Related papers: Risk exchange under infinite-mean Pareto models
Autonomous robots are increasingly utilized in realistic scenarios with multiple complex tasks. In these scenarios, there may be a preferred way of completing all of the given tasks, but it is often in conflict with optimal execution.…
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
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…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
Current approaches to group fairness in federated learning assume the existence of predefined and labeled sensitive groups during training. However, due to factors ranging from emerging regulations to dynamics and location-dependency of…
The purpose of this paper is to discuss empirical risk minimization when the losses are not necessarily bounded and may have a distribution with heavy tails. In such situations, usual empirical averages may fail to provide reliable…
Recognizing that asset markets generally exhibit shared informational characteristics, we develop a portfolio strategy based on transfer learning that leverages cross-market information to enhance the investment performance in the market of…
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…
We develop an unsupervised mixture model for non-negative, skewed and heavy-tailed data, such as losses in actuarial and risk management applications. The mixture has a lognormal component, which is usually appropriate for the body of the…
We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
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…
The existence of large and extreme claims of a non-life insurance portfolio influences the ability of (re)insurers to estimate the reserve. The excess over-threshold method provides a way to capture and model the typical behaviour of…
This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability…
We present an approach to the dynamic valuation of exposure risks in the multi-period setting, which incorporates a dynamic and multiple diversification of risks in Pareto optimal sense. This approach extends classical indifference premium…
We investigate the problem of wealth distribution from the viewpoint of asset exchange. Robust nature of Pareto's law across economies, ideologies and nations suggests that this could be an outcome of trading strategies. However, the simple…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
We investigate Pareto equilibria for bi-objective optimal control problems. Our framework comprises the situation in which an agent acts with a distributed control in a portion of a given domain, and aims to achieve two distinct (possibly…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…