In performing Bayesian analysis of a bonus–malus system (BMS) it is normal to choose a parametric structure, π0(λ), in the insurer’s portfolio. According to Bayesian sensitivity analysis the structure function can be modelled by specifying a class Γ of priors instead of a single prior. In this paper, we examine the ranges of the relativities, i.e. δ = E[λπ(λ|data)]/E[λπ(λ)], π ∈ Γ . We illustra...

In this paper, on the basis of a doubly censored sample and in a Bayesian framework, the problem of estimating the mean lifetime, hazard rate, and survival function of the exponential lifetime model is addressed. Bayes estimators under squared-error loss functions are obtained in closed forms. Highest posterior density (HPD) estimators and credible intervals are computed using iterative methods...

In this paper a Bayesian approach to unit root testing for panel data models is proposed based on the comparison of stationary autoregressive models with and without individual deterministic trends, with their counterpart models with a unit autoregressive root. This is done under cross-sectional dependence among the units of the panel. Simulation experiments are conducted with the aim to assess...

Bayesian learning implies decreasing weights on prior beliefs and increasing weights on the accuracy of the analyst’s past forecast record, as the number of forecast errors comprising her forecast record (its length) increases. Consistent with this model of investor learning, empirical tests show that investors’ reactions to forecast news are increasing in the product of the accuracy and length...

The inability of the Bayesian model to accommodate Ellsberg-type behavior is well-known. This paper focuses on another limitation of the Bayesian model, specific to a dynamic setting, namely the inability to permit a distinction between experiments that are identical and those that are only indistinguishable. It is shown that such a distinction is afforded by recursive multiple-priors utility. ...

In general equilibrium, irreversibility a ects both the wealth of consumers and the return on assets. As long as the inter-temporal elasticity of substitution is realistically low, irreversibility not only prevents capital destruction, but it also induces capital creation. Furthermore, under certain conditions, irreversibility raises the risk premium by increasing the variability of consumption...

This study attempts to measure the inefficiency associated with aggregate investment in a transitional economy. The inefficiency is decomposed into allocative and production inefficiency based on standard production theory. Allocative inefficiency is measured by disequilibrium investment demand. Institutional factors are then taken into consideration as possible explanatory variables of the dis...

Macroeconomics is in crisis and this creates openings for alternative perspectives. The dominant heterodox traditions, however, have shortcomings that need to be addressed, both to improve our understanding of the real world and to take advantage of the opportunities offered by the irrelevance of most mainstream macro. This paper discusses three examples of areas that need attention: (i) invest...

This paper studies how frictions, both real and financial, interact with capital tax policy in a dynamic, general equilibrium model with heterogeneous firms. Comparative statics show that tax policy can have substantially different effects depending upon the frictions present. Analytical and numerical exercises show that accounting for firm heterogeneity is important when evaluating the respons...

We study ordinal Bayesian Nash equilibria of stable mechanisms in centralized matching markets under incomplete information. We show that truthtelling is an ordinal Bayesian Nash equilibrium of the revelation game induced by a common belief and a stable mechanism if and only if all the profiles in the support of the common belief have singleton cores. Our result matches the observations of Roth...