The objective of the paper is to extend the results in Fournié, Lasry, Lions, Lebuchoux, and Touzi (1999), Cass and Fritz (2007) for continuous processes to jump processes based on the Bismut-Elworthy-Li (BEL) formula in Elworthy and Li (1994). We construct a jump process using a subordinated...

Approximating stochastic processes by finite-state Markov chains is useful for reducing computational complexity when solving dynamic economic models. We provide a new method for accurately discretizing general Markov processes by matching low order moments of the conditional distributions using...

The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for life insurers and pension funds to manage...

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the lines of those proposed by Rietz (1988), Barro (2006), Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...

This paper assesses the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

We use supervised machine learning to approximate the expectations typically contained in the optimality conditions of an economic model in the spirit of the parameterized expectations algorithm (PEA) with stochastic simulation. When the set of state variables is generated by a stochastic...

Our research is aimed at finding the optimization of the service provided to citizens, in order to avoid breakdowns in certain administrative services compared to other services that have low levels of activity. The algorithm applied (Branch & Bound) detects what branches of the tree...

Present article is contextualized in an evolved market as the banking where there is a high level of competition that leads in many cases to the marketing of wide range of financial products based on limited information or untransparent, presence of surprise or unfair terms or other type of...

In this paper, an agent-based search and matching (ABSAM) model of a local labor market with heterogeneous agents and an on-the-job search is developed, i.e. job seekers who vary in unemployment duration, skills levels and preferences compete for vacancies which differ for skills demands and the...

This study is an exploratory analysis of the economic role of banks under different prudential frameworks. It considers an agent-based computational model populated by consumers, firms, banks, and a central bank whose out-of-equilibrium interactions replicate the conjunct dynamics of a banking...