In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. This paper illustrates how modern sticky-price dynamic stochastic general equilibrium models, estimated using Bayesian techniques, can...

How to allocate the probability of success resulting from the joint action of a group of players? This question can be framed within a transferable utility game. In the present paper, we analyze the properties of the resulting games, characterize their core and provide a proper axiomatic...

We develop a novel stochastic valuation and premium calculation principle based on probability measure distortions that are induced by quantile processes in continuous time. Necessary and sufficient conditions are derived under which the quantile processes satisfy first– and second– order...

This paper studies decision-making under uncertainty and introduces a new preference axiom called Subjective Independence . The latter requires some consistency between two forms of stochastic independence that can be inferred from choice behavior. Yet it can also be understood as a purely...

We evaluate some aspects of the finite sample distribution of an instrumental variables estimator of a first order condition of the Holt et al. (1960) linear quadratic inventory model. We find that for some but not all empirically relevant data generating processes and sample sizes, asymptotic...

This paper considers the solution of the equations for ruin probabilitiesin infinite continuous time. Using the Fourier Transform and certain resultsfrom the theory of complex functions, these solutions are obtained as com-plex integrals in a form which may be evaluated numerically by means...

The paper addresses uncertainty analysis in decision theory, by applying Imprecise Probabilities to a Herding Behaviour model, which describes imitative behaviour and explains the informational cascades phenomenon in the financial market. In the literature, the application of the principle of...