<span style="font-size: 9.5pt"><span style="font-size: 9.5pt">This paper presents a new stochastic model of asset pricing, based on agents with heterogeneous beliefs. Forecasting rules of all agents are characterized by a stochastic term that</span><span style="font-size: 9.5pt">works as an agent-based time dependent weight of the conditional expectation of the fundamental. Since we consider...</span></span>

 <font size="1">While the large portion of the literature on Markov chain (possibly of orderhigher than one) bootstrap methods has focused on the correct estimation ofthe transition probabilities, little or no attention has been devoted to theproblem of estimating the dimension of the transition probability...</font>

In this work, two models for legal and illegal financiers are presented. The aim of the financiers are different: a bank try to minimize the defalt probabilityof the funded company, while the illegal financier aims to bring the company to bankruptcy and, at the same time, to obtain the maximum...

Virtually all governments seek to fight tax evasion exploiting better and better technological devices. Despite of that the phenomenon still remains alive and kicking all around the world. The foregoing naturally arises the question in the title. This paper develops a simple model to provide...

In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim's arrival time, claim's size) is described by a Spatial Mixed...

After deriving a model describing the law of evolution of innovators and imitators the article focuses on their relationships under two different scenarios: prey-predator, in which innovators are regarded as preys, and competing species. Analytic results show that among the feasible equilibria...

Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of...

This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.

In decision theory projects are usually evaluated in terms of their riskiness, and often decision under risk is intended as the one-shot-type binary choice of accepting or not accepting the risk. This paper elaborates on the concept of risk acceptance, and aims at developing a theoretical...

This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.