Search Results - subject:"Value function"

The open-loop solution of the Uzawa-Lucas Model of Endogenous Growth with N agents

Bethmann, Dirk - Center for Applied Statistics and Econometrics (CASE), … - 2004

We solve an N 2 N player general-sum differential game. The optimization problem considered here is based on the Uzawa Lucas model of endogenous growth. Agents have logarithmic preferences and own two capital stocks. Since the number of players is an arbitrary fixed number N 2 N, the model?s...

Persistent link: https://www.econbiz.de/10009228833

Pure risk premiums under deductibles. A quantitative management in actuarial practice

Burnecki, Krzysztof; Nowicka-Zagrajek, Joanna; Weron, … - Hugo Steinhaus Center for Stochastic Methods, … - 2004

franchise, fix amount, proportional, limited proportional and disappearing deductibles in terms of the limited expected value … function. Next, we apply the results to typical loss distributions, i.e. lognormal, Pareto, Burr, Weibull and gamma. Finally …

Persistent link: https://www.econbiz.de/10009003612

Computation of business cycle models : a comparison of numerical methods

Heer, Burkhard; Maußner, Alfred - 2004

We compare the numerical methods that are most widely applied in the computation of the standard business cycle model with flexible labor. The numerical techniques imply economically insignificant differences with regard to business cycle summary statistics except for the volatility of...

Persistent link: https://www.econbiz.de/10011449266

Shortfall allowed: loss aversion and habit formation

Siegmann, Arjen - de Nederlandsche Bank - 2003

the more general Kahneman-Tversky formulation of the value function. …

Persistent link: https://www.econbiz.de/10005101910

Value Function Iteration as a Solution Method for the Ramsey Model

Heer, Burkhard; Maußner, Alfred - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 4, pp. 494-515

Summary Value function iteration is one of the standard tools for the solution of dynamic general equilibrium models if … function iteration as compared to (2) smart value function iteration neglects the special structure of the problem. (3) Full … desired size is reached.We find that value function iteration with cubic spline interpolation between grid points dominates …

Persistent link: https://www.econbiz.de/10014609354

Stochastic representation for solutions of Isaacs’ type integral–partial differential equations

Buckdahn, Rainer; Hu, Ying; Li, Juan - In: Stochastic Processes and their Applications 121 (2011) 12, pp. 2715-2750

In this paper we study the integral–partial differential equations of Isaacs’ type by zero-sum two-player stochastic differential games (SDGs) with jump-diffusion. The results of Fleming and Souganidis (1989) [9] and those of Biswas (2009) [3] are extended, we investigate a controlled...

Persistent link: https://www.econbiz.de/10011065122

Dynamics Emission for a Polluting Industry

Ahmadian, Majid - In: Iranian Economic Review 16 (2011) 3, pp. 93-102

This paper develops a dynamic theoretical model for a polluting industry to determine the emission dynamics, internalizing damage cost function along with production cost function, considering emission factor. It turns out that the competitive output price is composed of not only marginal...

Persistent link: https://www.econbiz.de/10010928036

Value Function Iteration as a Solution Method for the Ramsey Model

Heer, Burkhard; Maußner, Alfred - In: Journal of Economics and Statistics (Jahrbuecher fuer … 231 (2011) 4, pp. 494-515

Value function iteration is one of the standard tools for the solution of dynamic general equilibrium models if the … model and a simple heterogenous agent model. Each model is solved with six different algorithms: (1) simple value function … iteration as compared to (2) smart value function iteration neglects the special structure of the problem. (3) Full and (4 …

Persistent link: https://www.econbiz.de/10009369197

Exponentially weighted moving average control charts for three-level products

Tsai, Tzong-Ru; Yen, Wen-Pin - In: Statistical Papers 52 (2011) 2, pp. 419-429

Persistent link: https://www.econbiz.de/10009149827

Too risk-averse for prospect theory?

Rieger, Marc Oliver; Bui, Thuy - In: Modern economy 2 (2011) 4, pp. 691-700

Persistent link: https://www.econbiz.de/10009620648