Related papers: Pareto-Optimal Peer-to-Peer Risk Sharing with Robu…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
This article introduces a generalized framework for Decentralized Learning formulated as a Multi-Objective Optimization problem, in which both distributed agents and a central coordinator contribute independent, potentially conflicting…
For effective decision support in scenarios with conflicting objectives, sets of potentially optimal solutions can be presented to the decision maker. We explore both what policies these sets should contain and how such sets can be computed…
We consider a social choice setting with agents that are partitioned into disjoint groups, and have metric preferences over a set of alternatives. Our goal is to choose a single alternative aiming to optimize various objectives that are…
In economic analysis, rational decision-makers often take actions to reduce their risk exposure. These actions include purchasing market insurance and implementing prevention measures to modify the shape of the loss distribution. Under the…
Fair division is typically framed from a centralized perspective. However, in practice resource allocation often occurs via decentralized networks. We study a decentralized variant of fair division inspired by altruistic dynamics observed…
Cybersecurity risk management consists of several steps including the selection of appropriate controls to minimize risks. This is a difficult task that requires to search through all possible subsets of a set of available controls and…
Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute the worst case average value at risk in the face of tail…
We study Stackelberg Equilibria (Bowley optima) in a monopolistic centralized sequential-move insurance market, with a profit-maximizing insurer who sets premia using a distortion premium principle, and a single policyholder who seeks to…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
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…
The assignment problem is one of the most well-studied settings in social choice, matching, and discrete allocation. We consider the problem with the additional feature that agents' preferences involve uncertainty. The setting with…
We develop a general framework for incorporating distributional preferences in market design. We identify the structural properties of these preferences that guarantee the path independence of choice rules. In decentralized settings, a…
Flexible load at the demand-side has been regarded as an effective measure to cope with volatile distributed renewable generations. To unlock the demand-side flexibility, this paper proposes a peer-to-peer energy sharing mechanism that…
In this paper, we propose a fully decentralized and smart contract-based insurance protocol. We identify various issues in the Decentralized Finance (DeFi) insurance context and propose a solution to overcome these shortcomings. We…
When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses over a vector of high thresholds follow a multivariate…
In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
Recently, the problem of allocating one resource per agent with initial endowments (house markets) has seen a renewed interest: indeed, while in the domain of strict preferences the Top Trading Cycle algorithm is known to be the only…
Managing coastal flood risks involves choosing among portfolios of different options. Analyzing these choices typically requires a model. State-of-the-art coastal risk models provide detailed regional information, but can be difficult to…