Related papers: Individual Risk and Lebesgue Extension without Agg…
Contemporary scientific research is a distributed, collaborative endeavor, carried out by teams of researchers, regulatory institutions, funding agencies, commercial partners, and scientific bodies, all interacting with each other and…
Cooperation between individuals is emergent in all parts of society, yet mechanistic reasons for this emergence is ill understood in the literature. A specific example of this is insurance. Recent work has, though, shown that assuming the…
Socio-psychological studies have identified a common phenomenon where an individual's public actions do not necessarily coincide with their private opinions, yet most existing models fail to capture the dynamic interplay between these two…
Unemployment insurance provides temporary cash benefits to eligible unemployed workers. Benefits are sometimes extended by discretion during economic slumps. In a model that features temporary benefits and sequential job opportunities, a…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
This note presents a kind of the strong law of large numbers for an insurance risk caused by a single catastrophic event rather than by an accumulation of independent and identically distributed risks. We derive this result by a large…
Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among…
We study a simple continuous-time multi-agent system related to Krause's model of opinion dynamics: each agent holds a real value, and this value is continuously attracted by every other value differing from it by less than 1, with an…
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources…
Risk assessment instruments are used across the criminal justice system to estimate the probability of some future behavior given covariates. The estimated probabilities are then used in making decisions at the individual level. In the…
The current economic crisis has provoked an active response from the interdisciplinary scientific community. As a result many papers suggesting what can be improved in understanding of the complex socio-economics systems were published.…
Risk management resulting from the actions and states of the different elements making up a operating room is a major concern during a surgical procedure. Agent-based simulation shows an interest through its interaction concepts,…
We study the role of imitation within a model of economics with adaptive agents. The basic ingredients are those of the Minority Game. We add the possibility of local information exchange and imitation of the neighbour's strategy. Imitators…
In this study we present an extension of the replicator equation with diffusion to multiplex graphs. We derive an exact formula for the diffusion term, which shows that, while diffusion is linear for numbers of agents, it is necessary to…
Our work stems from the consideration that the spreading of a disease is modulated by the individual's perception of the infected neighborhood and his/her strategy to avoid being infected as well. We introduced a general ``cellular agent''…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…
We study a multi-agent contracting problem where agents exert costly effort to achieve individually observable binary outcomes. While the principal can theoretically extract the full social welfare using a discriminatory contract that…
A new approach for the description of phenomena of social aggregation is suggested. On the basis of psychological concepts (as for instance social norms and cultural coordinates), we deduce a general mechanism for the social aggregation in…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…