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We use a controlled laboratory experiment to study the causal impact of income decreases within a time period on redistribution decisions at the end of that period, in an environment where we keep fixed the sum of incomes over the period.…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
This paper investigates the interactions among consumption/savings, investment, and retirement choices with income disaster. We consider low-income people who are exposed to income disaster so that they retire involuntarily when income…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision…
Statistical inference for large data panels is omnipresent in modern economic applications. An important benefit of panel analysis is the possibility to reduce noise and thus to guarantee stable inference by intersectional pooling. However,…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
A continuous variable changing between 0 and 1 is introduced to characterise contentment, or satisfaction with life, of an individual and an equation governing its evolution is postulated from analysis of several factors likely to affect…
Federated learning promises significant sample-efficiency gains by pooling data across multiple agents, yet incentive misalignment is an obstacle: each update is costly to the contributor but boosts every participant. We introduce a…
We study the evolution of an inverted spin ensemble coupled to a cavity. The inversion itself presents an inherent instability of the system; however, the inhomogeneous broadening of spin-resonance frequencies presents a stabilizing…
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumption, housing, investment, bequest and government provided…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into…
We study intergenerational transfers of income. In our stylized model, each generation in an infinite (but countable) stream is endowed with some income. An allocation rule associates with each infinite stream another stream, thus involving…
In models of intra-household resource allocation, the earnings from joint work between two or more household members are often omitted. I test assumptions about complete pooling of resources within a household, by accounting for income…
Is there an advantage to heterogeneity in a population where individuals grow and divide by fission? This is a broad question, to which there is no easy universal answer. This article aims to provide a quantitative answer in the specific…
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…
In financial asset management, choosing a portfolio requires balancing returns, risk, exposure, liquidity, volatility and other factors. These concerns are difficult to compare explicitly, with many asset managers using an intuitive or…
We propose a quantile random-coefficient regression with interactive fixed effects to study the effects of group-level policies that are heterogeneous across individuals. Our approach is the first to use a latent factor structure to handle…