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We introduce a minimal agent-based model to qualitatively conceptualize the allocation of limited wealth among more abundant opportunities. We study the interplay of power, satisfaction and frustration in distribution, concentration, and…
The fundamental assignment problem is in search of welfare maximization mechanisms to allocate items to agents when the private preferences over indivisible items are provided by self-interested agents. The mainstream mechanism…
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…
We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…
Data analysis based on information from several sources is common in economic and biomedical studies. This setting is often referred to as the data fusion problem, which differs from traditional missing data problems since no complete data…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
A widely applied diversification paradigm is the naive diversification choice heuristic. It stipulates that an economic agent allocates equal decision weights to given choice alternatives independent of their individual characteristics.…
Statistical agencies and other institutions collect data under the promise to protect the confidentiality of respondents. When releasing microdata samples, the risk that records can be identified must be assessed. To this aim, a widely…
We consider a model of socially interacting individuals that make a binary choice in a context of positive additive endogenous externalities. It encompasses as particular cases several models from the sociology and economics literature. We…
Managers, employers, policymakers, and others often seek to understand whether decisions are biased against certain groups. One popular analytic strategy is to estimate disparities after adjusting for observed covariates, typically with a…
Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…
In applications of predictive modeling, such as insurance pricing, indirect or proxy discrimination is an issue of major concern. Namely, there exists the possibility that protected policyholder characteristics are implicitly inferred from…
This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…
We study welfare analysis for policy changes when supply and demand behavior are only partially known. We augment the robust approach pioneered by Kang and Vasserman (2025) by incorporating the supply side. We posit intervals of feasible…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We…
Under expected utility the local index of absolute risk aversion has played a central role in many applications. Besides, its link with the "global" concepts of the risk and probability premia has reinforced its attractiveness. This paper…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
I provide a model of rational inattention with heterogeneity and prove it is observationally equivalent to a state-dependent stochastic choice model subject to attention costs. I demonstrate that additive separability of unobservable…
We propose a new nonparametric modeling framework for causal inference when outcomes depend on how agents are linked in a social or economic network. Such network interference describes a large literature on treatment spillovers, social…