Related papers: A fixed point approach for computing actuarially f…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
Managing risk in dynamic decision problems is of cardinal importance in many fields such as finance and process control. The most common approach to defining risk is through various variance related criteria such as the Sharpe Ratio or the…
We extend the optimin notion of Ismail (2025) from mixed strategy profiles to correlated distributions. A correlated distribution is evaluated by the worst expected payoff each player can receive when opponents may either obey their private…
We study fair division of divisible goods under generalized assignment constraints. Here, each good has an agent-specific value and size, and every agent has a budget constraint that limits the total size of the goods she can receive. Since…
This paper introduces marginal fairness, a new individual fairness notion for equitable decision-making in the presence of protected attributes such as gender, race, and religion. This criterion ensures that decisions based on generalized…
Real-world decision and optimization problems, often involve constraints and conflicting criteria. For example, choosing a travel method must balance speed, cost, environmental footprint, and convenience. Similarly, designing an industrial…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
Ensuring fairness in machine learning models is critical, especially when biases compound across intersecting protected attributes like race, gender, and age. While existing methods address fairness for single attributes, they fail to…
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…
We consider a participatory budgeting problem in which each voter submits a proposal for how to divide a single divisible resource (such as money or time) among several possible alternatives (such as public projects or activities) and these…
We study Fisher markets that admit equilibria wherein each good is integrally assigned to some agent. While strong existence and computational guarantees are known for equilibria of Fisher markets with additive valuations, such equilibria,…
In this work, we propose a novel method to tackle the problem of multiobjective optimization under parameteric uncertainties, by considering the Conditional Pareto Sets and Conditional Pareto Fronts. Based on those quantities we can define…
Fair division is the problem of dividing one or several goods amongst two or more agents in a way that satisfies a suitable fairness criterion. These Notes provide a succinct introduction to the field. We cover three main topics. First, we…
Traditional navigation services find the fastest route for a single driver. Though always using the fastest route seems desirable for every individual, selfish behavior can have undesirable effects such as higher energy consumption and…
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where…
Mechanism design in resource allocation studies dividing limited resources among self-interested agents whose satisfaction with the allocation depends on privately held utilities. We consider the problem in a payment-free setting, with the…
Risk allocation, the decomposition of a portfolio-wide risk measure into component contributions, is a fundamental problem in financial risk management due to the non-additive nature of risk measures, the layered organizational structures…
We study the fair division problem of allocating $m$ indivisible goods to $n$ agents with additive personalized bi-valued utilities. Specifically, each agent $i$ assigns one of two positive values $a_i > b_i > 0$ to each good, indicating…
Decision making under uncertain environments in the maximization of expected reward while minimizing its risk is one of the ubiquitous problems in many subjects. Here, we introduce a novel problem setting in stochastic bandit optimization…
We consider vector fixed point (FP) equations in large dimensional spaces involving random variables, and study their realization-wise solutions. We have an underlying directed random graph, that defines the connections between various…