Monte Carlo Simulation of Macroeconomic Risk with a Continuum of Agents: The Symmetric Case
نویسندگان
چکیده
Suppose a large economy with individual risk is modeled by a continuum of pairwise exchangeable random variables (i.i.d., in particular). Then the relevant stochastic process is jointly measurable only in degenerate cases. Yet in Monte Carlo simulation, the average of a large finite draw of the random variables converges almost surely. Several necessary and sufficient conditions for such “Monte Carlo convergence” are given. Also, conditioned on the associated Monte Carlo σ-algebra, which represents macroeconomic risk, individual agents’ random shocks are independent. Furthermore, a converse to one version of the classical law of large numbers is proved.
منابع مشابه
Monte Carlo Simulation of Macroeconomic Risk with a Continuum Agents: The General Case
In large random economies with heterogeneous agents, a standard stochastic framework presumes a random macro state, combined with idiosyncratic micro shocks. This can be formally represented by a random process consisting of a continuum of random variables that are conditionally independent given the macro state. However, this process satisfies a standard joint measurability condition only if t...
متن کاملMonte Carlo simulation of macroeconomic risk with a continuum of agents: the general case
In large random economies with heterogeneous agents, a standard stochastic framework presumes a random macro state, combined with idiosyncratic micro shocks. This can be formally represented by a random process consisting of a continuum of random variables that are conditionally independent given the macro state. However, this process satisfies a standard joint measurability condition only if t...
متن کاملDistribution network design under demand uncertainty using genetic algorithm and Monte Carlo simulation approach: a case study in pharmaceutical industry
Distribution network design as a strategic decision has long-term effect on tactical and operational supply chain management. In this research, the location-allocation problem is studied under demand uncertainty. The purposes of this study were to specify the optimal number and location of distribution centers and to determine the allocation of customer demands to distribution centers. The m...
متن کاملDistribution network design under demand uncertainty using genetic algorithm and Monte Carlo simulation approach: a case study in pharmaceutical industry
Distribution network design as a strategic decision has long-term effect on tactical and operational supply chain management. In this research, the location– allocation problem is studied under demand uncertainty. The purposes of this study were to specify the optimal number and location of distribution centers and to determine the allocation of customer demands to distribution centers. ...
متن کاملQuantitative risk management in gas injection project: a case study from Oman oil and gas industry
The purpose of this research was to study the recognition, application and quantification of the risks associated in managing projects. In this research, the management of risks in an oil and gas project is studied and implemented within a case company in Oman. In this study, at first, the qualitative data related to risks in the project were identified through field visits and extensive interv...
متن کامل