nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒05‒16
nine papers chosen by
Stan Miles
Thompson Rivers University

  1. An impact analysis of climate change on the forestry industry in Quebec. A dynamic CGE model By Dorothée Boccanfuso; Luc Savard; Jonathan Goyette; Véronique Gosselin; Clovis Tanekou Mangoua
  2. Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm By Marius Hofert; Amir Memartoluie; David Sunders; Tony Wirjanto
  3. On the Exact Simulation of (Jump) Diffusion Bridges By Murray Pollock
  4. SBM variations revisited By Kaoru Tone
  5. Just Tell me What my Neighbors Do! Public Policies for Households Recycling By Ankinée Kirakozian; Christophe Charlier
  6. A New Mathematical Programming Formulation for the Single-Picker Routing Problem in a Single-Block Layout By Sebastian Henn; André Scholz; Meike Stuhlmann; Gerhard Wäscher
  7. Longevity assets and pre-retirement consumption/portfolio decisions By Francesco Menoncin; Luca Regis
  8. Assessing the impacts of alcohol policies: A microsimulation approach By Michele Cecchini; Marion Devaux; Franco Sassi
  9. On the development of Fuzzy Cognitive Map (FCM)-based scenario using futuristic data By Jieun Kim; Yongtae Park

  1. By: Dorothée Boccanfuso (Département d'Économique, Université de Sherbrooke); Luc Savard (Département d'Économique, Université de Sherbrooke); Jonathan Goyette (Département d'Économique, Université de Sherbrooke); Véronique Gosselin (GREDI, Université de Sherbrooke); Clovis Tanekou Mangoua (GREDI, Université de Sherbrooke)
    Abstract: Quebec’s forests represent 20% of the Canadian forest and 2% of world forests. They play a major role for habitat preservation, supplying goods and services to the population. Climate change will have an impact on the forest through inter alia increased droughts, forest fires, warmer weather and infestations. In this paper, we analyze the economic impact of CC on the forest industry in Quebec. We perform an economic impact analysis over a 40 year time span with a recursive dynamic CGE model. We find that the climate change effects will be relatively weak on macroeconomic variables as the agents adjust over time and factors move to other sectors but the sectoral effects on the forest industry are relatively important. Length: 40 pages
    Keywords: Dynamic computable general equilibrium model, forestry, climate change, Quebec.
    JEL: C68 D58 O13 Q54 Q56
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:shr:wpaper:15-05&r=cmp
  2. By: Marius Hofert; Amir Memartoluie; David Sunders; Tony Wirjanto
    Abstract: Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and words of warning concerning their implementation are raised. Furthermore, both conceptual and computational improvements to the Rearrangement Algorithm for approximating worst Value-at-Risk for portfolios with arbitrary marginal loss distributions are provided. In particular, a novel Adaptive Rearrangement Algorithm is introduced and investigated. These algorithms are implemented using the R package qrmtools.
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1505.02281&r=cmp
  3. By: Murray Pollock
    Abstract: In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of recent work developing a mathematical framework for simulating finite dimensional sample path skeletons (which flexibly characterise the entirety of sample paths).
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1505.03030&r=cmp
  4. By: Kaoru Tone (National Graduate Institute for Policy Studies)
    Abstract: Slacks-based measure (SBM) (Tone (2001), Pastor et al. (1999)) has been widely utilized as a representative non-radial DEA model. In Tone (2010), I developed four variants of the SBM model where main concerns are to search the nearest point on the efficient frontiers of the production possibility set. However, in the worst case, a massive enumeration of facets of polyhedron associated with the production possibility set is required. In this paper, I will present a new scheme for this purpose which requires a limited number of additional linear program solutions for each inefficient DMU. Although the point thus obtained is not always the nearest point, it is acceptable for practical purposes and from the point of computational loads.
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:ngi:dpaper:15-05&r=cmp
  5. By: Ankinée Kirakozian (University of Nice Sophia Antipolis; GREDEG CNRS); Christophe Charlier (University of Nice Sophia Antipolis, France; GREDEG CNRS)
    Abstract: An important stand of the economic literature focuses on how to provide the right incentives for households to recycle their waste. This body of work includes a growing number of studies inspired by psychology that seek to explain waste sorting, and pro-environmental behavior more generally, and highlight the importance of social approval and peer effect. The present theoretical work explores this issue. We propose a model that considers heterogeneous households that choose to recycle based on three main household characteristics: environmental preferences, opportunity cost of their tax expenditure, and their self-image. The model is original in depicting the interactions among households which enable them to form beliefs on recycling and allows them to assess their self-image. These interaction are explored through the model simulations. We point to how individual recycling decisions depend on these interactions, and how the effectiveness of public policies related to recycling is affected by a crowding-out effect. We consider three complementary policies in the model simulations: provision of incentives to recycle through taxation, provision of information on the importance of selective sorting, and a 'localized' approach that takes the form of a 'nudge'. We use the results of the simulations to quantify the consequences of the crowding out effect on total residual waste. This paper makes an original contribution by showing that when the individual decision is influenced by an internalized peer attention, beliefs about others' intrinsic and extrinsic values can be more important than others' observed behaviors.
    Keywords: Household recycling, Waste, Environmental regulation, Behavioral economics, Computational Techniques
    JEL: D10 D03 Q53 Q58
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:gre:wpaper:2015-20&r=cmp
  6. By: Sebastian Henn; André Scholz (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg); Meike Stuhlmann; Gerhard Wäscher (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg)
    Abstract: The Single-Picker Routing Problem deals with the determination of sequences according to which items have to be picked in a distribution warehouse and the identification of the corresponding paths which have to be travelled by human operators (order pickers). The Single-Picker Routing Problem represents a special case of the classic Traveling Salesman Problem (TSP) and, therefore, can also be modeled as a TSP. However, the picking area of a warehouse typically possesses a block layout, i.e. the items are located in parallel picking aisles, and the order pickers can only change over to another picking aisle at certain positions by means of so-called cross aisles. In this paper, for the first time a mathematical programming formulation is proposed which takes into account this specific property. Based on extensive numerical experiments, it is shown that the proposed formulation is superior to standard TSP formulations.
    Keywords: Order Picking, Picker Routing, Traveling Salesman Problem
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:mag:wpaper:150005&r=cmp
  7. By: Francesco Menoncin (University of Brescia); Luca Regis (IMT Institute for Advanced Studies Lucca)
    Abstract: We derive a closed form solution for the optimal consumption/investment problem of an agent whose force of mortality is stochastic and whose financial horizon coincides with a fixed retirement date. The investment set includes a longevity asset, as a derivative on the force of mortality. We explore the optimal choices of a representative agent having Hyperbolic Absolute Risk Aversion preferences on both consumption and final wealth. Our numerical analysis shows that individuals optimally invest a large fraction of their wealth in the longevity asset. In our base scenario, calibrated on real world data, a 60-year old male retiring after 5 years should invest around 88% of his wealth in the longevity asset. Such a percentage decreases as time to retirement decreases. We explore sensitivity of our results to market and individual characteristics.
    Keywords: longevity risk, pre-retirement savings, consumption/portfolio choices, HARA preferences
    JEL: C61 G11
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:ial:wpaper:2/2015&r=cmp
  8. By: Michele Cecchini; Marion Devaux; Franco Sassi
    Abstract: Alcohol policies have significant potential to curb alcohol-related harms, improve health, increase productivity, reduce crime and violence, and cut government expenditure. The WHO Global Strategy to reduce the harmful use of alcohol provides a menu of policy options based on international consensus, which the OECD has used as a starting point in identifying a set of policies to be assessed in an economic analysis based on a computer simulation approach. This working paper provides a comprehensive illustration of the modelling approach, input data and underlying assumptions that have been used to carry out the analyses. The policies assessed in three country settings – Canada, the Czech Republic and Germany – include price policies, regulation and enforcement policies, education programmes and health care interventions. The results of the OECD analyses show that brief interventions in primary care, typically targeting high-risk drinkers, and tax increases, which affect all drinkers, have the potential to generate large health gains. The impacts of regulation and enforcement policies as well as other health care interventions are more dependent on the setting and mode of implementation, while school-based programmes show less promise. Alcohol policies have the potential to prevent alcohol-related disabilities and injuries in hundreds of thousands of working-age people in the countries examined, with major potential gains in their productivity. Most alcohol policies are estimated to cut health care expenditures to the extent that their implementation costs would be more than offset. Health care interventions and enforcement of drinking-and-driving restrictions are more expensive policies, but they still have very favourable cost-effectiveness profiles.<BR>Les politiques de l’alcool peuvent jouer un rôle majeur dans la réduction des méfaits de l’alcool, l’amélioration de la santé, l’accroissement de la productivité, la réduction des délits et de la violence, et la diminution des dépenses publiques. La Stratégie mondiale de l’OMS visant à réduire l’usage nocif de l’alcool propose une liste d’options découlant d’un consensus international, que l’OCDE a utilisée comme point de départ pour mettre en lumière un ensemble d’actions à évaluer dans le cadre d’une analyse économique s’appuyant sur un modèle de micro-simulation. Ce document de travail offre une description complète du modèle, des données et des hypothèses sous-jacentes utilisées pour mener les analyses. Les actions évaluées dans trois pays – le Canada, la République tchèque et l’Allemagne – incluent des politiques de prix, des mesures de réglementation et d’application de la législation, des programmes d’éducation et des interventions sanitaires. Les résultats de l’analyse de l’OCDE montrent que l’on peut obtenir d’importants résultats en termes de santé grâce à des interventions brèves dans le cadre de soins primaires, qui ciblent généralement des consommateurs à haut risque, et à des hausses des taxes qui pénalisent tous les consommateurs. L’impact des mesures de réglementation et d’application de la législation, ainsi que d’autres interventions sanitaires, dépendent davantage du contexte et du mode d’application, tandis que les programmes en milieu scolaire semblent quant à eux moins prometteurs. Dans les pays étudiés, les politiques de l’alcool peuvent permettre à des centaines de milliers de personnes en âge de travailler d’éviter les incapacités et les blessures liées à l’alcool, ce qui améliorerait beaucoup leur productivité. On estime que la plupart des politiques de l’alcool pourraient contribuer à réduire les dépenses de santé dans la mesure où leurs coûts de mise en oeuvre seraient plus que compensés. Les interventions sanitaires et l’application de restrictions concernant l’alcool au volant constituent des mesures plus onéreuses, mais présentent quand même des rapports coût-efficacité très positifs.
    JEL: D61 D63 H51 I12 I18
    Date: 2015–05
    URL: http://d.repec.org/n?u=RePEc:oec:elsaad:80-en&r=cmp
  9. By: Jieun Kim (Seoul National University); Yongtae Park (Seoul National University)
    Abstract: The uncertainty of the business environment has highlighted the strategic gravity of scenario in technology foresight and strategic planning. Fuzzy cognitive map (FCM), among various scenario development approaches, has recently drawn attention due to its relative advantage of combining qualitative knowledge and quantitative structuring process. FCMs are cognitive fuzzy inference graphs, within which the nodes stand for the concepts that are used to describe the behavior of the system and the causal relations between the concepts are represented by signed and weighted arcs. The formalization of FCMs can be achieved by two main groups of methods: deductive modeling using an expert knowledge about the domain of application, and inductive modeling using learning algorithms based on historical data. Although the deductive modeling methods are well-established, they have shortcomings in that they require domain knowledge which can be limited to relatively simple systems and subjective or biased models. The inductive modeling methods which are recently developed, also have limitation in that they only focused on the identification of weight values for given set of concept nodes and rely on historical data based on the assumption that same trends will prevail in future. In this context, we propose that the futuristic data, a collection of future-oriented opinions extracted from websites and online communities of large participation and collaboration of many experts and the general, can be alternative knowledge source for FCM-based scenario development. Since the futuristic data are a priori data containing issues regarding social influence or predictable phenomena, they are suitable source to scan future drivers and changes of scenarios, which will be used as the concept nodes of FCM, and reflect the future-oriented perspectives. Taken together, the primary objective of this research is to propose the approach to applying futuristic data to FCM-based scenario development. Association Rule Mining (ARM) technique is applied to identify concepts and causal weights of FCM because ARM can provide if-then rules from large database. The suggested approach can aid to improve the effectiveness and efficiency of scanning knowledge for FCM-based scenario development.
    Keywords: Scenario, Fuzzy Cognitive Map, Futuristic data
    URL: http://d.repec.org/n?u=RePEc:sek:iacpro:1003331&r=cmp

This nep-cmp issue is ©2015 by Stan Miles. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
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