Related papers: A Risk-Sharing Framework of Bilateral Contracts
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
We study the role of regulatory inspections in a contract design problem in which a principal interacts separately with multiple agents. Each agent's hidden action includes a dimension that determines whether they undertake an extra costly…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
The current framework of network utility maximization for distributed rate allocation assumes fixed channel code rates. However, by adapting the physical layer channel coding, different rate-reliability tradeoffs can be achieved on each…
We consider a multi-agent optimal resource sharing problem that is represented by a linear program. The amount of resource to be shared is fixed, and agents belong to a population that is characterized probabilistically so as to allow…
We consider budget feasible mechanisms for procurement auctions with additive valuation functions. For the divisible case, where agents can be allocated fractionally, there exists an optimal mechanism with approximation guarantee $e/(e-1)$…
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…
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 study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…
This paper presents novel bilevel leader-follower portfolio selection problems in which the financial intermediary becomes a decision-maker. This financial intermediary decides on the unit transaction costs for investing in some securities,…
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…
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…
The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…
We study how to optimally segment monopolistic markets with a redistributive objective. We characterize optimal redistributive segmentations and show that they (i) induce the seller to price progressively, i.e., charge richer consumers…
A platform commits to a search algorithm that maps prices to search order. Given this algorithm, sellers set prices, and consumers engage in sequential search. This framework generalizes the ordered search literature. We introduce a special…
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (internalization), or trade with other dealers in the open…
With the growing use of distributed machine learning techniques, there is a growing need for data markets that allows agents to share data with each other. Nevertheless data has unique features that separates it from other commodities…
Consider a barter exchange problem over a finite set of agents, where each agent owns an item and is also associated with a (privately known) wish list of items belonging to the other agents. An outcome of the problem is a (re)allocation of…
We introduce a combinatorial variant of the cost sharing problem: several services can be provided to each player and each player values every combination of services differently. A publicly known cost function specifies the cost of…