Problems of ruin and survival in economics: applications of limit theorems in probability

Autor:	Mukul Majumdar, Rabi Bhattacharya, Lizhen Lin
Rok vydání:	2013
Předmět:	Statistics and Probability Mathematical model Credit system Applied Mathematics Markov process symbols.namesake Renewable resource management symbols Exchange economy Large deviations theory Default Statistics Probability and Uncertainty Mathematical economics Stock (geology) Mathematics
Zdroj:	Sankhya B. 75:145-180
ISSN:	0976-8394 0976-8386
DOI:	10.1007/s13571-013-0068-1
Popis:	In this paper the focus is on characterizing and computing the probabilities of ruin in three mathematical models arising in economics. First, we examine a credit system in which small loans without collaterals are extended to a large number of costumers, and study the probability of collapse due to defaults. Next, we consider a Walrasian model of an exchange economy in which the endowments are random, and analyze the probability that at equilibrium prices an agent does not have the minimum income needed for survival. Finally, the problem of sustaining a constant consumption of a resource the stock of which is augmented by a random input is considered. The steady state of the resulting Markov process, the speed at which it is approached, and the possibility of exhaustion of the stock are examined.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6d17d29896d2ede801f32d21344c33fe https://doi.org/10.1007/s13571-013-0068-1 Zobrazit plný text záznamu Full text from SpringerLink