Related papers: Risk exchange under infinite-mean Pareto models

In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…

Multi-agent optimization problems with many objective functions have drawn much interest over the past two decades. Many works on the subject minimize the sum of objective functions, which implicitly carries a decision about the problem…

In a dynamic matching market, such as a marriage or job market, how should agents balance accepting a proposed match with the cost of continuing their search? We consider this problem in a discrete setting, in which agents have cardinal…

For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…

In multi-objective optimization, the set of optimal trade-offs -- the Pareto front -- often contains regions that are extremely steep or flat. The Pareto optimal points in these regions are typically of limited interest for decision-making,…

We examine the behavior of multi-agent networks where information-sharing is subject to a positive communications cost over the edges linking the agents. We consider a general mean-square-error formulation where all agents are interested in…

Although resource-limited networked autonomous systems must be able to efficiently and effectively accomplish tasks, better conservation of resources often results in worse task performance. We specifically address the problem of finding…

Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and management. When choosing to model the marginal distributions of…

This paper studies the distributed optimization problem under the influence of heavy-tailed gradient noises. Here, a heavy-tailed noise means that the noise does not necessarily satisfy the bounded variance assumption. Instead, it satisfies…

On the framework of the Linear Farmer's Model, we approach the indeterminacy of agents' behaviour by associating with each agent an unconditional probability for her to be active at each time step. We show that Pareto tailed returns can…

We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…

Multi-objective optimization is a widely studied problem in diverse fields, such as engineering and finance, that seeks to identify a set of non-dominated solutions that provide optimal trade-offs among competing objectives. However, the…

This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…

This article contains new tools for studying the shape of the stationary distribution of sizes in a dynamic economic system in which units experience random multiplicative shocks and are occasionally reset. Each unit has a Markov-switching…

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…

We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky…

We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…

The combination of the Bayesian game and learning has a rich history, with the idea of controlling a single agent in a system composed of multiple agents with unknown behaviors given a set of types, each specifying a possible behavior for…

We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…

We study a monopolistic insurance market with hidden information, where the agent's type $\theta$ is private information that is unobservable to the insurer, and it is drawn from a continuum of types. The hidden type affects both the loss…