Related papers: Auctioning Annuities
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
A prediction market is a useful means of aggregating information about a future event. To function, the market needs a trusted entity who will verify the true outcome in the end. Motivated by the recent introduction of decentralized…
We study the price of anarchy of the first-price auction in the autobidding world, where bidders can be either utility maximizers (i.e., traditional bidders) or value maximizers (i.e., autobidders). We show that with autobidders only, the…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
Goods and services -- public housing, medical appointments, schools -- are often allocated to individuals who rank them similarly but differ in their preference intensities. We characterize optimal allocation rules when individual…
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approach and the benchmark approach, and we examine the associated…
We are interested in mechanisms that maximize social welfare. In [1] this problem was studied for multi-unit auctions with unit demand bidders and for the public project problem, and in each case social welfare undominated mechanisms in the…
Modern ad auctions allow advertisers to target more specific segments of the user population. Unfortunately, this is not always in the best interest of the ad platform. In this paper, we examine the following basic question in the context…
This paper studies a decentralized many-to-one matching market where preferences remain uncertain during the matching process. Institutions initiate matching by sending offers, and applicants decide whether to accept upon receiving them.…
In today's economy, selling a new zero-marginal cost product is a real challenge, as it is difficult to determine a product's "correct" sales price based on its profit and dissemination. As an example, think of the price of a new app or…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of…
We consider a preferential growth model where particles are added one by one to the system consisting of clusters of particles. A new particle can either form a new cluster (with probability q) or join an already existing cluster with a…
This letter considers the design of an auction mechanism to sell the object of a seller when the buyers quantize their private value estimates regarding the object prior to communicating them to the seller. The designed auction mechanism…
We study the problem of position allocation in job marketplaces, where the platform determines the ranking of the jobs for each seeker. The design of ranking mechanisms is critical to marketplace efficiency, as it influences both short-term…
We improve the best known competitive ratio (from 1/4 to 1/2), for the online multi-unit allocation problem, where the objective is to maximize the single-price revenue. Moreover, the competitive ratio of our algorithm tends to 1, as the…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
We study two standard multi-unit auction formats for allocating multiple units of a single good to multi-demand bidders. The first one is the Discriminatory Auction, which charges every winner his winning bids. The second is the Uniform…
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…