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Federated Learning (FL) is a distributed machine learning scheme that enables clients to train a shared global model without exchanging local data. The presence of label noise can severely degrade the FL performance, and some existing…
We study the robust regulation of contracts in moral hazard problems. A firm offers a contract to incentivise a worker protected by limited liability. A regulator restricts the set of permissible contracts to (i) improve efficiency and (ii)…
In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cram\'{e}r-Lundberg risk model embedded with the thinning-dependence structure which was firstly introduced by Wang and Yuen (2005),…
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and capital injections follows a spectrally positive Markov…
In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative L\'evy process. Drawdown and drawup refer to the differences between the…
Supply chain disruption can occur for a variety of reasons, including natural disasters or market dynamics for which resilient strategies should be designed. If the disruption is profound and with dire consequences for the economy, it calls…
We perform a detailed theoretical study of the value of a class of participating policies with four key features: $(i)$ the policyholder is guaranteed a minimum interest rate on the policy reserve; $(ii)$ the contract can be terminated by…
We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…
The ski rental problem is a canonical model for online decision-making under uncertainty, capturing the fundamental trade-off between repeated rental costs and a one-time purchase. While classical algorithms focus on worst-case competitive…
We evaluate subsidy mechanisms in the FCC's Rural Health Care program using administrative data covering the full population of participants. The original price-cap mechanism removes cost-containment incentives for health care providers. An…
In this paper, we study a fixed-confidence, fixed-tolerance formulation of a class of stochastic bi-level optimization problems, where the upper-level problem selects from a finite set of systems based on a performance metric, and the…
The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…
We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error.…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
The primary contribution of this paper resides in devising constant-factor approximation guarantees for revenue maximization in two-sided matching markets, under general pairwise rewards. A major distinction between our work and…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
This paper examines the biases and performance of several uncertain inference systems: Mycin, a variant of Mycin. and a simplified version of probability using conditional independence assumptions. We present axiomatic arguments for using…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
Accuracy and interpretability of a (non-life) insurance pricing model are essential qualities to ensure fair and transparent premiums for policy-holders, that reflect their risk. In recent years, the classification and regression trees…
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…