Related papers: Risk sharing, measuring variability, and distortio…
We study social choice rules under the utilitarian distortion framework, with an additional metric assumption on the agents' costs over the alternatives. In this approach, these costs are given by an underlying metric on the set of all…
We study the problem of allocating indivisible goods among agents with additive valuation functions to achieve both fairness and efficiency under the constraint that each agent receives exactly the same number of goods (the \emph{balanced…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
Parameter sharing, as an important technique in multi-agent systems, can effectively solve the scalability issue in large-scale agent problems. However, the effectiveness of parameter sharing largely depends on the environment setting. When…
We study randomly distorted Choquet integrals with respect to a capacity c on a measurable space ({\Omega},F), where the capacity c is distorted by a G-measurable random distortion function (with G a sub-{\sigma}-algebra of F). We establish…
Probabilistic risk aversion, defined through quasi-convexity in probabilistic mixtures, is a common useful property in decision analysis. We study a general class of non-monotone mappings, called the generalized rank-dependent functions,…
We consider fair allocation of indivisible items under additive utilities. When the utilities can be negative, the existence and complexity of an allocation that satisfies Pareto optimality and proportionality up to one item (PROP1) is an…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk contributions…
In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are represented by several probability measures. We obtain…
We study allocation problems without monetary transfers where agents have correlated types, i.e., hold private information about one another. Such peer information is relevant in various settings, including science funding, allocation of…
The paper deals with the distributed minimum sharing problem: a set of decision-makers compute the minimum of some local quantities of interest in a distributed and decentralized way by exchanging information through a communication…
Various members of the class of weighted insurance premiums and risk capital allocation rules have been researched from a number of perspectives. Corresponding formulas in the case of parametric families of distributions have been derived,…
With the growing use of distributed machine learning techniques, there is a growing need for data markets that allows agents to share data with each other. Nevertheless data has unique features that separates it from other commodities…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with…
In high-risk environments, traditional indemnity insurance is often unaffordable or ineffective, despite its well-known optimality under expected utility. We compare excess-of-loss indemnity insurance with parametric insurance within a…
Social dilemmas present a significant challenge in multi-agent cooperation because individuals are incentivised to behave in ways that undermine socially optimal outcomes. Consequently, self-interested agents often avoid collective…
Discontinuities can be fairly arbitrary but also cause a significant impact on outcomes in larger systems. Indeed, their arbitrariness is why they have been used to infer causal relationships among variables in numerous settings. Regression…
We have numerically simulated the ideal-gas models of trading markets, where each agent is identified with a gas molecule and each trading as an elastic or money-conserving two-body collision. Unlike in the ideal gas, we introduce…