Related papers: Insuring uninsurable income
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity…
In this work we introduce a variant of the Yule-Simon model for preferential growth by incorporating a finite kernel to model the effects of bounded memory. We characterize the properties of the model combining analytical arguments with…
We present a simple model that uses time series momentum in order to construct strategies that systematically outperform their benchmark. The simplicity of our model is elegant: We only require a benchmark time series and several related…
We study balanced exchange problems in which agents with responsive preferences are endowed with multiple indivisible objects and can trade without transfers (e.g. shift exchange, time-banking). Eliciting full preferences over bundles is…
The first-price auction is popular in practice for its simplicity and transparency. Moreover, its potential virtues grow in complex settings where incentive compatible auctions may generate little or no revenue. Unfortunately, the…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
I examine global dynamics in a monetary model with overlapping generations of finite-horizon agents and a binding lower bound on nominal interest rates. Debt targeting rules exacerbate the possibility of self-fulfilling liquidity traps, for…
In this paper, we show a tight approximation guarantee for budget-feasible mechanisms with an additive buyer. We propose a new simple randomized mechanism with approximation ratio of $2$, improving the previous best known result of $3$. Our…
We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…
Systems of interacting continuous-time Markov chains are a powerful model class, but inference is typically intractable in high dimensional settings. Auxiliary information, such as noisy observations, is typically only available at discrete…
A celebrated impossibility result by Myerson and Satterthwaite (1983) shows that any truthful mechanism for two-sided markets that maximizes social welfare must run a deficit, resulting in a necessity to relax welfare efficiency and the use…
Efficient exploration remains a challenging problem in reinforcement learning, especially for those tasks where rewards from environments are sparse. A commonly used approach for exploring such environments is to introduce some "intrinsic"…
A system of non-tradable credits that flow between individuals like karma, hence proposed under that name, is a mechanism for repeated resource allocation that comes with attractive efficiency and fairness properties, in theory. In this…
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…
Motivated by the need to analyze continuously updated data sets in the context of time-to-event modeling, we propose a novel nonparametric approach to estimate the conditional hazard function given a set of continuous and discrete…
Opportunities such as higher education can promote intergenerational mobility, leading individuals to achieve levels of socioeconomic status above that of their parents. We develop a dynamic model for allocating such opportunities in a…
Approximating time-varying unobserved heterogeneity by discrete types has become increasingly popular in economics. Yet, provably valid post-clustering inference for target parameters in models that do not impose an exact group structure is…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
This paper derives primitive, easily verifiable sufficient conditions for existence and uniqueness of (stochastic) recursive utilities for several important classes of preferences. In order to accommodate models commonly used in practice,…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…