Related papers: Risk sharing for capital requirements with multidi…
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…
We investigate the probabilistic feasibility of randomized solutions to two distinct classes of uncertain multi-agent optimization programs. We first assume that only the constraints of the program are affected by uncertainty, while the…
This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
In the standard model of fair allocation of resources to agents, every agent has some utility for every resource, and the goal is to assign resources to agents so that the agents' welfare is maximized. Motivated by job scheduling, interest…
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: 1.…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
Cross-group externalities and network effects in two-sided platform markets shape market structure and competition policy, and are the subject of extensive study. Less understood are the within-group externalities that arise when the…
We study the problem of conditional two-sample testing, which aims to determine whether two populations have the same distribution after accounting for confounding factors. This problem commonly arises in various applications, such as…
Nowadays, both the amount of cyberattacks and their sophistication have considerably increased, and their prevention is of concern of most of organizations. Cooperation by means of information sharing is a promising strategy to address this…
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…
We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events inherently have a systemic component; we consider situations…
This paper studies the mathematical problem of allocating payouts (compensations) in an endowment contingency fund using a risk-sharing rule that satisfies full allocation. Besides the participants, an administrator manages the fund by…
A load sharing system has several components and the failure of one component can affect the lifetime of the surviving components. Since component failure does not equate to system failure for different system designs, the analysis of the…
This paper presented insights into the implementation of transactive multi-agent systems over flow networks where local resources are decentralized. Agents have local resource demand and supply, and are interconnected through a flow network…
We study how to allocate resources to participants who can strategically misrepresent their deservingness at a cost. A principal assigns item(s) (or money) among multiple agents on the basis of their costly signals. Each agent's signal…
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In constructing this modeling framework, we introduce a…
Regulatory requirements dictate that financial institutions must calculate risk capital (funds that must be retained to cover future losses) at least annually. Procedures for doing this have been well-established for many years, but recent…
Herding, where investors imitate others' decisions rather than relying on their own analysis, is a prevalent phenomenon in financial markets. Excessive herding distorts rational decisions, amplifies volatility, and can be exploited by…
We study a problem where a group of agents has to decide how a joint reward should be shared among them. We focus on settings where the share that each agent receives depends on the subjective opinions of its peers concerning that agent's…