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Efficient, accurate, multi-dimensional, numerical integration has become an important tool for approximating the integrals which arise in modern economic models built on unobserved heterogeneity, incomplete information, and uncertainty. This paper demonstrates that polynomial-based rules...
Persistent link: https://www.econbiz.de/10014180903
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to consume a good, doing so if this provides positive utility....
Persistent link: https://www.econbiz.de/10014183361
In rare event simulation, we look for estimators such that the relative accuracy of the output is 'controlled' when the rarity is getting more and more critical. Different robustness properties have been defined in the literature, that an estimator is expected to satisfy. Though, those...
Persistent link: https://www.econbiz.de/10014040085
On the basis of the First and second Law of Thermodynamics in the Economy and the Gibbs-Equation of Thermodynamics, Economic Equations are developed of the Inner Energy, the Entropy and the Free Energy (Value Added) of multiple economic systems to calculate the risks of investing in a merger and...
Persistent link: https://www.econbiz.de/10014051728
This work combines generic complexity of economic system and economic agents with methodologies of multi-agent system analysis and development. This combination results in an integrative framework that serves as communication protocol for delivering and transmitting agent-based model for...
Persistent link: https://www.econbiz.de/10014193428
In equipment-intensive industries such as truck, electronics, aircraft and dredging vessel manufacturing, service parts are often slow moving items for which, in some cases, the transshipment time is not negligible. However, this aspect is hardly considered in the existing service logistics...
Persistent link: https://www.econbiz.de/10014197521
There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method which partitions the state space and applies the...
Persistent link: https://www.econbiz.de/10014203542
In this paper we give a resume of the correlation concept that underlies the models for credit risk measurement, for the rating of structured products, for the pricing of (tranches of) structured products, and for Basel II capital charges. We discuss how securitization has changed the risk...
Persistent link: https://www.econbiz.de/10014214336