Related papers: A General Theory of Risk Sharing
The collective risk model differentiates usually between claims frequencies (and their distribution) and claim sizes (and their distribution). For the claims frequencies typically classical discrete distributions are considered, such as…
The concept of shared value was introduced by Porter and Kramer as a new conception of capitalism. Shared value describes the strategy of organizations that simultaneously enhance their competitiveness and the social conditions of related…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…
We introduce a distributed, cooperative framework and method for Bayesian estimation and control in decentralized agent networks. Our framework combines joint estimation of time-varying global and local states with information-seeking…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
This work proposes a novel risk-perception-aware (RPA) control design using non-rational perception of risks associated with uncertain dynamic spatial costs. We use Cumulative Prospect Theory (CPT) to model the risk perception of a decision…
A new class of general exponential ranking models is introduced which we label angle-based models for ranking data. A consensus score vector is assumed, which assigns scores to a set of items, where the scores reflect a consensus view of…
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and…
The collective risk model (CRM) for frequency and severity is an important tool for retail insurance ratemaking, macro-level catastrophic risk forecasting, as well as operational risk in banking regulation. This model, which is initially…
We present a new strategic voting model where we use uncertainty representation to model preferences. Specifically, we use probability sets as uncertainty representations, together with lower and upper expected utility gains to take…
This paper proposes new estimators for the propensity score that aim to maximize the covariate distribution balance among different treatment groups. Heuristically, our proposed procedure attempts to estimate a propensity score model by…
We propose a multivariate extension of Yaari's dual theory of choice under risk. We show that a decision maker with a preference relation on multidimensional prospects that preserves first order stochastic dominance and satisfies…
We present a new uncertainty principle for risk-aware statistical estimation, effectively quantifying the inherent trade-off between mean squared error ($\mse$) and risk, the latter measured by the associated average predictive squared…
Motivated by the development of dynamics in probability spaces, we propose a novel multi-agent dynamic of consensus type where each agent is a probability measure. The agents move instantaneously towards a weighted barycenter of the…
This paper presented insights into the implementation of transactive multi-agent systems over flow networks where local resources are decentralized. Agents have local resource demand and supply, and are interconnected through a flow network…
A new modeling framework for bipartite social networks arising from a sequence of partially time-ordered relational events is proposed. We directly model the joint distribution of the binary variables indicating if each single actor is…
Risk-sharing is one way to pool risks without the need for a third party. To ensure the attractiveness of such a system, the rule should be accepted and understood by all participants. A desirable risk-sharing rule should fulfill actuarial…