Related papers: Individual Risk and Lebesgue Extension without Agg…
A stochastic model with a continuum of economic agents often involves shocks at both macro and micro levels. This can be formalized by a continuum of random variables that are conditionally independent given the macro level shocks. Based on…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
Aggregate shocks affect most households' and firms' decisions. Using three stylized models we show that inference based on cross-sectional data alone generally fails to correctly account for decision making of rational agents facing…
We study efficient risk sharing among risk-averse agents in an economy with a large, finite number of states. Following a random shock to an initial agreement, agents may renegotiate. If they require a minimal utility improvement to accept…
In this paper, we consider a simple linear exponential quadratic Gaussian (LEQG) tracking problem for a multi-agent system. We study the dynamical behaviors of the group as we vary the risk-sensitivity parameter, comparing in particular the…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…
It has been shown that one can accommodate data (Bayes) and constraints (MaxEnt) in one method, the method of Maximum (relative) Entropy (ME) (Giffin 2007). In this paper we show a complex agent based example of inference with two different…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
A growing number of applications involve settings where, in order to infer heterogeneous effects, a researcher compares various units. Examples of research designs include children moving between different neighborhoods, workers moving…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…
As systems trend toward superintelligence, a natural modeling premise is that agents can self-improve along every facet of their own design. We formalize this with a five-axis decomposition and a decision layer, separating incentives from…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
Multivariate methods that relate outcomes to risk factors have been adopted clinically to individualize treatment. This has promoted the belief that individuals have a true or unique risk. The logic of assigning an individual a single risk…
Extensions of previous linear regression models for interval data are presented. A more flexible simple linear model is formalized. The new model may express cross-relationships between mid-points and spreads of the interval data in a…
Nowadays, we are surrounded by a large number of complex phenomena ranging from rumor spreading, social norms formation to rise of new economic trends and disruption of traditional businesses. To deal with such phenomena,Complex Adaptive…