Related papers: The Risk-Sharing problem under limited liability c…

This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-variance premium principle. To eliminate potential moral…

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…

We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a…

This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…

Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…

We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…

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…

Humans exhibit time-inconsistent behavior, in which planned actions diverge from executed actions. Understanding time inconsistency and designing appropriate interventions is a key research challenge in computer science and behavioral…

We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…

This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent…

We introduce a novel model of contracts with combinatorial actions that accounts for sequential and adaptive agent behavior. As in the standard model, a principal delegates the execution of a costly project to an agent. There are $n$…

Economic theory distinguishes between principal-agent settings in which the agent has a private type and settings in which the agent takes a hidden action. Many practical problems, however, involve aspects of both. For example, brand X may…

Principal-agent problems model scenarios where a principal incentivizes an agent to take costly, unobservable actions through the provision of payments. Such problems are ubiquitous in several real-world applications, ranging from…

This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…

In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their…

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 study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump…

Combinatorial contracts are emerging as a key paradigm in algorithmic contract design, paralleling the role of combinatorial auctions in algorithmic mechanism design. In this paper we study natural combinatorial contract settings involving…

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…

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…