Related papers: Auctioning Annuities
An auction house cannot generally provide the optimal auction technology to every client. Instead it provides one or several auction technologies, and clients select the most appropriate one. For example, eBay provides ascending auctions…
Simultaneous item auctions are simple procedures for allocating items to bidders with potentially complex preferences over different item sets. In a simultaneous auction, every bidder submits bids on all items simultaneously. The allocation…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
In auction and matching markets, estimating the welfare effects of demand-side treatments is challenging because of spillovers through the mechanism. We develop a quasi-experimental approach that avoids parametric assumptions typically…
This seems to be the first English translation of this paper from the French original, ``Sur les rentes viageres''. In the paper, Euler gives a general formula for calculating the price of a life annuity that yields a certain amount per…
This paper studies inference in first-price and second-price sealed-bid auctions with many bidders, using an asymptotic framework where the number of bidders increases while the number of auctions remains fixed. Our approach enables…
Investigating potential purchases is often a substantial investment under uncertainty. Standard market designs, such as simultaneous or English auctions, compound this with uncertainty about the price a bidder will have to pay in order to…
A single unit of a good is sold to one of two bidders. Each bidder has either a high prior valuation or a low prior valuation for the good. Their prior valuations are independently and identically distributed. Each bidder may observe an…
This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…
Auctions via social network, pioneered by Li et al. (2017), have been attracting considerable attention in the literature of mechanism design for auctions. However, no known mechanism has satisfied strategy-proofness, non-deficit,…
We study the question of setting and testing reserve prices in single item auctions when the bidders are not identical. At a high level, there are two generalizations of the standard second price auction: in the lazy version we first…
The Artificial Prediction Market is a recent machine learning technique for multi-class classification, inspired from the financial markets. It involves a number of trained market participants that bet on the possible outcomes and are…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
We propose and analyze differentially private (DP) mechanisms for call auctions as an alternative to the complex and ad-hoc privacy efforts that are common in modern electronic markets. We prove that the number of shares cleared in the DP…
We design a fixed-price auction mechanism for a seller to sell multiple items in a tree-structured market. The buyers have independently drawn valuation from a uniform distribution, and the seller would like to incentivize buyers to invite…
Auctions for perishable goods such as internet ad inventory need to make real-time allocation and pricing decisions as the supply of the good arrives in an online manner, without knowing the entire supply in advance. These allocation and…
In this paper, we propose a novel methodology for pricing equity-indexed annuities featuring cliquet-style payoff structures and early surrender risk, using advanced financial modeling techniques. Specifically, the market is modeled by an…