitrar y dimensions.
solution of
�work in progress.
�
0.4, 0.3, 0.2, 0.5, 0.3) and the other
ˆln (x)dx =
g(x)
g(x)l(x; θ̂n )dx,
3 parameters are determined by
[0,1]d
[0,1]d
Ledford, A. W. and J. A. Tawn (1996). Statistics for
the model. The auxiliar y func tion
ˆ is the nonparametric estimator of l and g : [0, 1]d → Rp is an auxiliary function
where
g = (g 1 , . . . , g 6 ) is given
by lgn i (x)
= x i,
near independence in multivariate ex treme values.
2
g i+3 (x) = x i , i = 1, 2, 3.that we choose. Here, Biometrika 83, 169–187.
�
�
n
�
1
1
ˆln (x) := 1
k
2
2
i=1
Coles, S. G. and J. A. Tawn (1991). Modelling extreme multivariate events. Journal of
the Royal Statistical Society, Series B 53, 377–392.
RISICOMANAGEMENT | EMPLOYEE BENEFITS | VERZEKERINGEN
de Haan, L. and A. Ferreira (2006). Extreme Value Theory: An Introduction. New
York: Springer.
where Rij denotes the rank of Xij among X1j , . . . , Xnj , i = 1, . . . , n, j = 1, . . . , d and
k ∈ {1, . . . , n}.
59
R o m o ss t o t i l b u r g
living in lodg e s
Passing the frozen Pius harbour, Nekst is about to visit Patrick Kuijpers and his housemates. After we have
been shaken severely by cycling over the cobblestones that are typical for an old neighbourhood, we finally
arrive at number 25 in the Van de Coulsterstraat, where Patrick lives.
We are looking at an ordinary family house:
nothing reveals that students live in this house.
After knocking on the window – since the
doorbell does not work – Patrick opens the door
and welcomes us. The first object that catches
our attention upon entering the hallway is
a huge flag of football club PSV Eindhoven.
Patrick and his housemates are all supporting
PSV as can also be concluded from their living
room, which is full of countless items related to
the aforementioned football club.
Name:
Patrick Kuijpers
Age:
21
Begin studies:
2007
Address:
Van de Coulsterstraat 25
Room surface:
12m 2
Monthly rent:
365 euros
Something else that amazed us is the size
of the living room, which is extremely large.
Patrick thinks that it has a total surface of
approximately seventy square metres. Patrick’s
housemates, Job and Sikko, are in the living
room and kindly welcome us as well. Today,
Chicken Tonight Hawaii is on the menu. As
dinner is not ready yet, Patrick uses the time
to show us around the house. Highlights of the
tour are the garden full of empty beer crates,
the terrace on the roof, and Patrick’s room.
Patrick tells us that he is only in his room when
he needs to sleep. He and his housemates are
always in the living room, where the television,
laptops, and Playstation are. What do you need
more?
When dinner is ready, we move over to the
couch and have dinner with the plate on our
lap watching comedies on the television.
This is a tradition according to Patrick and
his housemates, as they do this almost every
evening. After dinner, we can finally start with
the official interview, although we already
made sure that we got the most important
information about Patrick and his housemates
during dinner. After all, we are still nosy
journalists.
Living with friends
On the question why he wanted to live in
lodges, Patrick answers: “It is nice and relaxed
to live on your own with friends.” Patrick and
his housemates are from Oss, a city in Brabant,
and know each other from working at a super
market. Because they all study in Tilburg, they
decided to look for a place where they could
live together. “This was not easily done,” Patrick
admits. “Most people do not want to rent their
house to students.” Fortunately, after having
searched for half a year, they found a house
that suited them very well. As of this year, Sikko
also studies Econometrics at Tilburg University.
According to Patrick, he convinced Sikko to
study Econometrics. Sikko, on the other hand,
does not agree with him and says that even
though he came into contact with Econometrics
via Patrick, he might have studied it anyway.
Patrick enjoys his life as a student and he
definitely likes living in lodges with his friends.
For Patrick, the best aspects of the house are
the big living room, the giant television, and
the couches. Even though they are students,
Patrick and his housemates cook together on a
regular basis. Do they ever order any food? Yes,
they do. In fact, they order food quite often, but
only as a sort of ‘second dinner’ in the evening.
Furthermore, they clean together as well. They
always clean the house on Fridays and they do
not even need a cleaning schedule on the big
whiteboard in the living room. The whiteboard
does contain their study programme for each
day of the week and Patrick seems to have a
busy schedule. The whiteboard reminds Patrick
of something else as well, namely a good wiper
for the whiteboard.
Patrick, Job and Sikko have been living in this
house for almost four months now and we
would like to know all the highs and lows so
far. Patrick: “The absolute highlight of the
past four months is the house warming party.
There were about fifty people and the next
day we noticed that there were empty beer
bottles everywhere.” The low so far has been
60
P a t r i c k ’s r o o m
the morning after the house warming
party. As the party took place just a
few days before New Year, they had
made fritters (Dutch: oliebollen). That
morning, however, Patrick found some
of those lying in his bed, put there by
his housemates. “Since that day, I always
lock my door at night!”
The room
Patrick is very pleased with the house
and his room. His room is not too small
and looks neat, apart from the clothes
that are lying around. Patrick even has his
own sink. As mentioned before, Patrick
is hardly ever in his room. Nonetheless,
he would have liked a bigger window.
Besides that, there is nothing that he
would like to change.
As soon as we want to take a picture of
his room, Patrick notes that he wants
to clean up first, which gives us the
opportunity to gossip about him with
his friends downstairs. We ask them
about the things they find annoying
about Patrick. “Actually nothing,” is the
response. “However, he is sometimes
pretty annoying when he is drunk.” We
find out that Sikko is the most responsible
of the three. Sikko tells us that he likes
his first year as an econometrician, but
strangely he is not familiar with Nekst.
He supposes that he is not a member of
Asset | Econometrics. After telling him
about our nice study association and the
upcoming après ski drink – about which
Patrick told him as well – he promises
that he will become a member if he likes
the drink. With the great drinks of Asset
| Econometrics in mind, we are sure that
we can consider him as a member from
now on.
After taking a picture of Patrick’s room
and thanking him and his friends for the
dinner and interview, we are ready to
leave. Before we leave, however, Patrick
asks us to put a dot on the map of Tilburg
that is hanging on the wall in the hallway.
He asks everyone he knows to put a dot
on the location where they live to get a
nice overview. We feel honoured to be
among the first to leave our marks on the
map before going home. Maybe you will
be the next to put a dot on the map? |
Text by: Bart Kruize
61
o f f ee wi t h M a t hijs B o uman
T he d r inks & ac t ivi t ies
c o mmi t t ee
L E D : N ational E c onom e tri c ians D ay
Committ e e pro f il e
Over a year ago, the LED committee 2010 was set up by Kraket and VSAE, which are two econometrics study
It is an honour for me to tell you about the greatest, funniest and most important committee of our study
associations in Amsterdam. This cooperation resulted in a great committee with members of Kraket as well
association, which we call the Drinks & Activities committee, or in short: D&A. We are about halfway through
as members of VSAE. The committee received the task to organise the national econometricians day, better
this academic year and we have already had two activities and four drinks with the D&A and there is so much
known as LED.
more to come this year!
The committee consisted of seven members.
Thijs Bender was the chairman, Raymon Ruijter,
Ignacio Bruin, and Marieke Klein took care
of the companies and Lianne Marks formed
the financial brain. Hylke Spoelstra became
secretary and I, Marleen van Kalmthout, had to
take care of the public relations for the LED.
Name:
Marleen van Kalmthout
Age:
22
University:
University of
Amsterdam
In the beginning, my main job became
looking for the perfect location and finding
speakers for the opening and the debate. At
one moment in time, the committee decided
that we should ask Alexander Rinnooy Kan
to participate in the debate. After all, he is
a famous person in the field of economics
and is known as the most influential person
in the Netherlands (editorial note: find out
more about Mr Rinnooy Kan in the December
edition of Nekst 2008). As Rinnooy Kan joined a
debate during the student week of Amsterdam
in May 2009, Thijs and I went to the debate
in order to have a look. After hearing a great
debate, we were even more impressed by the
intelligence and debating skills of this famous
man. Therefore, we were very nervous as we
walked up to him in order to ask him to join
the debate on the LED. It appeared that it was
unnecessary to be so nervous, since he was
not only intelligent and convincing, but also
very nice and enthusiastic about our project.
Within five minutes, we received his business
card and the instruction to call his assistant to
check whether or not he was still available on
the LED. Fortunately, he was able to come and
the first debater had been arranged.
Hylke accepted the job of inviting Arjo Klamer
for the debate and finding a speaker for the
opening of the LED became my task. During
one of the meetings – these usually lasted for
at least two hours – we decided that Mathijs
Bouman would be a suitable candidate. He was
very enthusiastic as well, so all the speakers for
the day were arranged.
My next task was searching for nice gadgets
for the promotion. This was something I really
enjoyed. I think I searched the internet for
at least 25 hours and I also browsed many
magazines with goodies in order to find the
right gadgets. I really liked the gadgets of
this year, especially the Mikado games, but I
assume you saw the goodies yourself as well.
We promoted the LED in January and it was a
great experience. We had some fun road trips
and the opportunity to have a look at the other
universities.
After the promotion, I continued arranging the
presents for the day itself. The committee was
very enthusiastic about the idea of garment
bags, so we had to search for a nice store
offering garment bags of a good quality. Since
those bags turned out to be rather expensive,
we decided to look for a sponsor. The Society
Shop wanted to help us and all we had to do
was finding a printer. As the garment bags
were sponsored by the Society Shop, the
organisation itself did not have a real present,
so we decided to give a fashion roller as well.
During the day, everyone got his or her own
responsibilities. My job was to take care of the
opening and the debate. It was really nice to
do, since I had coffee with Mathijs Bouman
all morning and I had coffee with Arjo Klamer
and Alexander Rinnooy Kan in the afternoon.
The last week before the LED, we agreed on
clearing our schedule in order to arrange the
final things. We had to pick up the garment
bags, print the maps, fill the goodie bags,
etcetera. It was a hectic, but nice week.
The day itself was amazing. Except for a few
moments of stress, the day went perfectly. This
was also thanks to the 22 volunteers walking
around and helping us with the organisation.
We really enjoyed the day and we hope you
enjoyed it as well. See you next year! |
62
Let me first shortly introduce you to our five
committee members. Bart van Schuppen is
our one and only chairman, also known as
‘the boss’ or ‘meneer de voorzitter’ (Mister
Chairman). Joep Olde Juninck is our treasurer
and his job is to check how many free barrels
of beer, how many free pizzas and how many
fun trips to the skating rink we can enjoy.
More about this later. Pascal Heuijerjans is
in function ‘just’ a committee member, but
in actions he is at least as great as all of the
other committee members, being always
ready to act as Sinterklaas or to throw a big
party. From the board, we have Stephanie
van Breda, who keeps an eye on us such that
everything runs smoothly, and I am Robbert
van Oosten, the secretary.
Now that you know who you are dealing with,
we can start having a look at what we did this
year and what is yet to come. We started this
academic year with our first activity on 14
October: the Game Afternoon. All members
of Asset | Econometrics were invited and they
could have a delicious pizza for free. It was no
surprise that two rooms on the first floor of the
Warande building were completely filled with
econometricians, who were all having a good
time. This all sounds very straightforward and
smoothly – it indeed went smoothly – though
it was far from easy to organise this event. To
arrange this, we had to design and put up
some posters, talk with students and give
all students the opportunity to subscribe
themselves. Furthermore, we had to buy chips,
cola, fanta, committee shirts and of course we
had to find a company that would be crazy
enough to deliver us about seventy pizzas.
Not to mention that we had to think about all
of this beforehand, while trying to stay within
a certain budget and writing a lot of minutes
as well. However, thanks to iron teamwork
and great leadership from Bart, this was all
done without any big problems.
Let me tell you something more about the
drinks. The big question is always: what
should its theme be? We have already had a
‘Holiday on Ice’, ‘Sinterklaas Missed the Boat’
and New Year’s drink. We will let you know
soon enough what the next themes will be.
Nevertheless, one thing is for sure: it is going
to be a lot of fun! A big advantage of going
to the drinks of Asset | Econometrics is that
there will always be free barrels of beer. To
be honest, there are so many free barrels that
I have had more free beers compared to the
amount of beers I paid for at the drinks. A few
weeks ago, we also decided to offer Canei
especially for the ladies. It is quite an effort to
promote these drinks, arrange things for the
theme and prepare the pub for the guests,
but this is a small effort compared to the
good time you get in return.
There is so much more to tell you about, but I
am afraid I have to stop here, because else we
are going to get problems with the editorial
staff of Nekst. Let me conclude this story by
telling you that we are going to have four
more drinks, one more activity and a football
tournament this year, which you certainly do
not want to miss at any cost! See you there! |
Name:
Robbert van Oosten
Age:
19
Begin studies:
2008
The Drinks & Activities Committee
63
ua t sch !
G r adua t es
R e markabl e quot e s
T o c on c lud e
Fortunately, the editorial staff of Nekst received many quotes over the past months. Maybe you will even
Over the past months, the following econometricians obtained their bachelor’s and master’s degree. Asset |
know who made the Mystery Quatsch? If so, please mail your solution to [email protected] to win
Econometrics would like to congratulate:
a nice prize! Of course, you can still mail all remarkable quotes you have heard to this email address as well!
Name:
Ali Burak Kurtulan
Title:Correlations in Economic Capital Models for Pension Fund Pooling
Supervisors:
Dr R. J. A. Laeven, Prof. Dr J. M. Schumacher
English Quotes
Mr Ten Raa during a lecture of the course Auctions and Public Sector
Economics:“If you wake me up and ask what I was dreaming of, then
I will say that I was dreaming of an Edgeworth Box.”
Mr Ten Raa during a lecture of the course Auctions and Public Sector
Economics: “If I object that my apples are taken by the Bolsheviks, I
will be killed. For simplicity.”
Mr Drost during a lecture of the course Life Insurance: “Now we get
exactly, more or less the same formula.”
de laatste Chinezen nog om kwart over negen binnendruppelen,
terwijl het in China dan al avond is!”
Name:
Dave van Duren
Title:Feasibility of Time Period Indication
Supervisors:
Prof. Dr G. Kant, Drs J. J. M. Braat
Harold van Heijst: “Gisteren in de Mensa kregen we zuurkool met
aardappels en speklappen. Er zat niet eens groente bij!”
Frans Fonville: “We kunnen Tinbergen wel interviewen.” Bart Kruize:
“ Die is al zo’n 15 jaar geleden overleden.”
Harold van Heijst: “Marleen zegt ook vaak een zin zonder woorden.”
P l annin g
to c on c lud e
Elske Leenaars: “Op welke foto’s staat de computer?”
Mr Ten Raa discovers some formulas on the blackboard at the start
of the course Auctions and Public Sector Economics: “I do not know
from which course these notes are, but all economic courses are
approximately the same, so I will just use these notes!”
Frederic Vermeulen during a lecture of the course Regression
Analysis:“If you do not see a zero here, then your regression probably
went bananas!”
Thomas Geelen: “Het is toch stom dat een schip tegen een boot
aanrijdt.”
Wilbert Kistemaker tijdens het uitzoeken van hostels voor de
vakantie: “Dit hostel heeft Wi-Fi, dat is toch een soort spel?”
Linda Vos: “De regel bevestigt de uitzondering!”
Mr Ten Raa during a lecture of the course Auctions and Public
Sector Economics: “First, this university was called ‘Catholic High
School Tilburg’, which is abbreviated to KHT in Dutch. However, after
deciding to turn it into a university, they did not call it KUT, since this
is hard to swallow for Dutch people.”
Harold van Heijst: “Ken je de film 2012? Dat is dit jaar en dan over
twee jaar.”
Mr Ashayeri during a lecture of the course Production Management:
“If you make a car, you will not get a by-product as in the chemical
industry, such as a small car.”
Emy van der Wielen tijdens de LED: “Kijk naar de boot voor het
gebouw. Die heeft een lekke band!”
Mr Croux during a lecture of the course Regression Analysis: “It is
a very easy function, so the person who made it up, has already
passed away.”
Elske Leenaars: “Selexyz Gianotten, wie kent die niet?” Claudia
Rommens: “Dan is Selexyz toch de voornaam?”
Elske Leenaars vraagt aan Frans Fonville waar hij van plan is om
naartoe te gaan: “Ga je naar Londen of naar Engeland?”
Frans Fonville: “Parallel is toch twee keer met dubbel ‘ l ’ ?”
Dutch Quotes
Anouk Rennen: “Ik was op zoek naar Nieuwenhuis.” Marleen Balvert:
“Ben je op zoek naar een nieuw huis?”
Stefan Damen voor het tentamen van Quantitative Finance: “Een
black-out bij dit vak is volgens mij onmogelijk. Een Black Scholes
daarentegen; dat kan wel!”
Ramon van Schaik over de ploegenachtervolging van de vrouwen
tijdens de Olympische Spelen: “Wij hebben Sven Kramer, die rijdt
hen er zo uit!”
Linda Vos volgt een interview met Erica Terpstra op televisie:
“Misschien ontmoet ze nog wel Kim Jong-il, die schaatser!”
Harold van Heijst: “81 keer 40 cent, dat is ongeveer, eh... 120 euro!”
Frans Fonville staat in de keuken van Pascal Heuijerjans:“Wow! Jullie
hebben gewoon een vloer in jullie keuken!”
Dhr. Talman begrijpt niet waarom Chinezen te laat komen bij zijn
colleges: “Als het college om kwart voor negen begint, dan komen
Mystery Quatsch
“Ik heb hier p*, x* en y*. Ik zie allemaal sterretjes!”
64
Tuesday 30 March
Beer or Wine Tasting and Lecture Drink
There are many different kinds of beer and wine. Since
students are rather familiar with the common brands of
alcoholic beverages, the Drinks & Activities committee
decided that it was about time that students would also get
to know the differences between several other kinds of beer
or wine. Therefore, there will be a dinner and a beer or wine
tasting at The Gallery on 30 March. Afterwards, there will be
a lecture by TNO and a drink at Café Qwibus.
Friday 2 April
Members Day
On Friday 2 April, the Members Day of Asset | Econometrics
will take place. We will visit Efteling on this wonderful day. It
will be a day full of fairy tales, roller coasters, and of course
Pardoes. After our visit to the World of Miracles, there will be
a dinner in Tilburg.
Friday 9 April – Sunday 11 April
Active Members Weekend
During the Active Members Weekend, all active members are
going to have the best weekend of the year! Nobody knows
where the weekend will take place and what activities will be
done until the very last moment. By means of this weekend,
the board of Asset | Econometrics would like to thank all the
active members for their efforts during this academic year.
Monday 12 April
Start Secret Activity
This year, all members of Asset | Econometrics are invited
to face the biggest challenge they will ever run into. On
Monday 12 April, you can get instructions. The challenge will
start on 13 April and will last until 26 April. Curious? Join this
challenge!
Tuesday 13 April
Freshmen Activity
On 13 April, the last Freshmen Activity of this academic year
will take place. The committee is still thinking of a perfect
activity for the freshmen, but there will be more information
available soon. If you are interested in a great evening with
your classmates, then keep an eye on your inbox!
Wednesday 28 April
Football Symposium and Drink
On 28 April, Asset | Econometrics illustrates how to combine
econometrics and football. Many econometrical and
mathematical theories have already been used to predict
the outcome of football tournaments and form the ultimate
team. Do you want to know how to combine your study
expertise and this great sport?
Friday 14 May – Sunday 16 May
KOALA
Of course, Asset | Econometrics does not forget its former
active members. During this weekend, former active
members of our association will gather together and will live
as a student for one weekend again. This will definitely be a
weekend full of fun!
Wednesday 9 June
Football Tournament and Announcement Drink
Every year, Asset | Econometrics organises a football
tournament, in which all students and lecturers can
participate. Subscribe with a team and show off your football
skills! Afterwards, the candidate board of Asset | Econometrics
for the academic year 2010-2011 will be announced.
65
Excellent enough to
make a difference?
M A t hema t ics c o n t es t
P uzzl e
This time, Nekst presents an entirely different puzzle to you. It is actually a mathematics contest, in which the
person who solves all puzzles correctly will win the prize. In the unfortunate case of no completely correct
answer, Nekst will choose a winner from all participants at random. Therefore, only solving a single puzzle
may as well result in winning a nice prize. What are you waiting for?
(Aankomende) actuarissen – M/V
Bij Ernst & Young werken accountants, belastingadviseurs en gespecialiseerde
adviseurs in vrijwel elke richting van de financiële, juridische en notariële
dienstverlening. Met ruim 4.500 medewerkers verspreid over 17 kantoren zijn
we een van de grootste adviesorganisaties in Nederland. Er is bij ons altijd
ruimte voor ambitieuze starters die het verschil willen maken.
Ga jij de financieel directeur van een verzekeraar adviseren over een nieuwe
premiestructuur of het toeslagenbeleid van een pensioenfonds toetsen? Of ben
je meer geïnteresseerd in de modellen die beleggingsfondsen gebruiken bij de
waardering van hun portfolio’s. Ernst & Young Actuarissen biedt de mogelijkheid
om je breed te ontwikkelen op zowel inhoudelijk als persoonlijk vlak. Wij zijn
onderdeel van een Europese organisatie waarin actuarissen uit alle financiële
centra van Europa samenwerken. In de dynamische markt waarin wij werken
hebben wij continu nieuwe adviseurs nodig. Voor onze kantoren in Amsterdam
en Utrecht zijn wij op zoek naar (Aankomende) actuarissen.
Ben je gedreven, leergierig, analytisch en adviseer je liever dan dat je
wordt geadviseerd. Dan heb jij de instelling die wij zoeken. Wij bieden jou
de mogelijkheid om na je studie als beginnend actuaris aan de slag te gaan.
Ook kun je tijdens je studie voor een dag in de week aan de slag gaan als
werkstudent of je afstudeerscriptie schrijven over een praktijk probleem.
One hundred
Try to make 100 with the numbers 1, …, 9 using the following
rules:
• Each number should be used exactly once.
• You are only allowed to use the operation ‘addition’.
• Two numbers may be combined to form a new number (for
example, 2 and 4 become 24 or 42).
• Two numbers may be combined to form a fraction (for
example, 2 and 4 become 2/4 or 4/2).
Windows
There are two windows in the façade of a new house. Both
windows have a height of 1 metre and a width of 1 metre.
However, one window is two times as big as the other one.
How is this possible?
Multiplication
Multiply the number abcd (consisting of exactly four
characters) by 4. The result is dcba. What is the number?
Marbles
Can you place 10 marbles in 5 lines such that there are exactly
4 marbles on each line?
Dates
The date 19.11.1999 only consists of odd numbers and is
therefore called ‘odd’. The date 02.02.2000 only consists of
even numbers and is therefore called ‘even’. What is the first
odd date after 02.02.2000 and what is the most recent even
date before 19.11.1999?
Playing cards
With respect to the cards in figure 1, the following statement
is made: on the back of every card with an even number is a
vowel. What is the minimum amount of cards that you should
flip in order to check this statement and which cards should
you check?
Fi g u r e 2 : Tr e a s u r e c h e s t
Treasure
Five econometricians from different years find a treasure of
100 gold coins in the office of Prof. Dr Borm. They decide to
split the coins using the following scheme.
Voor meer informatie kun je contact opnemen met Vivien Belle,
06-21251836 of [email protected]. Solliciteren kan op
www.ey.nl/carriere
The oldest student proposes how to share the coins and all
econometricians remaining will vote in favour of or against
the proposal. If 50% or more of the students vote in favour
of the proposal, then the coins will be shared in that way.
Otherwise, the student proposing the scheme will be thrown
out of the window and the process is repeated with the
remaining students.
Figure 1: Playing cards
Assuming that all five econometricians are rational, greedy,
aim to survive, and paid attention during the lectures of
Game Theory, what will happen?
67
<On the pursuit of professionalism >
24 Game
Try to make 24 out of the numbers
displayed in figure 3. You are
only allowed to use the following
operations: +, -, : and x. The numbers
are: 1, 3, 4, and 6.
Figure 3: 24 Game
Grassland
Farmer René owns a piece of grassland
and three animals: a cow, a goat, and
a goose.
René discovered the following:
• If the cow and the goat graze on the
field together, then there is no grass
left after 45 days.
• If the goat and the goose graze on
the field together, then there is no
grass left after 90 days.
• If the cow and the goose graze on the
field together, then there is no grass
left after 60 days.
• If the cow grazes on the field alone,
then there is no grass left after 90
days.
1) Assume a fixed amount of grass at
the beginning.
2) Assume that the cow, the goat, and
the goose eat grass with a constant
speed.
3) Assume that the grass grows with a
constant speed.
For how long can the three animals
graze on the field together?
Clock
Last week, an error was made with a
clock at Tilburg University. The clock
was set on 6 o’clock just before the
beginning of a lecture. However,
an alert student noticed that the
hour hand and minute hand had
been interchanged and attached
to the wrong axes. This resulted in
the hour hand moving with a speed
twelve times higher than the minute
hand. When the clock maker arrived,
something remarkable happened: on
the moment he inspected the clock, it
showed exactly the correct time again.
If you know that the clock started at
6 o’clock in the correct position, then
what was the first moment that it
showed the right time again?
Matches
In figure 4, a dustpan (with a
match on it) is constructed by
four matches. Replace two
matches in order to put the
match out of the dustpan.
We view professionalism as the product of excellent
abilities and execution. We pride ourselves on it in everything
we do. Being professional is about setting the highest
standards of performance and wanting to excel. If you have
the same standards, we would like to hear from you.
For our Analyst Program, NIBC is looking for university
graduates who share our pursuit of professionalism. Personal
and professional development are the key-elements of
the Program: in-company training in co-operation with
the Amsterdam Institute of Finance; working side-by-side
with professionals at all levels and in every financial discipline
is part of learning on the job.
We employ top talent from diverse university backgrounds,
ranging from economics and business administration, to
law and technology. If you have just graduated, with
above-average grades, and think you belong to that
exceptional class of top talent, apply today. Joining NIBC’s
Analyst Program might be the most important career
decision you ever make!
small
using
large
small
Want to know more? Surf to www.careeratnibc.com.
Figure 4: Dustpan
Please send your solutions to the puzzles
to [email protected] before
1 June 2010. The previous puzzle, Pi
Scrabble, was solved by many readers.
However, we received the best solution
from Menno Taanman. He can pick up
a crate of beer or a cake (Dutch: vlaai)
at the Asset | Econometrics room. For
the winner of this contest, the same
prize will be waiting. Good luck! |
68
Interested? Please contact us: NIBC Human Resources, Frouke Röben, [email protected]. For further information see
www.careeratnibc.com. NIBC is a Dutch bank that offers integrated solutions to mid-market clients in the Benelux and
Germany. We believe ambition, teamwork, and professionalism are important assets in everything we do.
7+(+$*8(f/21'21f%5866(/6f)5$1.)857f1(:<25.f6,1*$325(f:::1,%&&20
Je leert meer...
...als je niet voor
de grootste kiest.
Wie graag goed wil leren zeilen, kan twee dingen
net zo goed voor onze traineeships waarin je diverse
doen. Je kunt aan boord stappen van een groot zeilschip
functies bij verschillende afdelingen vervult. Waardoor je
en alles leren over een bepaald onderdeel, zoals de stand
meer ervaring opdoet, meer leert en sneller groeit.
van het grootzeil. Of je kiest voor een catamaran, waarop
SNS REAAL is met een balanstotaal van € 129 miljard en
je zelf de koers bepaalt en jouw ontwikkeling direct van
zo’n 7.700 medewerkers groot genoeg voor jouw ambities
invloed is op de snelheid van je boot. Zo werkt
het ook met een startfunctie bij SNS REAAL, de
Starters
en klein genoeg voor een persoonlijk contact.
Ambitieuze en ondernemende starters op hbo-
innovatieve en snelgroeiende dienstverlener in bankieren
en wo-niveau bieden we naast een afwisselende functie
en verzekeren. Waar je als starter bij een hele grote
een uitstekend salaris en goede doorgroeimogelijkheden.
organisatie vaak een vaste plek krijgt met specieke
Aan jou de keuze: laat je de koers van je carrière door
werkzaamheden, kun je je aan boord bij SNS REAAL in de
anderen bepalen of sta je liever zelf aan het roer? Kijk voor
volle breedte van onze organisatie ontwikkelen. Dat geldt
meer informatie over de startfuncties en traineeships van
voor onze nanciële, commerciële en IT-functies, maar
SNS REAAL op www.werkenbijsnsreaal.nl.

third edition, March 2010

Transcription

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