nep-cmp New Economics Papers
on Computational Economics
Issue of 2005‒12‒14
six papers chosen by
Stan Miles
York University

  1. Effects of Advanced Traveller Information Systems on Commuters' Behaviour By Thorsten Chmura; Johannes Kaiser; Thomas Pitz; Mark Blumberg; Marco Brück
  2. Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies By An Chen
  3. Doha Scenarios, Trade Reforms, and Poverty in the Philippines : A Computable General Equilibrium Analysis By Caesar B Cororaton; John Cockburn; Erwin Corong
  4. How information influences the cost of transport in a supply chain, a monte carlo simulation By Xavier Brusset
  5. Welfare Reform in European Countries: A Micro-Simulation Analysis By Immervoll H; Kleven H J; Kreiner C T; Saez E
  6. Modelling the Redistributive Impact of Indirect Taxes in Europe: an Application of Euromod By O'Donoghue C; Baldini M; Mantovani D

  1. By: Thorsten Chmura (Laboratory for Experimental Economics, University of Bonn, Germany); Johannes Kaiser (Laboratory for Experimental Economics, University of Bonn, Germany); Thomas Pitz (Laboratory for Experimental Economics, University of Bonn, Germany); Mark Blumberg (University of Bonn); Marco Brück (University of Bonn)
    Abstract: A genetic algorithm approach is used to study the behaviour of agents in a simulation of a daily route choice. There are two roads to choose and we show that there is a welfare enhancing effect of an Advanced Traveller Information System (ATIS) in comparison to the standard case without an ATIS. In the first case it is remarkable that not all agents follow the recommendation of the ATIS and the equilibrium distribution is only approximately attained.
    Keywords: traffic, computational economics, genetic algorithm, action trees, multi agents systems, simulation, traveller information system
    JEL: C45 C61 D83 L92
    Date: 2005–12–02
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpco:0512001&r=cmp
  2. By: An Chen
    Abstract: In this paper, we consider the net loss of a life insurance company issuing identical equity-linked pure endowment contracts in the case of periodic premiums. Under this construction, financial risks as well as the mortality risk are included. Based on Møller (1998), we particularly investigate the situation where the company applies a time-discretized risk-minimizing hedging strategy, i.e., a trading restriction is imposed on a continuous-time risk-minimizing strategy. Therefore, the considered model is incomplete where the incompleteness results not only from the mortality risk but also from the trading restrictions. Through an illustrative example, it is observed from the simulations that a substantial reduction in the ruin probability is achieved by using the time-discretized risk-minimizing strategy. However, as the hedging frequency is set higher, this advantage almost disappears, because a higher frequency leads to more hedging errors which constitute a vital part of the hedger’s net loss. In order to improve the simulated results, another type of discrete-time risk-minimizing strategy is taken into consideration. It is obtained by discretizing the hedging model instead of the hedging strategy. For this purpose, Møller’s (2001) discrete-time (binomial) risk-minimizing strategy is adopted. For both strategies, a number of sensitivity analyses are carried out, e.g. how the ruin probability changes with the fair combination of the minimum interest rate guarantee and the participation rate.
    Keywords: Net Loss, Discrete-time Risk-minimizing Hedging Strategies, Pure Endowment Equity-linked Life Insurance
    JEL: G10 G13 G22
    Date: 2005–08
    URL: http://d.repec.org/n?u=RePEc:bon:bonedp:bgse19_2005&r=cmp
  3. By: Caesar B Cororaton (International Food Policy Research Institute); John Cockburn (Laval University); Erwin Corong (De La Salle University)
    Abstract: Since the early 1980s the Philippines has undertaken substantial trade reform. The current Doha Round of World Trade Organization (WTO) negotiations is now likely to bring further reform and shocks to world import prices and export demand. The impact of all these developments on the poor is not very clear and is the subject of intense debate. The authors use a detailed economywide computable general equilibrium (CGE) model to run a series of policy experiments. They find that poverty increases slightly with the implementation of the prospective Doha scenario. These effects are focused primarily among rural households in the wake of falling world prices and demand for the Philippines' agricultural exports. The authors find that the impacts of full liberalization-involving free world trade and complete domestic liberalization-depend strongly on the mechanism the government adopts to offset forgone tariff revenue. If an indirect tax is used, the incidence of poverty falls marginally, but the depth (poverty gap) and severity (squared poverty gap) increase substantially. If, instead, an income tax is used, all measures of poverty increase. In both cases, full liberalization favors urban households, as exports, which are primarily nonagricultural, expand. In separate simulations, the authors discover that free world trade is poverty reducing and favors rural households, whereas domestic liberalization is poverty increasing and favors urban households. Under free world trade, rural households benefit from increasing world agricultural demand. The anti-rural bias of domestic liberalization stems from the fact that import prices fall more for agricultural goods than for industrial goods, as initial import-weighted average tariff rates are higher for the former. In conclusion, the current Doha agreement appears likely to slightly increase poverty, especially in rural areas and among the unemployed, self-employed, and rural low-educated. The Philippines is found to have an interest in pushing for more ambitious world trade liberalization, as free world trade holds out promise for reducing poverty.
    Keywords: Poverty, International economics
    Date: 2005–10–01
    URL: http://d.repec.org/n?u=RePEc:wbk:wbrwps:3738&r=cmp
  4. By: Xavier Brusset (IAG, Université Catholique de Louvain, Louvain la Neuve, Belgium)
    Abstract: The present paper studies the impact of information sharing and contractual instruments on a shipper and her transport suppliers through a monte carlo simulation. After reviewing the literature, we propose a model to measure the benefits in terms of expected transport cost and variance of this cost. We evaluate three scenarios over a reiterated- single period setting in a shipper carrier single-echelon model with a mix of long-term and short-term procurement strategies: perfect information, asymmetric information and private information at one level of the supply chain. After spelling out the optimal parameters for the procurement policy, we evaluate the rent transfer between carrier and shipper in a numeric example using the monte-carlo method.
    Keywords: supply chain management, transport, contract, monte carlo, bivariate normal distribution, information
    JEL: L14 L23 C44 C61 C62
    Date: 2005–12–07
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpem:0512008&r=cmp
  5. By: Immervoll H; Kleven H J; Kreiner C T; Saez E
    Abstract: This paper estimates the welfare and distributional impact of two types of welfare reform in 14 member countries of the European Union. The reforms are revenue neutral and financed by an overall and uniform increase in marginal tax rates on earnings. The first reform distributes the additional tax revenue uniformly to everybody (traditional welfare) while the second reform distributes tax proceeds uniformly to workers only (in-work benefit). We build a simple model of labor supply encompassing responses to taxes and transfers along both the intensive and extensive margin. We then use EUROMOD to describe current welfare and tax systems in all European Union countries (except Sweden) and use calibrated labor supply elasticities along the intensive and extensive margins to analyze the effects of the two welfare reforms. We quantify the equity-efficiency trade-off for a range of elasticity parameters. In most countries, because of the large existing welfare programs with high phase-out rates, the uniform redistribution policy is, in general, undesirable unless the redistributive tastes of the government are extreme. The in-work benefit reform, on the other hand, is desirable in a very wide set of cases. We discuss the practical policy implications for European welfare policy.
    Date: 2004–02
    URL: http://d.repec.org/n?u=RePEc:ese:emodwp:em1/04&r=cmp
  6. By: O'Donoghue C; Baldini M; Mantovani D
    Abstract: This paper describes a model to simulate expenditure and indirect taxes in 12 EU countries within the EUROMOD tax-benefit model. The paper outlines the types of indirect taxes in the countries examined. Validation checks are made on the effectiveness of the expenditure models used. The redistributive effect of indirect taxes is decomposed into the tax resulting from different commodity groups. Lastly the progressivity and redistributive effect of indirect taxes are examined and compared with income taxes, social insurance contributions (employee and employer) and the main social benefit groupings with all EU countries.
    Keywords: European Union; Microsimulation; Taxation, Redistribution.
    JEL: C81 D31
    Date: 2004–06
    URL: http://d.repec.org/n?u=RePEc:ese:emodwp:em7/01&r=cmp

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