Related papers: Risk sharing, measuring variability, and distortio…
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…
Constrained submodular set function maximization problems often appear in multi-agent decision-making problems with a discrete feasible set. A prominent example is the problem of multi-agent mobile sensor placement over a discrete domain.…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
The key concepts (calibration, discrimination, and discordance) important in understanding and comparing risk models are best conveyed graphically. To illustrate this, models predicting death and acute kidney injury in a large cohort of PCI…
Social choice theory offers a wealth of approaches for selecting a candidate on behalf of voters based on their reported preference rankings over options. When voters have underlying utilities for these options, however, using preference…
In optimization problems, the quality of a candidate solution can be characterized by the optimality gap. For most stochastic optimization problems, this gap must be statistically estimated. We show that for risk-averse problems, standard…
An integration of distributionally robust risk allocation into sampling-based motion planning algorithms for robots operating in uncertain environments is proposed. We perform non-uniform risk allocation by decomposing the distributionally…
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
Complex engineered systems require coordinated design choices across heterogeneous components under multiple conflicting objectives and uncertain specifications. Monotone co-design provides a compositional framework for such problems by…
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…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
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 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…
In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…
We introduce an extension of the Optimal Transport problem when multiple costs are involved. Considering each cost as an agent, we aim to share equally between agents the work of transporting one distribution to another. To do so, we…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
It is well-known that an $\mathbb{R}$-valued random vector $(X_1, X_2, \cdots, X_n)$ is comonotonic if and only if $(X_1, X_2, \cdots, X_n)$ and $(Q_1(U), Q_2(U),\cdots, Q_n(U))$ coincide \emph{in distribution}, for \emph{any} random…
This paper introduces a general framework for risk-sensitive bandits that integrates the notions of risk-sensitive objectives by adopting a rich class of distortion riskmetrics. The introduced framework subsumes the various existing…
Given an initial resource allocation, where some agents may envy others or where a different distribution of resources might lead to higher social welfare, our goal is to improve the allocation without reassigning resources. We consider a…