Related papers: A General Theory of Risk Sharing
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space…
The paper proposes a way to add marketing into the standard threshold model of social networks. Within this framework, the paper studies logical properties of the influence relation between sets of agents in social networks. Two different…
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…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
In the recently introduced model of fair partitioning of friends, there is a set of agents located on the vertices of an underlying graph that indicates the friendships between the agents. The task is to partition the graph into $k$…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
We present a comprehensive extension of the latent position network model known as the random dot product graph to accommodate multiple graphs -- both undirected and directed -- which share a common subset of nodes, and propose a method for…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
We consider a model of power distribution in a social system where a set of agents play a simple game on a graph: the probability of winning each round is proportional to the agent's current power, and the winner gets more power as a…
We consider the problem of estimating the joint distribution of $n$ independent random variables. Our approach is based on a family of candidate probabilities that we shall call a model and which is chosen to either contain the true…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some…
Stochastic models share many characteristics with generic parametric models. In some ways they can be regarded as a special case. But for stochastic models there is a notion of weak distribution or generalised random variable, and the same…
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using…
Our work stems from the consideration that the spreading of a disease is modulated by the individual's perception of the infected neighborhood and his/her strategy to avoid being infected as well. We introduced a general ``cellular agent''…
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…
In this paper, we introduce a general model for jointly modelling the nodal heterogeneity and covariates in weighted or unweighted bipartite networks, which contains two different types of nodes. The model has a degree heterogeneity…
The question how social norms can emerge from microscopic interactions between individuals is a key problem in social sciences to explain collective behavior. In this paper we propose an agent-based model to show that randomly distributed…