This paper examines the conception of individuals as being of certain types in Harsanyi'stransformation of games of incomplete information into games of complete information. Itargues that while the conception of the individual in games of complete information offerspotential advances over the...

A flat tax rate on income has gained popularity in European countries. This paper assesses the attractiveness of such a flat tax in achieving redistributive objectives with the least cost to labour market performance. We do so by using a detailed applied general equilibrium model for the...

These notes review two simple heterogeneous agent models in economics and finance. The first is a cobweb model with rational versus naive agents introduced in Brock and Hommes (1997). The second is an asset pricing model with fundamentalists versus technical traders introduced in Brock and...

This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

The stability of the financial system at higher loss levels is either characterized by asymptotic dependence or asymptotic independence. If asymptotically independent, the dependency, when present, eventually dies out completely at the more extreme quantiles, as in case of the multivariate...

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...

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...

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...

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...

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...