Related papers: Optimal Risk Sharing under Distorted Probabilities
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a…
We study efficient risk sharing among risk-averse agents in an economy with a large, finite number of states. Following a random shock to an initial agreement, agents may renegotiate. If they require a minimal utility improvement to accept…
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the…
For effective decision support in scenarios with conflicting objectives, sets of potentially optimal solutions can be presented to the decision maker. We explore both what policies these sets should contain and how such sets can be computed…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
This paper studies the provision of incentives for information acquisition. Information is costly for an agent to acquire and unobservable to a principal. We show that any Pareto optimal contract has a decomposition into a fraction of…
Multi-agent optimization problems with many objective functions have drawn much interest over the past two decades. Many works on the subject minimize the sum of objective functions, which implicitly carries a decision about the problem…
During the past two decades, multi-agent optimization problems have drawn increased attention from the research community. When multiple objective functions are present among agents, many works optimize the sum of these objective functions.…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…
We have numerically simulated the ideal-gas models of trading markets, where each agent is identified with a gas molecule and each trading as an elastic or money-conserving two-body collision. Unlike in the ideal gas, we introduce…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
We study sparse linear regression over a network of agents, modeled as an undirected graph (with no centralized node). The estimation problem is formulated as the minimization of the sum of the local LASSO loss functions plus a quadratic…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are $n$ insurance companies each bearing a certain risk…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
In this paper, we study an optimal insurance problem for a risk-averse individual who seeks to maximize the rank-dependent expected utility (RDEU) of her terminal wealth, and insurance is priced via a general distortion-deviation premium…
The paper investigates the robust distortion risk measure with linear penalty function under distribution uncertainty. The distribution uncertainties are characterized by predetermined moment conditions or constraints on the Wasserstein…
Over the past decade alternatives to traditional insurance and banking have grown in popularity. The desire to encourage local participation has lead products such as peer-to-peer insurance, reciprocal contracts, and decentralized finance…
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and…