Related papers: Risk sharing under heterogeneous beliefs without c…
In this work we formulate and formally characterize group fairness as a multi-objective optimization problem, where each sensitive group risk is a separate objective. We propose a fairness criterion where a classifier achieves minimax risk…
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…
We study the problem of allocating indivisible items to agents with additive valuations, under the additional constraint that bundles must be connected in an underlying item graph. Previous work has considered the existence and complexity…
We extend the optimin notion of Ismail (2025) from mixed strategy profiles to correlated distributions. A correlated distribution is evaluated by the worst expected payoff each player can receive when opponents may either obey their private…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
Over the past decade alternatives to traditional insurance and banking have grown in popularity. The desire to encourage local participation has lead products such as peer-to-peer insurance, reciprocal contracts, and decentralized finance…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses over a vector of high thresholds follow a multivariate…
Designing fair algorithmic decision systems requires balancing model performance with fairness toward affected individuals: More fairness might require sacrificing some performance and vice versa, yet the space of possible trade-offs is…
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by $\phi$-divergences. The risk measures are allowed to be non-linear in probabilities, are represented by Choquet…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
We formulate and study the algorithmic mechanism design problem for a general class of resource allocation settings, where the center redistributes the private resources brought by individuals. Money transfer is forbidden. Distinct from the…
In multi-objective optimization, a single decision vector must balance the trade-offs between many objectives. Solutions achieving an optimal trade-off are said to be Pareto optimal: these are decision vectors for which improving any one…
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…