Related papers: A General Theory of Risk Sharing
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, which associates various classes of insurance contracts with…
Social recommendation leverages social information to solve data sparsity and cold-start problems in traditional collaborative filtering methods. However, most existing models assume that social effects from friend users are static and…
Standard decision theory seeks conditions under which a preference relation can be compressed into a single real-valued function. However, when preferences are incomplete or intransitive, a single function fails to capture the agent's…
Ensuring generalization to unseen environments remains a challenge. Domain shift can lead to substantially degraded performance unless shifts are well-exercised within the available training environments. We introduce a simple robust…
Real-world signals typically span across multiple dimensions, that is, they naturally reside on multi-way data structures referred to as tensors. In contrast to standard ``flat-view'' multivariate matrix models which are agnostic to data…
In this paper, we consider a situation where a decision maker's (DM's) risk preference can be described by a spectral risk measure (SRM) but there is not a single SRM which can be used to represent the DM's preferences consistently.…
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space…
This paper introduces a novel social preference-aware decentralized safe control framework to address the responsibility allocation problem in multi-agent collision avoidance. Considering that agents do not necessarily cooperate in…
Parameter sharing is a key strategy in multi-agent reinforcement learning (MARL) for improving scalability, yet conventional fully shared architectures often collapse into homogeneous behaviors. Recent methods introduce diversity through…
We consider a sharing economy network where agents embedded in a graph share their resources. This is a fundamental model that abstracts numerous emerging applications of collaborative consumption systems. The agents generate a random…
This paper presents the foundational ideas for a new way of modeling social aggregation. Traditional approaches have been using network theory, and the theory of random networks. Under that paradigm, every social agent is represented by a…
We propose a generalization of the random matrix theory following the basic prescription of the recently suggested concept of superstatistics. Spectral characteristics of systems with mixed regular-chaotic dynamics are expressed as weighted…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…
Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The factors, which account for the systematic risk,…
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…
Distribution data refers to a data set where each sample is represented as a probability distribution, a subject area receiving burgeoning interest in the field of statistics. Although several studies have developed…
When machine learning models are deployed on a test distribution different from the training distribution, they can perform poorly, but overestimate their performance. In this work, we aim to better estimate a model's performance under…
We discuss in a statistical physics framework the idea that ``the whole is less than the parts'', as sometimes advocated by sociologists in view of the intrinsic complexity of humans, and try to reconcile this idea with the statistical…
We investigate the containment of epidemic spreading in networks from a normative point of view. We consider a susceptible/infected model in which agents can invest in order to reduce the contagiousness of network links. In this setting, we…
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk-adjusted performance measures-such as the Sharpe ratio,…