In this paper, we extend the non-cooperative one-period game of Dutang et al. (Journal Operational Research 231(3):702–711, 2013) to model a non-life insurance market over several periods by considering repeated (one-period) game. Using Markov chain methodology, derive general properties insurer portfolio sizes given price vector. case regulated (identical premium), are able obtain convergence ...

T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...

Run count statistics serve a central role in tests of non-randomness of stochastic processes of interest to a wide range of disciplines within the physical sciences, social sciences, business and finance, and other endeavors involving intrinsic uncertainty. To carry out such tests, it is often necessary to calculate two kinds of run count probabilities: 1) the probability that a certain number ...

Many social commentators have raised concerns over the possibility that increased sorting in society can lead to greater inequality. To investigate this, we construct a dynamic model of intergenerational education acquisition, fertility and marital sorting and parameterize the steady state to match several basic empirical ...ndings. We ...nd that increased marital sorting will signi...cantly in...

I examine the idea of 'the long run' in Piketty (2014) and related works. In contrast to simplistic interpretations of long-run models of income- and wealth-distribution Piketty (2014) draws on a rich economic analysis that models the intra- and inter-generational processes that underly the development of the wealth distribution. These processes inevitably involve both market and non-market mec...

We model a long-run relationship as an infinitely repeated game played by two equally patient agents. In each period, the agents play an extensive-form game of perfect information. There is incomplete information about the type of player 1 while player 2’s type is commonly known. We show that a sufficiently patient player 1 can leverage player 2’s uncertainty about his type to secure his highes...

We provide the first direct estimates of how agents trade off immediate costs and uncertain future benefits that occur in the very long run, 100 or more years away. We find that very longrun discount rates are low, much lower than implied by most economic theory. We estimate these discount rates by exploiting a unique feature of residential housing markets in England, Wales and Singapore, where...