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Modelling farmer participation to a revenue insurance scheme by the means of the Positive Mathematical Programming
insurance schemes PMP farmers’ participation risk aversion non-linear mix-integer programming.
2014/2/24
European farmers face an increasing income uncertainty. The debate is growing on the role of the insurance schemes and on the support provided by the CAP in this field. Therefore, there is a need for ...
Stochastic evolution equations in portfolio credit modelling
credit risky assets large portfolio numerical methods
2011/3/30
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the ...
The Problem of Modelling of Economic Dynamics in Differential Form
Problem Modelling Economic Dynamics Differential Form
2010/12/17
Traditional models of macroeconomic dynamics are fundamentally incorrect. The reason lies in a misunderstanding of peculiarities of the analysis of infinitesimal quantities. However, even those types ...
GARCH modelling in continuous time for irregularly spaced time series data
GARCH modelling continuous time irregularly spaced time series data
2010/12/17
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' conce...
AGRICULTURAL TRADE POLICY MODELLING: INSIGHTS FROM A METAANALYSIS OF DOHA DEVELOPMENT AGENDA OUTCOMES
AGRICULTURAL TRADE POLICY AGENDA OUTCOMES
2014/4/11
In a meta-analysis of trade policy models, Hess and von Cramon-Taubadel (2008) use over
5800 simulated welfare effects from 110 studies of potential Doha Development Agenda
outcomes to identify c...
Reflection of globalization and integration processes in some modelling techniques
globalization processes global chains production model in international environment models of foreign trade relationships
2014/3/20
The paper deals with the modelling of globalization and integration processes which fundamentally influence enterprise functioning, subject and business forms in both the internal and external trade. ...
Modelling catastrophic risk in international equity markets: An extreme value approach
Maxima Extreme Value catastrophic Risk measures
2011/3/31
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns ...