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Modeling the risk process in the XploRe computing environment

Burnecki, Krzysztof; Weron, Rafal - EconWPA - 2005

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish ﬁre losses for the...

Persistent link: https://www.econbiz.de/10005124987

AN OPERATIONAL APPROACH FOR EVALUATING INVESTMENT RISK: AN APPLICATION TO THE NO-TILL TRANSITION

Upadhyay, Bharat M.; Young, Douglas L. - EconWPA - 2004

Roy’s safety-first rule is used to provide measures popular with farmers of short and long term business risk associated with various no-till transition strategies over an investment horizon. The short run rule provided more sensitivity to inter-year financial risk than other commonly used...

Persistent link: https://www.econbiz.de/10005407764

Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison

Gutierrez, Luciano - EconWPA - 2003

) tests are analyzed by a Monte Carlo simulation study. In synthesis, Moon and Perron’s (2003) tests show good size and power … for different values of T and N and model specifications. Focusing on Bai and Ng’s (2003) procedure, the simulation study … simulation shows that the pooled Dickey-Fuller-GLS test provides higher power than the pooled ADF test for the analysis of …

Persistent link: https://www.econbiz.de/10005407993

Simulation-Based Pricing of Convertible Bonds

Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses … of real-world convertible bond specifications. Furthermore, using the simulation model proposed, we present an empirical …

Persistent link: https://www.econbiz.de/10005413169

A Nonparametric Way of Distribution Testing

Kilic, Ekrem - EconWPA - 2005

Testing the distribution of a random sample can be considered ,indeed, as a goodness-of-fit problem. If we use the nonparametric density estimation of the sample as a consistent estimate of exact distribution, the problem reduces, more specifically, to the distance of two functions. This paper...

Persistent link: https://www.econbiz.de/10005119063

Risk Analysis in Investment Appraisal

Savvides, Savvakis C. - EconWPA - 2004

This paper was prepared for the purpose of presenting the methodology and uses of the Monte Carlo simulation technique …

Persistent link: https://www.econbiz.de/10005561672

Sustainability of the Slovenian Pension System: An Analysis with an Overlapping-generations General Equilibrium Model

Verbic, Miroslav; Majcen, Boris; Nieuwkoop, Renger van - EconWPA - 2005

The article presents an analysis of welfare effects in Slovenia, an analysis of macroeconomic effects of the Slovenian pension reform and an analysis of effects of the pension fund deficit on sustainability of Slovenian public finances with a dynamic OLG general equilibrium model. It has been...

Persistent link: https://www.econbiz.de/10005125636

Aging, Labor Markets and Pension Reform in Austria

Christian, Keuschnigg; Mirela, Keuschnigg - EconWPA - 2004

This paper investigates the dynamic consequences of demographic change and various pension reform scenarios for Austria. The analysis is based on a computable overlapping generations model with life-cycle labor supply, savings, and search unemployment. The public sector is decomposed into...

Persistent link: https://www.econbiz.de/10005125671

The Need for Pension Reform

Thakur, Subhash; Cerra, Valerie - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005408402

Pension Reform in a Highly Informalized Post-Soviet Economy

Dobronogov, Anton; Mayhew, Les - EconWPA - 2000

Pension reform is now on the national agenda in most post-Soviet countries. These countries have highly informalized economies, which means that large areas of economic activity go unreported to the authorities. This paper deals with the problem of pension reform in a highly informalized...

Persistent link: https://www.econbiz.de/10005408432