Related papers: Wealth heterogeneity in a closed pooled annuity fu…
In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market setting where the wage cannot be perfectly hedged through…
Alignment with human preferences is commonly framed using a universal reward function, even though human preferences are inherently heterogeneous. We formalize this heterogeneity by introducing user types and examine the limits of the…
Federated learning (FL) is a collaborative and privacy-preserving Machine Learning paradigm, allowing the development of robust models without the need to centralize sensitive data. A critical challenge in FL lies in fairly and accurately…
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…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return, the insurer is required to make a series of payments…
A social network confers benefits and advantages on individuals (and on groups), the literature refers to these advantages as social capital. This paper presents a micro-founded mathematical model of the evolution of a social network and of…
Data for many nations show a long-run increase, over many decades, of income, indexed by GDP per capita, and population health, indexed by mortality or life expectancy at birth (LEB). However, the short-run and long-run relationships…
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
In this paper we examine the existence of heterogeneity within a group, in panels with latent grouping structure. The assumption of within group homogeneity is prevalent in this literature, implying that the formation of groups alleviates…
Refundable income annuities (IA), such as cash-refund and instalment-refund, differ in material ways from the life-only version beloved by economists. In addition to lifetime income they guarantee the annuitant or beneficiary will receive…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
Aggregation sets, which represent model uncertainty due to unknown dependence, are an important object in the study of robust risk aggregation. In this paper, we investigate ordering relations between two aggregation sets for which the sets…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe financial contagion model in which the nominal interbank…
This study presents a model that examines how families make decisions about having children, managing resources, and planning for their financial security in light of social and economic factors. It explores the balance between the number…
Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…
This paper delves into financial markets that incorporate a novel form of heterogeneity among investors, specifically in terms of their beliefs regarding the reliability of signals in the business cycle economy model, which may be biased.…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…