Related papers: Nash Equilibria in Optimal Reinsurance Bargaining
We study the distribution of strategies in a large game that models how agents choose among different double auction markets. We classify the possible mean field Nash equilibria, which include potentially segregated states where an agent…
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…
We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…
We consider multi-agent decision making where each agent's cost function depends on all agents' strategies. We propose a distributed algorithm to learn a Nash equilibrium, whereby each agent uses only obtained values of her cost function at…
In this work we introduce a new model of decision-making by agents in a social network. Agents have innate preferences over the strategies but, because of the social interactions, the decision of the agents are not only affected by their…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
Reinforcement learning has been shown to be an effective strategy for automatically training policies for challenging control problems. Focusing on non-cooperative multi-agent systems, we propose a novel reinforcement learning framework for…
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,…
Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…
We characterize Nash equilibrium by postulating coherent behavior across varying games. Nash equilibrium is the only solution concept that satisfies the following axioms: (i) strictly dominant actions are played with positive probability,…
Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in…
In bandwidth allocation, competing agents wish to transmit data along paths of links in a network, and each agent's utility is equal to the minimum bandwidth she receives among all links in her desired path. Recent market mechanisms for…
Multi-agent games are becoming an increasing prevalent formalism for the study of electronic commerce and auctions. The speed at which transactions can take place and the growing complexity of electronic marketplaces makes the study of…
We consider a model of a reinsurance market consisting of multiple insurers on the demand side and multiple reinsurers on the supply side, thereby providing a unifying framework and extension of the recent literature on optimality and…
We study $k$-price auctions in a complete information environment and characterize all pure-strategy Nash equilibrium outcomes. In a setting with $n$ agents having ordered valuations, we show that any agent, except those with the lowest…
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, $N$ agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off…
We study the price of anarchy of mechanisms in the presence of risk-averse agents. Previous work has focused on agents with quasilinear utilities, possibly with a budget. Our model subsumes this as a special case but also captures that…