infonet-economy

This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. One- and multi-factor term structure models are estimated based on historical data for the Swiss...

Income distribution embeds a large field of research subjects in economics. It is important to study how incomes are distributed among the members of a population in order for example to determine tax policies for redistribution to decrease inequality, or to implement social policies to reduce poverty. The available data come mostly from surveys (and not censuses as it is often...

With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an estimator of the parameters can be obtained in a straightforward manner. Unfortunately, it...

This paper provides a set of stochastic multistage programs where the evolvement of uncertain factors is given by stochastic processes. We treat a practical problem statement within the field of managing fixed-income securities. Detailed information on the used parameter values in various interest rate models is given. Barycentric approximation is applied to obtain computational...

We show how a collection of results in the literature on the empirical estimation of welfare indicators from sample data can be unified. We also demonstrate how some of these ideas can be extended to empirically important cases where the data have been trimmed or censored.

Lorenz curves and associated tools for ranking income distributions are commonly estimated on the assumption that full, unbiased samples are available. However it is common to ¯nd income and wealth distributions that are routinely censored or trimmed. We derive the sampling distribution for a key family of statistics in the case where data have been modified in this fashion.

A bank's financial management faces various sources of uncertainty when funds from savings account deposits are invested in the marketplace. Future interest rates are unknown and customers are allowed to withdraw their deposits at any point in time. The objective is to find a portfolio of fixed income instruments that maximizes the bank's interest surplus from the...

We review the use and the interpretation of some robustness concepts and techniques in some economic applications. We focus on estimation techniques in income distribution analysis and we discuss the reliability of inequality measures.

working report - Former investigation (Approximation of Profit-and-Loss Distributions, Part I) introduces the application of the barycentric approximation methodology for evaluating profit-and-loss distributions numerically. Although, convergence of the quantiles is ensured by the weak convergence of the discrete measures, as proclaimed in Part I, recent numerical results have...