Related papers: Risk sharing under heterogeneous beliefs without c…

The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision…

In recent times, various distributed optimization algorithms have been proposed for whose specific agent dynamics global optimality and convergence is proven. However, there exist no general conditions for the design of such algorithms. In…

We develop a framework for convexifying a fairly general class of optimization problems. Under additional assumptions, we analyze the suboptimality of the solution to the convexified problem relative to the original nonconvex problem and…

In several social choice problems, agents collectively make decisions over the allocation of multiple divisible and heterogeneous resources with capacity constraints to maximize utilitarian social welfare. The agents are constrained through…

We study the problem in which a central planner sequentially allocates a single resource to multiple strategic agents using their utility reports at each round, but without using any monetary transfers. We consider general agent utility…

This paper investigates large-population stochastic control problems in which agents share their state information and cooperate to minimize a convex cost functional. The latter is decomposed into individual and coupling costs, with the…

For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and the aggregated risk in the market. Risk is measured by…

We propose a method for analyzing the distributed random coordinate descent algorithm for solving separable resource allocation problems in the context of an open multiagent system, where agents can be replaced during the process. In…

We study a sequential decision-making model where a set of items is repeatedly matched to the same set of agents over multiple rounds. The objective is to determine a sequence of matchings that either maximizes the utility of the least…

We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability distribution on the price; in…

We consider a problem where multiple agents must learn an action profile that maximises the sum of their utilities in a distributed manner. The agents are assumed to have no knowledge of either the utility functions or the actions and…

This paper aims at distributed multi-agent convex optimization where the communications network among the agents are presented by a random sequence of possibly state-dependent weighted graphs. This is the first work to consider both random…

We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose…

We define and analyze a multi-agent multi-armed bandit problem in which decision-making agents can observe the choices and rewards of their neighbors. Neighbors are defined by a network graph with heterogeneous and stochastic…

We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to belong to a set of acceptable risks, assumed to be a convex…

In the collective-risk social dilemma, players lose their personal endowments if contributions to the common pool are too small. This fact alone, however, does not always deter selfish individuals from defecting. The temptations to…

We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…

We consider the problem of allocating heterogeneous and indivisible goods among strategic agents, with preferences over subsets of goods, when there is no medium of exchange. This model captures the well studied problem of fair allocation…

We study a class of stochastic optimal design problems for elliptic partial differential equations in divergence form, where the coefficients represent mixtures of two conducting materials. The objective is to minimize a generalized risk…

Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…