Related papers: Optimal Risk Sharing under Distorted Probabilities
This paper investigates the impact of distributional uncertainty on key risk measures under the partial knowledge of underlying distributions characterized by their first two moments and shape information (specifically symmetry and/or…
This study examines a resource-sharing problem involving multiple parties that agree to use a set of capacities together. We start with modeling the whole problem as a mathematical program, where all parties are required to exchange…
We determine the quality of randomized social choice mechanisms in a setting in which the agents have metric preferences: every agent has a cost for each alternative, and these costs form a metric. We assume that these costs are unknown to…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
This paper presents a new approach to distributed linear filtering and prediction. The problem under consideration consists of a random dynamical system observed by a multi-agent network of sensors where the network is sparse. Inspired by…
Distributed estimation that recruits potentially large groups of humans to collect data about a phenomenon of interest has emerged as a paradigm applicable to a broad range of detection and estimation tasks. However, it also presents a…
We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…
We study the problem of decision-making in the setting of a scarcity of shared resources when the preferences of agents are unknown a priori and must be learned from data. Taking the two-sided matching market as a running example, we focus…
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we convert the original optimization problem involving…
The expected increase in the penetration of renewables in the approaching decade urges the electricity market to introduce new products - in particular, flexible ramping products - to accommodate the renewables' variability and…
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We study a robust contract design problem with deferred inspection, in which a principal allocates a scarce resource to an agent, observes the agent's realized outcome ex post at negligible cost, and conditions transfers on this information…
An integration of distributionally robust risk allocation into sampling-based motion planning algorithms for robots operating in uncertain environments is proposed. We perform non-uniform risk allocation by decomposing the distributionally…
Can a welfare-maximising risk-sharing rule be implemented in a large, decentralised community? We revisit the price-and-choose (P&C) mechanism of Echenique and N\'u\~nez (2025), in which players post price schedules sequentially and the…
We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for…
We examine the behavior of multi-agent networks where information-sharing is subject to a positive communications cost over the edges linking the agents. We consider a general mean-square-error formulation where all agents are interested in…