We characterize the max min of repeated zero-sum games in which player one plays in pure strategies sonditional on the private observation of a fixed sequence random variables. Meanwhile we introduce a definition of a strategic distance between probability measures, and relate it to the standard...

To implement continuous time option pricing models in which ARCH models can be used as direct or indirect approximators of stochastic volatility, we construct continuous time economies exhibiting equilibrium dynamics to which most asymmetric ARCH models converge in distribution as the sample...

This paper studies allocation on the housing market by means of discrete choice models with availability constraints. This approach arises when uncertainty about the availability of some alternatives is introduced within the conventional framework of discrete choice models. Availability...

This paper aims at providing linear credibility predictors for the pure premium of insurance contracts, from a rating structure based on their individual characteristics. A two equation model with random effects and regression components is consistently estimated, jointly with the computation of...

The purpose of this paper is to study unfunded social security systems in the framework of an economy submitted to demographic and technological shocks. The emergence of transfers between generations rests on a motive of rreal and possible inequalities correction or on a portfolio choice.

In this paper, address the problem of testing persistent causality between integrated, possibly cointegrated, time series.

The international diversification of the relatively illiquid portfolios of financial institutions points out two questions: first, the basic advantages and methodology of exchange risk hedging; second, the relevance of centralized balance sheet management. This document answers these questions...

One of the main goals of bounded rationality models is to understand the limitations of agent's abilities in building representations of strategic situations as maximization problems and in solving these problems. Modern cryptography relies on the assumption that agents's computations should be...