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on Computational Economics |
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Issue of 2013‒08‒23
six papers chosen by |
| By: | A. K. Bahl; O. Baltzer; A. Rau-Chaplin; B. Varghese; A. Whiteway |
| Abstract: | Stochastic simulation techniques employed for the analysis of portfolios of insurance/reinsurance risk, often referred to as `Aggregate Risk Analysis', can benefit from exploiting state-of-the-art high-performance computing platforms. In this paper, parallel methods to speed-up aggregate risk analysis for supporting real-time pricing are explored. An algorithm for analysing aggregate risk is proposed and implemented for multi-core CPUs and for many-core GPUs. Experimental studies indicate that GPUs offer a feasible alternative solution over traditional high-performance computing systems. A simulation of 1,000,000 trials with 1,000 catastrophic events per trial on a typical exposure set and contract structure is performed in less than 5 seconds on a multiple GPU platform. The key result is that the multiple GPU implementation can be used in real-time pricing scenarios as it is approximately 77x times faster than the sequential counterpart implemented on a CPU. |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1308.2572&r=cmp |
| By: | Liu, Jing; Hertel, Thomas W.; Taheripour, Farzad; Zhu, Tingju; Ringler, Claudia |
| Abstract: | Agriculture’s reliance on irrigation and concerns over water scarcity raise the question of how global food output and trade could be affected if the issue of water shortfall needs to be resolved on the back of agriculture. To understand changes in food production and international agricultural trade as the responses to local water shortage, we construct a computable general equilibrium model in which irrigation water supply reliability is perturbed. The results suggest that regions under water stress cut back food production and turn into net food importers, although domestic water productivity improves. The regions’ welfare falls, primarily due to less endowment available for agriculture and decline in the terms of trade. |
| Keywords: | CGE modeling, water scarcity, irrigated and rainfed agriculture, food security, international agricultural trade, Agricultural and Food Policy, Environmental Economics and Policy, International Relations/Trade, Resource /Energy Economics and Policy, Q25, Q17, |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea13:155248&r=cmp |
| By: | Mario Holzner (The Vienna Institute for International Economic Studies, wiiw) |
| Abstract: | Summary This report aims to analyse the regional trade effects of Croatia’s accession to the EU and simultaneous exit from the CEFTA agreement on 1st July 2013. The Global Simulation Model (GSIM) as proposed by Francois and Hall (2003) is being applied. As the change in Croatian tariff protection is rather small, price and output changes for most CEFTA countries are expected to be mostly negligible. Only for Croatia the simulation suggests that overall consumer prices might fall by as much as 0.39% and real output by 0.41%, in the short run. However, it can be expected that EU support funds will offset that loss many times over. The share of Croatian exports to the EU is expected to increase by 2.2 percentage points, while the share of exports to the CEFTA countries and to the rest of the world is expected to drop by 0.7 and 1.5 percentage points, respectively. |
| Keywords: | trade policy simulation, Croatia, EU accession, CEFTA |
| JEL: | F15 F17 P33 |
| Date: | 2013–06 |
| URL: | http://d.repec.org/n?u=RePEc:wii:pnotes:pn:10&r=cmp |
| By: | Kenneth L. Judd (Hoover Institution, Stanford University); Lilia Maliar (Department of Economics, Stanford University); Serguei Maliar (Department of Economics, Stanford University); Rafael Valero (University of Alicante) |
| Abstract: | First, we propose a more e¢ cient implementation of the Smolyak method for inter- polation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak formula. Second, we extend the Smolyak method to include anisotropic constructions; this allows us to target higher quality of approximation in some dimensions than in others. Third, we show how to e¤ectively adapt the Smolyak hyper- cube to a solution domain of a given economic model. Finally, we advocate the use of low-cost .xed-point iteration, instead of conventional time iteration. In the context of one- and multi-agent growth models, we .nd that the proposed techniques lead to sub- stantial increases in accuracy and speed of a Smolyak-based projection method for solving dynamic economic models. |
| Keywords: | Intergenerational Risk Sharing; Government Transfer Policies; Aggregate Shocks; Incomplete Markets; Stochastic Simulation |
| JEL: | C63 C68 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:byu:byumcl:201302&r=cmp |
| By: | Daniel Kemptner |
| Abstract: | This paper proposes a dynamic life cycle model of health risks, employment, early retirement, and wealth accumulation in order to analyze the health-related risks of consumption and old age poverty. In particular, the model includes a health process, the interaction between health and employment risks, and an explicit modeling of the German public insurance schemes. I rely on a dynamic programming discrete choice framework and estimate the model using data from the German Socio-Economic Panel. I quantify the health-related life cycle risks by simulating scenarios where health shocks do or do not occur at different points in the life cycle for individuals with differing endowments. Moreover, a policy simulation investigates minimum pension benefits as an insurance against old age poverty. While such a reform raises a concern about an increase in abuse of the early retirement option, the simulations indicate that a means test mitigates the moral hazard problem substantially. |
| Keywords: | Dynamic programming, discrete choice, health, employment, early retirement, consumption, tax and transfer system |
| JEL: | C61 I14 J22 J26 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1320&r=cmp |
| By: | Mario Eboli |
| Abstract: | This paper puts forward a novel approach to the analysis of direct contagion in financial networks. Financial systems are here represented as flow networks -i.e., directed and weighted graphs endowed with source nodes and sink nodes – and the propagation of losses and defaults, originated by an exogenous shock, is here represented as a flow that crosses such a network. In establishing existence and uniqueness of such a flow function, we address a know problem of indeterminacy that arise, in financial networks, from the intercyclicity of payments. Sufficient and necessary conditions for uniqueness are pinned down. We embed this result in an algorithm that, while computing the propagation caused by a shock, controls for the emergence of possible indeterminacies. We then apply some properties of network flows to investigate the relation between the structures of a financial network-i.e. the size and the pattern of obligations - and its exposure to default contagion |
| Keywords: | systemic risk, financial contagion, financial networks, flow networks |
| JEL: | C63 G01 G33 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieliw:1862&r=cmp |