Related papers: Dual theory of choice with multivariate risks
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
We establish a connection between dependence structures and subclasses of distortion riskmetrics under which the latter are additive. A new notion of positive dependence, called partial comonotonicity, is developed, which nests the existing…
In this paper we study multivariate ranks and quantiles, defined using the theory of optimal transport, and build on the work of Chernozhukov et al.(2017) and Hallin et al.(2021). We study the characterization, computation and properties of…
We demonstrate that behavioral probabilities of human decision makers share many common features with quantum probabilities. This does not imply that humans are some quantum objects, but just shows that the mathematics of quantum theory is…
The fundamental problem underlying all multi-criteria decision analysis (MCDA) problems is that of dominance between any two alternatives: "Given two alternatives A and B, each described by a set criteria, is A preferred to B with respect…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both…
In this paper, we introduce a new model of selection behavior under risk that describes an essential cognitive process for comparing values of objects and making a selection decision. This model is constructed by the quantum-like approach…
A principal screens an agent with an arbitrary set of allocations $X$. The agent's preferences over allocations are comonotonic. A subset of allocations $X^*\subseteq X$ is a surplus-elasticity frontier if (i) any other allocation has a…
A researcher allocates a budget of informative tests across multiple unknown attributes to influence a decision-maker. We derive the researcher's equilibrium learning strategy by solving an auxiliary single-player problem. The attribute…
We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the…
The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly…
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the use of parametric families of copulae. Our…
We consider a monopoly insurance market with a risk-neutral profit-maximizing insurer and a consumer with Yaari Dual Utility preferences that distort the given continuous loss distribution. The insurer observes the loss distribution but not…
We initiate a novel direction in randomized social choice by proposing a new definition of agent utility for randomized outcomes. Each agent has a preference over all outcomes and a {\em quantile} parameter. Given a {\em lottery} over the…
This paper studies the strategic manipulation of set-valued social choice functions according to Kelly's preference extension, which prescribes that one set of alternatives is preferred to another if and only if all elements of the former…
The early sections of this paper present an analysis of a Markov decision model that is known as the multi-armed bandit under the assumption that the utility function of the decision maker is either linear or exponential. The analysis…
Quantiles are a fundamental concept in probability and theoretical statistics and a daily tool in their applications. While the univariate concept of quantiles is quite clear and well understood, its multivariate extension is more…