Related papers: Risk sharing for capital requirements with multidi…
We consider a setting in which a group of agents share resources that must be allocated among them in each discrete time period. Agents have time-varying demands and derive constant marginal utility from each unit of resource received up to…
Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been observed in many parts of the world. Some attributing factors…
We study the problem of fairly allocating indivisible goods when limited sharing is allowed, that is, each good may be allocated to up to $k$ agents, while incurring a cost for sharing. While classic maximin share (MMS) allocations may not…
We introduce and study a model of an interacting population of agents who collaborate in groups which compete for limited resources. Groups are formed by random matching agents and their worth is determined by the sum of the efforts…
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such…
With the increasing number of internet-based resources and applications, the amount of attacks faced by companies has increased significantly in the past years. Likewise, the techniques to test security and emulate attacks need to be…
Institutions and investors are constantly faced with the challenge of appropriately distributing endowments. No budget is limitless and optimising overall spending without sacrificing positive outcomes has been approached and resolved using…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
In this paper, we deal with risk evaluation and risk-averse optimization of complex distributed systems with general risk functionals. We postulate a novel set of axioms for the functionals evaluating the total risk of the system. We derive…
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a market clearing…
Many-to-one matching markets exist in numerous different forms, such as college admissions, matching medical interns to hospitals for residencies, assigning housing to college students, and the classic firms and workers market. In all these…
Algorithmic fairness in recommender systems requires close attention to the needs of a diverse set of stakeholders that may have competing interests. Previous work in this area has often been limited by fixed, single-objective definitions…
This paper addresses the problem of collaboratively satisfying long-term spatial constraints in multi-agent systems. Each agent is subject to spatial constraints, expressed as inequalities, which may depend on the positions of other agents…
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 study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are represented by several probability measures. We obtain…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all…
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources…
Quantum coherence was recently formalized as a physical resource to measure the strength of superposition. Based on the resource theory, we present a systematic framework that connects a coherence measure to the security of quantum key…