Related papers: Risk exchange under infinite-mean Pareto models
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
We introduce the study of search games between a mobile Searcher and an immobile Hider in a new setting in which the Searcher has some potentially erroneous information, i.e., a prediction on the Hider's position. The objective is to…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
In this paper, we introduce reduced-bias estimators for the estimation of the tail index of a Pareto-type distribution. This is achieved through the use of a regularised weighted least squares with an exponential regression model for…
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are $n$ insurance companies each bearing a certain risk…
The purpose of this work is to develop and study a distributed strategy for Pareto optimization of an aggregate cost consisting of regularized risks. Each risk is modeled as the expectation of some loss function with unknown probability…
Economists often rely on estimates of linear fixed effects models produced by other teams of researchers. Assessing the uncertainty in these estimates can be challenging. I propose a form of sample splitting for networks that partitions the…
In the present paper, we discuss contra-arguments concerning the use of Pareto-Lev\'y distributions for modeling in Finance. It appears that such probability laws do not provide sufficient number of outliers observed in real data.…
In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we provide are obtained from concentration inequalities, and…
The statistical modeling of discrete extremes has received less attention than their continuous counterparts in the Extreme Value Theory (EVT) literature. One approach to the transition from continuous to discrete extremes is the modeling…
It is known that asset exchange models with symmetric interaction between agents show either a Gibbs/log-normal distribution of assets among the agents or condensation of the entire wealth in the hands of a single agent, depending upon the…
We study the finite-size effects in some scaling systems, and show that the finite number of agents N leads to a cut-off in the upper value of the Pareto law for the relative individual wealth. The exponent $\alpha$ of the Pareto law…
We study the classic problem of dividing a collection of indivisible resources in a fair and efficient manner among a set of agents having varied preferences. Pareto optimality is a standard notion of economic efficiency, which states that…
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. Joint exchangeability is a more general probabilistic…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of risky assets are unknown. Our approach is based on a coupling…
This paper provides a general characterization of subgame perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
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…