Related papers: Nash Equilibria in Optimal Reinsurance Bargaining
We consider a class of interdependent security games on networks where each node chooses a personal level of security investment. The attack probability experienced by a node is a function of her own investment and the investment by her…
This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underreporting by the insureds and competitive pricing between the…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…
A significant roadblock to the development of principled multi-agent reinforcement learning is the fact that desired solution concepts like Nash equilibria may be intractable to compute. To overcome this obstacle, we take inspiration from…
We provide sufficient conditions for semi-nonparametric point identification of a mixture model of decision making under risk, when agents make choices in multiple lines of insurance coverage (contexts) by purchasing a bundle. As a first…
In the traditional game-theoretic set up, where agents select actions and experience corresponding utilities, an equilibrium is a configuration where no agent can improve their utility by unilaterally switching to a different action. In…
In single-agent Markov decision processes, an agent can optimize its policy based on the interaction with environment. In multi-player Markov games (MGs), however, the interaction is non-stationary due to the behaviors of other players, so…
This paper considers coverage games in which a group of agents are tasked with identifying the highest-value subset of resources; in this context, game-theoretic approaches are known to yield Nash equilibria within a factor of 2 of optimal.…
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…
Nash equilibrium is a common solution concept that captures strategic interaction in electricity market analysis. However, it requires a fundamental but impractical assumption that all market participants are fully rational, implying…
Forecast reconciliation is considered an effective method to achieve coherence (within a forecast hierarchy) and to improve forecast quality. However, the value of reconciled forecasts in downstream decision-making tasks has been mostly…
In response to a change, individuals may choose to follow the responses of their friends or, alternatively, to change their friends. To model these decisions, consider a game where players choose their behaviors and friendships. In…
Many real-world systems are composed of interdependent networks that rely on one another. Such networks are typically designed and operated by different entities, who aim at maximizing their own payoffs. There exists a game among these…
We investigate the behavior of equilibria in an $M/M/1$ feedback queue where price and time sensitive customers are homogeneous with respect to service valuation and cost per unit time of waiting. Upon arrival, customers can observe the…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
This paper introduces risk-revising players to a class of games with incomplete information. These players enter the game with ex ante risk preferences represented by coherent risk measures and develop time-consistent interim revisions of…
We consider existence and uniqueness of Nash equilibria in an $N$-player game of utility maximization under relative performance criteria of multiplicative form in complete semimartingale markets. For a large class of players' utility…
We study a multi-agent contracting problem where agents exert costly effort to achieve individually observable binary outcomes. While the principal can theoretically extract the full social welfare using a discriminatory contract that…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
A growing line of work reframes preference-based fine-tuning of large language models game-theoretically: Nash Learning from Human Feedback (NLHF) recasts the problem as a zero-sum game over policies. However, optimization is over expected…