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Blijkt Econometrie ineens een vooropleiding. PerVectum

Een succesvolle carrièrestart is meer dan een goede cijferlijst. Het begint met karakter en inzicht in jezelf. Ontdekken wie je bent, weten waar je naartoe wilt groeien én hoe je dat voor elkaar krijgt staat altijd aan de basis. Ernst & Young Actuarissen coacht jou actief op weg naar jouw succes. Of je nu een financieel directeur van een verzekeraar wilt adviseren over een nieuwe premiestructuur of het toeslagenbeleid van een pensioenfonds wilt toetsen. Ernst & Young Actuarissen is onderdeel van een Europese organisatie waarin actuarissen uit alle financiële centra van Europa samenwerken. Volop kansen dus. Ontdek ons op


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Word from the President Dear Econometricians, Sadly this is the last time that I will be addressing you at this point, as not only the academic, but also our board year is coming to an end in only a few weeks. The end of this academic year will then also conclude the first year of SCOPE | Vectum, in my opinion a successful start within the new SCOPE framework. For some of us, including myself, this is the last PerVectum before we reach the end of our study here in Maastricht. And another big group, namely all current second year students, will not return to Maastricht until spring 2013. Therefore it will soon be time to say goodbye to some of our friends for most of us. However, before we all part we still have a few activities left. Notably our infamous members’ weekend on June 15th-17th and of course our GMA. We will hold this year’s GMA on the 26th of June, the very last Tuesday of the academic year. Especially for the reasons above, I hope to welcome all of you to this occasion! With your approval, this will also be the time to install the new SCOPE | Vectum board for the upcoming academic year 2012/2013. I have immense confidence in Maartje, Michiel, Michael and Sean and am convinced

that, under their guidance SCOPE | Vectum will continue to flourish next year. The Econometrics programme at our faculty has never been as popular as it is today, and we estimate a new record number of first year students again next year. Of course the continuing growth of our association will provide ample opportunities for the new board and I would already like to encourage you all to become involved actively if you are not already part of a committee. A social highlight of the last block was certainly the Batavierenrace that we joined for the first time this year, and Joost’s article will recall the day for you. A regular feature of all PerVectums is the study abroad report by one of our many adventurous 3rd


June 2012 year students. This time Sean Telg will take you on a journey to Lisbon in this series. A few weeks ago we hosted an information evening on opportunities at a MSc/Mphil level and beyond here at Maastricht University. It turned out that there is a continuing interest in the pursuit of further education at this level. If you are among those interested, on page 8 Daniel Pollmann, one of last year’s graduates provides you with an insight into the Economics PhD program at Havard University. Related to that, you will find an example of research done during a PhD programme through an introduction into his thesis by Sebastian Marbån who just finished his doctoral studies in Operations Research at our faculty. At this point I feel like a number of people deserve special mention and I would like to thank them for their support over the past year. My first acknowledgments go to all our active members, who helped Suus, Cumaran, Andreas and me throughout the year. I might have said this before, but you really are what makes Vectum work and without your efforts a study

association like us could simply not function. Next I would like to thank the KE department as well as our partner associations both within SCOPE and LOES who we have shared a fruitful cooperation with yet again throughout the year. Then there are of course our sponsors, whose support enabled us to offer you such a broad portfolio of activities to you. If you are among those finishing their studies soon and are still looking for a job, remember to take a look at the vacancy section of our website for their offerings. Last but certainly not least I would like to personally thank my fellow board members. The long hours we spent together this year during board meetings, activities, in the office etc. were always enjoyable and fun, and this was certainly due to you. Thank you for a great board year! I will stop now before getting sentimental and would like to conclude by wishing you all a successful end of the academic year and an enjoyable summer break!

Simon Freyaldenhoven

President SCOPE | Vectum 2011-2012


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June 2012

Table of Contents PerVectum Magazine for Econometrics students at Maastricht University Year 16, issue 4 of 4 June 2012 Circulation 300 Copies Print Compact Drukwerken Lanaken

Cover Photo Lisbon, Portugal Taken by Sean Telg

Editor in Chief Suzanne de Boef Co-editor Celine Brouwers

4 Word from the President 8 Economics PhD at Harvard 10 Puzzles 13 Report from Econometric Game 17 Impressions from the Neon Party 18 Bachelor Thesis Topics 21 Report from the Batavierenrace 25 Impressions from the

Block Party and Karting

26 Sean's Exchange to Lisbon 30 BAS: the Bayesian Approach to Scheduling

SCOPE | Vectum P.O. Box 616 6200 MD Maastricht +31 (0) 43 388 39 40 ABN Amro 44 10 37 887 Visiting Address Tongersestraat 43 Room 1.014 6211 LM Maastricht

35 Impressions from the Pubcrawl

and Kleynen's Pubquiz

37 Puzzle and Solutions 38 Upcoming Events



Economics PhD at Harvard by Daniel Pollmann

I had just come back from a visit to my grandma’s with my family, when my cell phone rang. “Hello, is this Daniel Pollmann? My name is krhkh krhkh from krkrkrkr University.” Given such a call on a Saturday evening, I figured I was admitted into some PhD program, which is what the mysterious caller announced next. Great news in any case, but where? “Thank you very much, that’s great. I’m sorry, I couldn’t understand your name before,” was my reply. “Oh, I apologize, this is Attila Ambrus,” and luckily, the caller repeated his affiliation as well. At this point, my brother, who had positioned himself next to me in anticipation of sweeping news, received a blow to his arm. He no longer seemed to mind when I told him which university it was: Harvard!

downs, I never revisited this decision, neither academically nor socially. Cambridge, Mass., home to Harvard, MIT, and the National Bureau of Economic Research is a great place to be a graduate student in economics due to its many offerings and its proximity to Boston – at least when the winter is as benevolent as the last one.

After visiting its Economics Department as well as a few other schools in the United States shortly after, I decided that Harvard was indeed the best match for me. While the first year had its ups and

The main battlefields in the first year are the sequences in micro(economics) and macro(economics), each of them taught by four professors in succession. I found micro to be more

We started out in August with two weeks of math camp, amply named in analogy with the boot camp every soldier passes through. Not only were we handed our ammunition in the form of Bellman equations and fixed point theorems, but we also got to spend time together as group, playing sports and going out together. Nobody expected this kind of fun to last – it didn’t – but we were certainly happy to have a very social and outgoing incoming class.


June 2012

Littauer Center, Department of Economics

challenging; general equilibrium, contract theory, game theory, social choice, and mechanism design were similar to courses I had taken in Maastricht, though usually at a higher level, but price theory was rather new. Its professor, Ed Glaeser, can speak and do algebra at lightning speed, which, along with his fondness for expensive suits, cigars, and Coke Zero, makes him a rather noticeable figure. The main exercises in his class, both in homework and on exams, were so-called verbal problems: “What are optimal tariffs and taxes on oil when rev-

enues are used to fund terrorism?” “What happens to the labor supply of slaves when they are freed?” These may sound rather odd – and they are certainly extreme examples – but both of them can be analyzed in the form of a rigorous economic model (unless you’re in an exam and you only have 45 minutes). They might illustrate the greatest difference between my education in Maastricht and my first year at Harvard: while I certainly entered the program well-prepared technically and mathematically, Harvard in addition places much 9


greater emphasis on economic thinking and intuition, which I had not been entirely deprived of before, but which I certainly am still in the process of developing further. The first year culminated in comprehensive examinations in both micro and macro, the so-called general exams. Studying for them cost me about two months of my life during and after the semester (not counting the reduction in life expectancy), so I will keep their impact on your life at this: I’m happy they’re over, and I dearly hope that I will find out that I’ve passed them in a few weeks time.

of teacher and classroom effects on test scores and life outcomes. Generally, while Harvard professors tend to be very busy and can sometimes be difficult to get a hold of, the department really tries to establish contact between faculty and students through departmentwide events. Some of the professors also invite groups of students socially; it was certainly interesting to have lunch with macroeconomist Robert Barro at the faculty club, and former IMF chief economist Ken Rogoff hosted a very nice gathering for us first-year students. Even more fun was the holiday party (you can’t say Christmas in the US): at a charity auction, you could bid for a flight in Jerry Green’s (of Mas-Colell, Whinston, and Green fame) private plane, while every class year performed a skit lampooning the department, in which I ended up playing Robert Barro.

While it’s not one of its specialties, there are also very valuable econometrics classes at Harvard: Jim Stock teaches a great time series class, again very different to the (also very good) one in Maastricht, Guido Imbens gives a useful and hands-on introduction to applied methods, and Gary Chamberlain’s intro class goes very deep into the basics and fundamentals of econometrics, in a rather idiosyncratic yet insightful way. Gary has also been my first-year advisor, and I have found it very helpful to speak with him about my choice of classes as well as current econometric research. In addition, I will work for him this summer on a project on the econometric estimation

The first year, which was rough at times, was certainly made a lot easier by my great classmates. Not only did we form study and reading groups to make the material more digestible, but we also had some fun together when the time allowed for it. Both after our exams in the first semester and after our last general exam just recently, we staged a big party: while the first one took place on a converted school bus driving 10

June 2012

us through Cambridge and Boston, we managed to outdo this by cruising through Boston Harbor on a party boat in May. Dumping their exam booklets offshore had been a major factor of motivation for some of my classmates during the hard times of studying. Next year, we’ll have to either get the aforementioned Jerry Green to pilot a party plane for us or talk to NASA.

of beer left. But there are fun people here, too, and with a bit of discipline, it’s possible to maintain your hobbies as a graduate student. I actually played more soccer this year, both at Harvard and MIT (they have a lot of South Americans), and also played some tennis and squash. It was quite fun also to go to the Dutch language table every other week for lunch and een klein praatje.

Now, don’t get confused: I certainly had more opportunity to go out in Maastricht than I did this past year at Harvard, and I sometimes reminisce of the less serious atmosphere. It is telling that during our department happy hours every other Friday, the pizza is gone pretty quickly, while there’s usually a lot

While the sense of elevation felt from being a Harvard student vanishes about the moment one first enters the somewhat in need of a renovation Littauer Center housing the Economics Department, there are certain perks unique to this place. For Harvard’s 375th anniversary party last October, inter-

My class



nationally known cellist Yo-Yo Ma put on a performance together with our university orchestra and chorus, while we got to enjoy a special Harpoon 1636 beer and a giant red velvet birthday cake. Over the course of the year, such diverse figures as Lady Gaga and Henry Kissinger (you should rather know the latter) came to campus for lecture events, and the German Conference had no trouble attracting a number of notable politicians and business leaders (surprise, there are Germans at Harvard, too).

On the academic side, I will have the opportunity to take specialized courses after attending workshops and student lunch presentations as a chance to get to know the various fields this year. To get feedback, I would like to present some research I hope to undertake this summer at one or two of the lunches. In terms of preferred fields, I have certain inclinations, such as econometrics, but I would still like to take the chance to explore.

In my first year, I lived in a graduate student dorm. While we didn’t play beer pong until the last week, a graduate dorm turned out to be fun as well, particularly because of the diversity of students. Beating a Chinese at ping pong while talking about the Cultural Revolution is an example of the host of interesting experiences I made while living with a group of intellectually minded and open students with a wide array of interests. I’m nonetheless looking forward to settling down a little bit by moving into a new apartment with two other graduate students next year. For a wider range of social contacts and activities, I will become a tutor at one of the many undergraduate houses at Harvard, around which college life traditionally revolves.

Memorial Hall

I realize I have failed to provide you with insight on how to get into Harvard or graduate school in general, or how to know whether a PhD in the US is the right track for you to pursue. Previous PerVectum articles by Joachim Freyberger (PV 13/4) and Philipp Ketz (PV 14/4) were very helpful for me, and if research is really for you, I’m sure you’ll be able to find out my email address. I’ll be happy to talk to you that or any other way.


June 2012

Econometric Game 2012 by Paul Mohnen The Econometric Game is a threeday case competition organized by the VSAE, the econometrics student association of the University of Amsterdam. Started in 1999 as a small national competition, it has grown over the last decade into a well-respected international event. This year marked the increase in the number of participants from 25 to 30, with prestigious contestants such as Oxford, Cambridge or Harvard to name a few. Most participants came from all around Europe but some flew all the way from India, Canada or the US to attend the event.

takes place on Thursday and consists in solving another case, which is usually just an extension of the first one. Finalists again have about 7-8 hours to write another paper and prepare a presentation. Finally, on Thursday evening, the top 3 is announced. This year, Anne, Simon, Lenard, Thomas and I had the privilege to represent Maastricht University. Maastricht has had an impressive run over the years, always finishing in the top 10 or better. Most recently, as many of you might know, Maastricht won the 2011 edition and was therefore title defender. Therefore, we all felt like there was a decent amount of pressure on our shoulders and vowed to give it our best shot. The event starting on Tuesday morning, we decided to spare ourselves the early train ride and went to Amsterdam on Monday evening already. After checking into the hostel, we had dinner together to get to know each other a little better. Except for Thomas, none of us really knew Lenard beforehand so it was nice to have a little chat. After a drink or two, we headed to bed early in order to be in good shape the next day.

For those of you who are not familiar, the setup of the competition is as follows. On Tuesday morning, the general gist of the topic is announced to all the participants, and a list of selected articles, which may or may not be relevant, are provided. We then head to our respective working areas and start preparing for the next day. On Wednesday morning, we are given the actual case and have about 8 hours to write a paper. The jury then picks the 10 best out of 30, which will advance to the final round. The final round


PerVectum On Tuesday morning, all the teams made their way to "De Duif", a church converted into a conference center where the introduction lecture took place. On the way, we were all wondering what kind of case would be chosen for this year's competition. The topics usually try to be up to date so we were kind of hoping for a financial topic of some sort, possibly involving time-series, as this was the specialty of Thomas and Lenard. To everyone's surprise, this year's topic was the investigation of the effect of maternal smoking on low infant birthweight, almost a copy of last year's topic (i.e. the effect of maternal alcohol consumption on infant cognition). Unfortunately, none of us were really experts in this type of crosssectional studies; us master students only having just completed the panel

econometrics course. Whereas last year's case involved the problem of weak instruments, this year the theme seemed to be quantile regressions. Therefore, we spent most of the day getting acquainted with this method which was completely new to us and reading about other potentially useful material. Around 5 pm, all the participants laid their pencils down and we all headed for dinner. At this point, we could really grasp how big an event this was as we were about 150 students walking in a long line towards the restaurant. Dining tables were evenly distributed among different universities, so as to allow everyone to get to know each other. After dinner, a couple of eager football aficionados (incl. us) stayed back to watch the end of Bayern-Real. Finally, we went back to hotel to resume our reading duties.


June 2012 The next day, we got up early and the competition really began. We were given a short case description with some additional guidelines and the dataset which we had to use. At first, it was unclear whether we were given a cross-section or a panel so we decided to play the bold card and try to come up with a matching algorithm to "create" a panel ourselves. Unfortunately, it seems like we weren't the only ones who tried this because after 1 hour there was an announcement from the organizers saying that it was NOT a panel. Therefore, we had to start again from scratch and try to find new ways to differentiate ourselves from the others. This turned out to be a difficult task and under time pressure we eventually had to resolve ourselves to stick to the obvious and try to do it right. Working in a group of 5 with only 3 computers was certainly a challenge, and the experience of our team captain Thomas surely helped us get through it. After 8 grueling hours of intense work, we managed to write something resembling a paper (no one would ever write something in such a short time span, but that's the game). In the end, we were not entirely satisfied with what we did and didn't get our hopes up. Indeed, later that night, the 10 finalists were announced and we didn't make the cut. We were disappointed with our performance overall but we also had to admit the competition was excellent. At that point, we decided to make the most of it and have

some fun. By fun I mean drink some beer. After a big night out, we all woke up a little hungover on Thursday. I will spare the details. In the afternoon, we attended some talks given by various speakers on totally unrelated topics and eventually the finalists joined everyone and gave a 5 min presentation of what they did. To nobody's surprise, the second case was simply getting a panel instead of a cross-section, which required adapting the methods accordingly. Nevertheless, it was interesting to see what the finalists decided to do and it was clear that most teams were very strong. After the presentations, everyone was left impressed by Aarhus' performance and they were the favorites in our mind. The jury then had a couple of hours to deliberate upon the winners while everyone went for dinner and drinks. We were all a bit tired by then and decided to have a quiet one. Around midnight, University of Copenhagen was announced as the winners of this year's Econometrics Game. The second and third place went respectively to Aarhus University and Harvard University. Congratulations to them! All in all, we had a good time and learned a few useful things. Unfortunately, the case wasn't exactly tailored to our skillset and we didn't do as well as we had hoped for, but we did the best we could. We would like to thank JeanPierre for giving us this opportunity and hope Maastricht will once again rise to the top in the upcoming years!




June 2012

Impressions from Neon Party



Bachelor Thesis Topics In the last PerVectum (PV issue 3, 2011/12) four Master students gave insight in their Master thesis by providing the abstract. Each covering a different specialization in the study of Econometrics & Operations Research. Meanwhile also last year Bachelor students started with a thesis. Therefore in this issue topics for Bachelor theses are discussed.


Tullock Contests with Failure Offered by Dr. Dries Vermeulen

A Tullock contest is a game between (usually) two contestants in which only one of the two contestants can win a prize. The probability to win the prize depends on the level of effort that each contestant chooses, and is (of course) increasing in the level of effort chosen by a contestant. Tullock contests are used as models to study for example investment policies in R&D, patent races, and design of procurement auctions.

game, and compare the equilibrium outcome to the efficient effort levels. We also study equilibrium effects when the total probability of success (winning the prize) depends on total effort, so when there is a probability that both contestants fail. We determine whether a non-zero probability of failure (a) is harmful to contestants in equilibrium, and (b) has an effect on total welfare in equilibrium. A few buzz words (out of many) in this context are: all pay auctions, war of attrition, rent seeking, risk aversion, price of anarchy, spillover effects.

Viewing a Tullock contest as a game in strategic form, we compute the Nash equilibria of the


June 2012


Nonparametric Inference on Trends in Temperature Data

Offered by Dr. Stephan Smeekes & Prof. Dr. Jean-Pierre Urbain One of the major research questions of the past decade is whether temperature data show evidence of global warming through the presence of upward trends. This question has not escaped econometricians' attention, and over recent years several econometric tools have been applied to the analysis of temperature data, see for example Fomby and Vogelsang (2002), Vogelsang and Franses (2005) or Mills (2010). Traditionally, the focus in this analysis (for example in Fomby and Vogelsang, 2002, and Vogelsang and Franses, 2005) has been on attempting to detect significant linear trends in temperatures. However, trends do not have to be linear, and in particular if temperature data for long time periods are used, it is highly questionable that a linear trend is the appropriate representation over the whole sample. Moreover, McKitrick and Vogelsang (2011) have found that if one allows for mean shifts in tem-


perature data, previously found linear trends become insignificant. In this light it may better to make no assumptions about the form of the trend and estimate it nonparametrically, as done by Harvey and Mills (2003). Unfortunately performing inference in this setting is quite complicated. Simultaneous confidence bands are needed to compare different parts of the sample, which is necessary if one wishes to determine the presence of significant upward trends. However, such bands are very hard to obtain, in particular if the data are serially correlated. Buhlmann (1998) proposes a solution based on the bootstrap, which yields valid simultaneous confidence bands for nonparametric trend estimators in the presence of serial correlation. In this project you will investigate the method proposed by Buhlmann (1998) and apply it to temperature data to analyze whether trends are indeed present.



Multiple Decrement Models Offered by Dr. Eric Beutner

Multiple decrement models that are also called competing risk models have a wide range of applications. The applications range from actuarial sciences to biostatistics and reliability theory. A typical application in insurance mathematics is, for instance, a temporary life insurance that pays an amount of x if death is by accident at work and an amount of 2x otherwise. In health


care planning multiple decrement models are applied if interest lies on expected life length and cause of death. The goal of this thesis is to learn more about competing risk models, their applications and pertinent inferences for these models. In particular, we will consider unconstraint and constraint maximum likelihood estimation of the parameters of these models.

Helping the Beloved Professor Offered by Dr. AndrĂŠ Berger

Each year after carnival the department faces the difficult task of assigning bachelor topics to his students. He has a group of n very talented and hard-working bachelor students, and his wonderful colleagues always provide him with m interesting, exciting and challenging topics for the students (you can always assume m > n). Of course he wants to make everyone happy by assigning the topics in a fair way. Students can indicate a ranked list of k preferred topics.


Now Professor Cain faces several problems. Is there an assignment of the topics to the students such that each student gets one of his/ her k chosen topics? Is there an efficient algorithm to find an assignment which maximizes the happiness of the students (according to their rankings)? Can I devise an algorithm (mechanism) that will make sure students always tell their truly preferred ranking of topics?

June 2012

The Batavierenrace 2012 by Joost Veth The Batavierenrace already celebrated its 40th edition this year. More than 350 teams participated in this enormous run between Nijmegen and Enschede. This year, Vectum delegated a serious starensemble so impressive, that it should be at least capable of reaching the top 300. An impression of a very successful weekend.

students also went by car (completely trusting Maartje’s incredible driving-skills). After a long journey, we all arrived in Enschede that evening What immediately stroke me was the scope of the event, (later I found out that there were 8500 participants and 600 volunteers) and the good organisation. We dropped our stuff in the gym hall where we could also sleep at some point during the race, and almost immediately the first group had to leave.

The batavierenrace is a huge estafette-run, the biggest in the world, where teams of 25 runners (or a few less, like in our own team) run in three heats a total of more than 175 km between Nijmegen and Enschede. The first runners started at 12 o’clock during the night between Friday and Saturday, in the centre of Nijmegen. The last runners arrived at the campus of the University of Twente around 6 o’clock. But for us, the batavierenrace actually started on Friday afternoon.

Our team was divided in three groups: the night-group, the morning group and the group for the afternoon (I still wonder which team got the most time to sleep). The night-heat consisted of Suzanne, Frank, Rick, Thijs, Ruben, Cumaran, Andreas and me. The morning group consisted of Martijn, Jan, Isabel, Michiel and Jim. The group for the afternoon consist-

The majority of the delegation of Vectum travelled to Enschede by train. They met at the station in Maastricht around 4 o’clock while Jim, Thijs, Simon and Jan went to Enschede in the Vectum van and the first-year


PerVectum ed of Jim (it looked like he would be our top-athlete, in first instance we planned 30 km to run for him, replacing two last-minute cancellations on top of his stage, but eventually he ended up doing two distances, still an impressive performance), Simon, Coen, Maartje Anne en Michael.

rain during the night, but this didn’t affect the good mood of the runners. While the night-heat was in the middle of the race, the morning group had to wake up. Their wake-up call was around 3 o’clock (unfortunately for the afternoon-group, the wakeup call was pretty hard to miss) and their bus left at 4.45. With this bus they travelled to Ulft (of all places) where Thijs was the last runner of the night-heat to finish his (second) run. Tired but satisfied the nightheat gave the hesjes with the timemeasurer to the morning-group, and entered the bus to go back to Enschede. First time I travelled in a completely filled and totally silent bus. Almost everyone was asleep.

The night-heat left around 10 o’clock to Nijmegen. We arrived in Nijmegen at half past 11. There we made a group picture, listened to some music and waited a lot, since Suzanne, our first runner, only had to start in the sixth starting group at 01.15. After long waiting and thoroughly preparing by Suzanne, she could finally depart, with Frank on the bike joining her. The rest of the group had already left Nijmegen at that moment, to reach the third switch-point on time, so that we wouldn’t lose time at the switch. This procedure went pretty well the rest of the heat, every moment one person running, one person on the bike and the others in the van or waiting at a switching point. Unfortunately there was some

When the bus arrived in Enschede, the afternoon-group was just awake and preparing for their departure to the race. They left at half past nine to Barchem, where the second restart was planned. While the night-group was asleep, the morning- and afternoon groups switched the 'hesjes',


June 2012 so that the latter could start for their final part of the route. Unfortunately there had been some issues with directions during the morning session where we lost a lot of time (Some of us are still claiming this was the reason why we didn't win this batavierenrace). After the morning group finally arrived at the next restart Coen was the one who started the first run of the third heat; this was the stage that was the hardest on paper. Yet he managed to outrun the van to arrive at the finish before Maartje was there to take over. But apart from this minor accident, the afternoon-group ran their stages without any problems.

to finish the weekend. It was indeed a huge party, with several types of music and a really good atmosphere. And even though big parties are not always my cup of tea, I seriously enjoyed this party, so it must have been a good one. The biggest party beasts of course stayed until very late during the night before it was time to wake up early the next morning to leave the event behind.

The last two runs were special; Anne and Micheal namely run the same stage, the last part of the route finishing at the race-track on the campus. First, Anne run in the girls group, finishing shortly after 5 o’clock under great applause of all the runners from the night- and morningheats, and Michael was our last runner, running in the man-group, receiving the same amount of applause when he arrived just before six o’clock.

Altogether, it was a great weekend! The Vectum team ended eventually on an impressive 205th place. We should give extra credit to Jim, Thijs, Simon, Jan and Martijn, who run two distances, which is way harder than it sounds. And also Anne deserves an extra honourable mention, she was our best runner with the 23th place in her run, which is in my opinion (this time I’m not sarcastic) a very impressive result!

After the last runners of the day had taken a shower, we all went to a big tent to get our deserved dinner, a nice portion of pasta with a small salad and some fruit. After this meal, we all went back to the gym hall to prepare for the big party (the biggest student-party in the Benelux)

Let’s hope we can find enough runners for next year, so that we can participate again. At least I want to be there again next year!


NEW GENERATION Risk is the possibility that an undesirable event will occur The demand for skilled actuarial professionals is still growing. Actuaries are the leading professionals in finding ways to manage risk and managing risk requires knowledge of several disciplines. Understanding how businesses operate, how legislation may impact and how financial economics can affect values are all vital skills for an actuary.



Distinguish yourself from other risk professionals 2 State-of-the-art training towards full actuarial qualification (actuary AG) 2 Developed in collaboration between the Dutch Actuarial Institute (AI) and TiasNimbas Business School 2 Shortest route becoming actuary AG (AAG) after completing BSc 2 Lecturers and tutorials are mixed with case-based learning 2 4 to 5-semester, part-time programme in English 2 Central training location in Utrecht 2 International recognition 2 Directly applicable in your working environment 2 Exchange of experience and ideas amongst fellow students 2 A major contribution to your network

More information can be obtained from the websites of the two partner organisations, the Dutch Actuarial Institute ( and TiasNimbas Business School (

Actuarieel Instituut

June 2012

Impressions from Block Drink

Impressions from Karting



Studying in Sunny Lisboa! by Sean Telg At the end of 2010, the allocation list for the exchange semester was published. I still remember running to the computer room, taking a look at the list and ending up calling nearly every phone number I had in my phone. I was assigned to Universidade Nova de Lisboa in Lisbon, my first choice! Even though I am well aware that Portugal might not sound as exciting as Australia, Asia and (Latin-) America, I was extremely happy with my allocation. A whole new experience was waiting for me and I could hardly wait to finally set off to Lisbon!

surfing and partying), I realized again that it was indeed worth waiting for. A couple of weeks later, it was my turn. I have to admit that I was a little bit nervous at first, but when the plane flew over Lisbon, that feeling was replaced by excitement. I simply could not believe that I was about to live in this beautiful city for nearly half a year. When I arrived I directly went to my room, since I had already arranged this beforehand. Although I think that staying in a youth hostel and subsequently looking for a room is a great experience on its own, I still decided to spare myself the misery of checking out a lot of different potential rooms at the spot. Definitely in the understanding that some of them even lack windows, central heating and/or other basic facilities, I am really glad I was able to arrange a nice room via the Internet beforehand. The first days were a little strange, since I was totally on my own. School had not yet started and my housemates would arrive later that week. I made use of the occasion to make some nice trips through the city. As the true center of Lisbon is not that big, I saw nearly all places of interest in my first week.

Unfortunately, there were still nine months left before my first classes would start in Lisbon. In the meantime I took some Portuguese classes (together with former Econometrics student Angelo) at Maastricht University, which turned out to be quite useful during my stay. When summer started, the first people of our year were leaving for their destinations. Waiting had been very difficult until then, but when I saw the pictures of my fellow students (some of them posing with koala bears, some standing in front of beautiful buildings, some


June 2012

Of course it was awesome to see all the great sites of Lisbon, but the best period started when I got to know other Erasmus people. We went together to one of the nicest beaches in Lisbon, Costa de Caparica. Although my official summer holidays were about to end, it felt as if they were only starting. Next to that, we attended many Erasmus parties, went to matches of the two largest football clubs in Lisbon (Benfica and Sporting Clube de Portugal) and the national team, made a few trips to places in the surroundings and undertook a lot of other nice activities. In the meanwhile I started to feel home in Lisbon. Overall, people are really nice,

as most of them are very helpful. Especially when they notice that you put an effort in trying to speak their language, they will always treat you in a correct manner. In terms of going out this means that you will most certainly get some free shots. In the second week of September, the welcome meeting of my university was planned. Already in July, I had to submit a list with courses I wanted to follow. I chose them in such a way that there was no overlap in time slots. The IRO of Nova assured me that “everything was taken care of� and that there was no need to worry about anything. A few hours later I realized



Universidade Nova de Lisboa! that the correct translation of these words was “you have to arrange everything all over again yourself�. Although I was quite disappointed about this outcome, as nearly every student had to switch courses and this could only be done in one office, I will never forget the welcome meeting itself. We were directed into a lecture hall with loud dance music and a presentation followed. The end of the presentation was the best part, as they advised us to go to the beach because of the great weather outside. From that moment onwards, I knew that I should not take studying in Lisbon too serious.

Indeed, the level of my courses in Lisbon was in no single way comparable to the level of the courses at Maastricht University. Clearly, you need to invest some time in studying the subjects, but with a relatively low effort you should be able to pass your courses. In that sense, I also believe it is nice to study abroad. Not only do you experience a new culture, you also tend to study different subjects. In my opinion it was nice to discover different fields of study, especially since it was only for a while. In the end, it made clear to me that I made a good decision three years ago


June 2012 when I chose to study Econometrics. Lisbon itself is a really nice city to live in. As I pointed out before, the city center is not that big. There are a lot of districts around the city center, but you normally never end up there. This implies that your living area is actually quite small and I really liked that. The center namely consists of two big quarters: Baixa and Bairro Alto. Baixa, which means ‘low/under’ in Portuguese, is the part of Lisbon where you find for example shops, restaurants and beautiful squares. The name Baixa is given for a reason, as Lisbon was built on seven hills (just like Rome). This part of the city is one of the low parts, while Bairro Alto was built on top of one of the hills. Bairro Alto, which means ‘upper district’ in Portuguese, is the place to be for all students in Lisbon, as it consists of a large number of bars. Those who know me well can imagine that I have had the time of my life there, as the large number of bars also included karaoke bars. If you combine this with the friendly price level in Lisbon (half a liter of beer €1.50/€2), it is almost certain that an evening in Lisbon should result in a great success. Even though the study abroad period is great, I have to say that I was thinking sometimes about how it would be if you could experience it with your friends. For that reason it was awesome when friends came


over for my birthday, and two weeks earlier someone you probably all know: Kaya! We attended some parties and I showed her nearly every highlight in Lisbon, but non-surprisingly the biggest shopping mall of Europe, Colombo, fascinated her most ;)! It was a nice period in Lisbon involving many bottles of sangria! All in all, I think I could write a whole book about my experiences in Lisbon, but most probably nobody would read it. Your exchange period is something you should experience yourself and I am almost 100% sure that you will have a great time wherever you go, as long as you are open for new adventure. It sounds strange to say that a study abroad period is not about studying, but I sincerely think that this is the case. Of course you will have to pass your courses, but an exchange period is more than that. It encompasses the development of your social skills and learning how to live on your own in a (sometimes totally) different environment. For all students that are going abroad next year, I would like to say: have fun! And in case you encounter a period that you are feeling down, it always helps to think about your courses in Maastricht, as you immediately wish that your exchange period would last longer! However, all good things come to an end and when something good ends another good thing starts. Indeed, we will be waiting for you in the Preuverij!


BAS: the Bayesian Approach to Scheduling* by Sebastian Marbรกn

Performance of Networks and Systems, TNO


cent Econometrics and Operations Research student at Maastricht University with no clue of what the future would bring. It was during the second year course 'Optimization', when my eyes fell on a quote of the late George Dantzig, introducer of the well-known simplex method:

In the following article, I will give a short summary of a part of the research that I conducted during my time as a Ph.D. candidate at the Quantitative Economics department of the University of Maastricht. The underlying topic of this research is how to deal with uncertainty in scheduling problems, and it was done in close collaboration with Cyriel Rutten and Tjark Vredeveld. The main focus of the article at hand will be on the general idea behind my research and therefore technical details will be avoided. For a more extensive overview, I invite you to have a look at one of my articles (Marbรกn, Rutten, and Vredeveld, 2011) or my dissertation (Marbรกn, 2012).

"Planning under uncertainty. This, I feel, is the real eld that we should all be working in. The real problem is to be able to do planning under uncertainty. The mathematical models that we put together act like we have a precise knowledge about the various things that are happening and we don't. So we need to have plans that actually hedge against these various uncertainties." - George B. Dantzig, In His Own Voice, 2000.

Let me start at the beginning, at the seeds of the research that is currently presented in my dissertation. These seeds were planted several years ago, when I was still an inno-

This quote confirmed my own ideas about the problems I had solved in the first two years of my study. I realized that these prob-

* This article is based on Marban, Rutten, and Vredeveld (...). 30

June 2012 lems were far from realistic, and that the real focus of operations research should be on how to deal with uncertainty in real life settings. Before continuing with the story of my life, let us first have a glance at the most prominent words in quote above: planning and uncertainty.

known in advance, while in the latter one the scheduler is uncertain, i.e., has incomplete knowledge, about the input data or the possible consequences of decisions made. There is a wide variety of approaches to model the lack of information in these kind of problems. In one of these approaches, called stochastic optimization, the uncertainty is modeled by assuming that part of the data is given in terms of probability distributions. As you may guess, this is the model that I focused on in my research. To be precise, I assumed that the processing times of the jobs in the stochastic machine scheduling problem are random variables with a specic probability distribution.

Scheduling under uncertainty According to the famous Oxford English Dictionary (OED), scheduling (or planning) stands for the act of 'planning an event to take place at a particular time'. A more specific formulation defines scheduling to be the method by which jobs, processes or data ows are given access to system resources in such a way that some given objective is optimized. Scheduling plays a vital role within the area of telecommunications (the eld I currently work in), but it is also an important tool for manufacturing and computer science, where it can have a major impact on the eciency of production and computation processes, see the handbook of scheduling by Leung (2004). Several of the problems that arise in this field are known as machine scheduling problems.

Bayesian statistics and scheduling: a match made in Heaven After this short clarication of terms, we have arrived at the second seed of my research, that is, the topic of my Master thesis: portfolio choice for long-term investors (see PerVectum, issue 4 2007/08). Portfolio choice is one of the core problems in financial economics. This problem is faced by anyone who wants to invest a specic amount of money in a portfolio of risky and risk free assets for a certain period of time. One of the main questions is how investors can determine their op-

We distinguish between deterministic and stochastic machine scheduling problems. In the former problem, all input data is fully 31

PerVectum ing the parameters which might be present prior to seeing any data. Over time these beliefs are updated in the light of new realizations.

timal investment portfolio. As you can imagine, there is a lot of uncertainty related to this question. It is, for example, extremely dificult to predict the future returns of assets. In my thesis, I used Bayesian statistics to deal with this uncertainty, and at the beginning of my Ph.D. I realized it is also applicable to other areas, such as scheduling. I will explain now how I got to this insight.

Our results Although Bayesian techniques are widely applied in operations research, see Araman and Caldentey (2009) and Lariviere and Porteus (1999), there are only few papers on this topic in the eld of stochastic scheduling. An example is the paper of Hamada and Glazebrook (1993), which shows that solving instances of the Bayesian scheduling problem to optimality is highly impractical, if not impossible. This calls for the need to develop policies of low computational effort which yield good qualitative performance. The Shortest Expected Processing Time (SEPT) policy, which schedules the jobs in nondecreasing order of their expected processing times, is such a policy. Rothkopf (1966) showed that SEPT is an optimal policy for the traditional stochastic scheduling problem. However, it was unknown how well SEPT would perform in a Bayesian scheduling problem.

As mentioned above, my research focused on problems in which the jobs' processing times are modeled as random variables with certain probability distributions. In traditional stochastic scheduling problems, the parameters of the these distributions are assumed to be fixed and fully known to the scheduler. Having the quote of George Dantzig in the back of my mind, I had my doubts on how realistic this assumption really is. Luckily, I remembered from my Master thesis that Bayesian statistics provides a solution to this issue. In a Bayesian framework, the distribution parameters are treated as random variables, which is not a description of their variability but merely a description of the uncertainty on the side of the scheduler about their value. All available information about the true value of the parameters is combined in one expression, a probability distribution. At first it includes all existing beliefs regard-

Already quickly it turned out that in the worst case the objective value of SEPT is a factor m away from the objective value of the optimal 32

June 2012 policy. Not really the answer my colleagues and I were hoping for: with 10 job classes SEPT might have an objective value that is 10 times larger than the optimal one. Therefore, we decided to study a second policy, i.e., an adaptive variant of SEPT called ℓ-SEPT. Instead of determining the order (of scheduling) of the jobs at the start and not changing it anymore, ℓ-SEPT recalculates the order of the jobs every time new information about the jobs is obtained. In this way, the policy has the possibility to recover from bad decisions it made in the past, which hopefully would lead to a much better performance. Indeed, our theoretical results showed that ℓ-SEPT has a much lower worst case factor than SEPT (to be precise: 1 + √(m - 1) ) and the computational results that ℓ-SEPT outperforms SEPT on all our instances.

extended. Some of the most obvious extensions have to do with the characteristics of the scheduling problem. We could look at multiple machines, machines with different speeds, allow preemption (interruption of jobs that take too long, and continue with them in a later phase), and study other probability distributions (we focused on the exponential distribution). Other extensions have to do with the techniques that are used. The Bayesian methodology could, for example, also be applied in other areas of operations research, e.g., in lotsizing problems, pricing, or Internet trac modeling. Furthermore, it would be interesting to see what happens when other ways of dealing with uncertainty are applied to the eld of scheduling, such as robust optimization or fuzzy statistics. The end or just the beginning for you...

But, who really cares about my results?!

If you also got inspired by the quote of George Dantzig or by the research described in this article, and you are interested in applying Bayesian techniques in the area of Telecommunications (e.g. at the classication of Internet traffic), you are more than welcome to contact me at the following email address:

In my personal opinion, practicing research is not about generating new results, but about generating new questions. The academics of this world need to keep each other busy so to say. Therefore, I would like to end this article by giving a short overview of possible directions in which the scheduling research of my dissertation could be 33

PerVectum References [6] S. Marbรกn. Pricing and Scheduling under Uncertainty. PhD thesis, Universiteit Maastricht, Universitaire Pers Maastricht, 2012.

[1] V.F. Araman and R. Caldentey. Dynamic Pricing for Nonperishable Productswith Demand Learning. Operations Research, 57 (5): 11691188, 2009.

[7] M.H. Rothkopf. Scheduling with Random Service Times. Management Science, 12 (9): 703-713, 1966.

[2] T. Hamada and K.D. Glazebrook. A Bayesian Sequential Single Machine Scheduling Problem to Minimize the Expected Weighted Sum of Flowtimes of Jobs with Exponential Processing Times. Operations Research, 41 (5): 924-934, 1993. [3] M.A. Lariviere and E.L. Porteus. Stalking Information: Bayesian Inventory Management with Unobserved Lost Sales. Management Science, 45 (3): 346-363, 1999. [4] J.Y-T. Leung. Handbook of Scheduling: algorithms, models, and performance analysis. Chapman & Hall/CRC, N.Y., 2004. [5] S. Marbรกn, C. Rutten, and T. Vredeveld. Learning in Stochastic Machine Scheduling. In Proceedings of the 9th Workshop on Approximation and Online Algorithms (WAOA 2011), Lecture Notes in Computer Science, 7164, Springer, pp. 21-34, 2011.


June 2012

Impressions from Pub Crawl

Impressions from Kleynen | Pubquiz



Advertentie Compact Drukwerken


June 2012

Puzzle Langford’s Cubes

In between the white blocks we find just one block (which happens to be grey). Between the grey blocks are two blocks (one black, one white). And between the black blocks are three blocks (two white and one grey). The Scottish mathematician C. Dudley Langford thought about this and was able to prove that this is the only such arrangement, except for its left–right reversal. He wondered if you could do the same with more colours – such as four. And he found that again there is only one arrangement, plus its reversal. Can you find it? Solution to the puzzle will be provided in the next issue of the PerVectum.

Solution to the Puzzle PerVectum issue 3, 2011-2012

What Day is It? Today is Saturday. So when the conversation took place, it was Friday.



Upcoming Events June 15th - 17th Members Weekend

Once again, the famous Members Weekend will be held the weekend before the last block starts. This year, you can expect some great new activities such as cave exploring, a safari, a cantus and more. To get more information, check our website

June 19th Research Lecture

The last research lecture will take place on the first Tuesday of Block 6. This lecture will be followed by a traditional drink at the Preuverij. More information can be found on the website.

June 20th SCOPE Foundation Event

SCOPE Maastricht is organising a free (!) barbecue for all SCOPE members at the faculty on the first wednesday of the skills block.

June 26th Annual GMA

On the last Tuesday of the Block, our annual GMA will take place. The financial statements and this year’s progress will be reviewed. After that the new board will be elected and we will conclude with the last drink of this year at the Preuverij.


September 4th Vectum BBQ

The very first activity of the new academic year is of course the Vectum BBQ. A free barbecue organised for all Econometricians and to introduce new students to Vectum.

September 20th LEVT

The date of the LEVT 2012 has already been set. Next year’s Landelijke Econometristen Voetbal Toernooi will take place in Utrecht. Start preparing your football skills, because Vectum is in for the win! Dates may be subject to changes. Please check for updated information and subscription forms.


June 2012

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