Related papers: Robust Optimal Risk Sharing and Risk Premia in Exp…
Robust optimization provides a principled and unified framework to model many problems in modern operations research and computer science applications, such as risk measures minimization and adversarially robust machine learning. To use a…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
Autonomous robots are increasingly utilized in realistic scenarios with multiple complex tasks. In these scenarios, there may be a preferred way of completing all of the given tasks, but it is often in conflict with optimal execution.…
We investigate Pareto equilibria for bi-objective optimal control problems. Our framework comprises the situation in which an agent acts with a distributed control in a portion of a given domain, and aims to achieve two distinct (possibly…
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the…
We propose a distributionally robust principal agent formulation, which generalizes some common variants of worst-case and Bayesian principal agent problems. We construct a theoretical framework to certify whether any surjective contract…
The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a "good definition" of admissible strategies, so that an…
In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…
Cooperative games model the allocation of profit from joint actions, following considerations such as stability and fairness. We propose the reliability extension of such games, where agents may fail to participate in the game. In the…
Social dilemmas present a significant challenge in multi-agent cooperation because individuals are incentivised to behave in ways that undermine socially optimal outcomes. Consequently, self-interested agents often avoid collective…
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…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
This paper studies optimal insurance design under asymmetric information in a Stackelberg framework, where a monopolistic insurer faces uncertainty about both the insured's risk attitude, captured by a risk-aversion parameter, and the…
The pooling problem has applications, e.g., in petrochemical refining, water networks, and supply chains and is widely studied in global optimization. To date, it has largely been treated deterministically, neglecting the influence of…
This paper investigates two optimal insurance contracting problems under distributional uncertainty from the perspective of a potential policyholder, utilizing a Bregman-Wasserstein (BW) ball to characterize the ambiguity set of loss…
In this paper, we present Robust Model Predictive Control (MPC) problems with adjustable uncertainty sets. In contrast to standard Robust MPC problems with known uncertainty sets, we treat the uncertainty sets in our problems as additional…
When aggregating preferences of agents via voting, two desirable goals are to incentivize agents to participate in the voting process and then identify outcomes that are Pareto efficient. We consider participation as formalized by Brandl,…
Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…
In the multidimensional stable roommate problem, agents have to be allocated to rooms and have preferences over sets of potential roommates. We study the complexity of finding good allocations of agents to rooms under the assumption that…
We explore the probabilistic foundations of shared control in complex dynamic environments. In order to do this, we formulate shared control as a random process and describe the joint distribution that governs its behavior. For…