Related papers: Price Optimisation for New Business

With the rapid growth of the cloud computing marketplace, the issue of pricing resources in the cloud has been the subject of much study in recent years. In this paper, we identify and study a new issue: how to price resources in the cloud…

We consider markets consisting of a set of indivisible items, and buyers that have {\em sharp} multi-unit demand. This means that each buyer $i$ wants a specific number $d_i$ of items; a bundle of size less than $d_i$ has no value, while a…

Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…

Problem definition: We study a data-driven pricing problem in which a seller sets a price for a single item based on demand observed at a limited number of historical prices. Our goal is to quantify the value of such information and to…

We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…

We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…

In this paper we consider the problem of pricing multiple differentiated products. This is challenging as a price change in one product, not only changes the demand of that particular product, but also the demand for the other products. To…

We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-cooperative relationship between the insurer and reinsurers,…

This paper examines the market for AI models in which firms compete to provide accurate model predictions and consumers exhibit heterogeneous preferences for model accuracy. We develop a consumer-firm duopoly model to analyze how…

In markets where algorithmic data processing is increasingly prevalent, recommendation algorithms can substantially affect trade and welfare. We consider a setting in which an algorithm recommends a product based on its value to the buyer…

We study a problem of an online retailer who observes the unit sales of a product, and dynamically changes the retail price, in order to maximize the expected revenue. Assuming the demand of the product is price sensitive, we are interested…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

Indirect discrimination is an issue of major concern in algorithmic models. This is particularly the case in insurance pricing where protected policyholder characteristics are not allowed to be used for insurance pricing. Simply…

This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…

Recent transformative and disruptive advancements in the insurance industry have embraced various InsurTech innovations. In particular, with the rapid progress in data science and computational capabilities, InsurTech is able to integrate a…

In today's economy, selling a new zero-marginal cost product is a real challenge, as it is difficult to determine a product's "correct" sales price based on its profit and dissemination. As an example, think of the price of a new app or…

Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might…

We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…

This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…

This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…