Related papers: The Texas Shootout under Uncertainty
An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…
In multi-item screening, optimal selling mechanisms are challenging to characterize and implement, even with full knowledge of valuation distributions. In this paper, we aim to develop tractable, interpretable, and implementable mechanisms…
We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks…
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…
This paper deals with uncertainty quantification and out-of-distribution detection in deep learning using Bayesian and ensemble methods. It proposes a practical solution to the lack of prediction diversity observed recently for standard…
The distribution of a neural network's latent representations has been successfully used to detect out-of-distribution (OOD) data. This work investigates whether this distribution moreover correlates with a model's epistemic uncertainty,…
This article considers the problem of risk-optimal allocation of security measures when the actuators of an uncertain control system are under attack. We consider an adversary injecting false data into the actuator channels. The attack…
We initiate the study of how auction design affects the division of surplus among buyers. We propose a parsimonious measure for equity and apply it to the family of standard auctions for homogeneous goods. Our surplus-equitable mechanism is…
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only…
The main objective of this paper is to outline a theoretical framework to analyse how humans' decision-making strategies under uncertainty manage the trade-off between information gathering (exploration) and reward seeking (exploitation). A…
We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes.…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend…
In this paper, we model the cash surplus (or equity) of a risky business with a Brownian motion. Owners can take cash out of the surplus in the form of "dividends", subject to transaction costs. However, if the surplus hits 0 then ruin…
The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…
This work addresses learning online fair division under uncertainty, where a central planner sequentially allocates items without precise knowledge of agents' values or utilities. Departing from conventional online algorithm, the planner…
We consider auctions in which the players have very limited knowledge about their own valuations. Specifically, the only information that a Knightian player $i$ has about the profile of true valuations, $\theta^*$, consists of a set of…
Can a welfare-maximising risk-sharing rule be implemented in a large, decentralised community? We revisit the price-and-choose (P&C) mechanism of Echenique and N\'u\~nez (2025), in which players post price schedules sequentially and the…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
Cr\'emer and McLean [1985] showed that, when buyers' valuations are drawn from a correlated distribution, an auction with full knowledge on the distribution can extract the full social surplus. We study whether this phenomenon persists when…