Related papers: Pricing insurance policies with offsetting relatio…
We study the impact of data sharing policies on cyber insurance markets. These policies have been proposed to address the scarcity of data about cyber threats, which is essential to manage cyber risks. We propose a Cournot duopoly…
In applications of predictive modeling, such as insurance pricing, indirect or proxy discrimination is an issue of major concern. Namely, there exists the possibility that protected policyholder characteristics are implicitly inferred from…
Using a model in which agents compete to develop a potentially dangerous new technology (AI), we study how changes in the pricing of factors of production (computational resources) affect agents' strategies, particularly their spending on…
We provide sufficient conditions for semi-nonparametric point identification of a mixture model of decision making under risk, when agents make choices in multiple lines of insurance coverage (contexts) by purchasing a bundle. As a first…
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment…
Consumers in many markets are uncertain about firms' qualities and costs, so buy based on both the price and the quality inferred from it. Optimal pricing depends on consumer heterogeneity only when firms with higher quality have higher…
We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account value lies in some pre-specified disjoint intervals, where on…
We modify the standard model of price competition with horizontally differentiated products, imperfect information, and search frictions by allowing consumers to flexibly acquire information about a product's match value during their…
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the benchmark-neutral pricing framework of Platen (2024), which…
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized…
Motivated by the emergence of popular service-based two-sided markets where sellers can serve multiple buyers at the same time, we formulate and study the {\em two-sided cost sharing} problem. In two-sided cost sharing, sellers incur…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among…
Combinatorial auctions where agents can bid on bundles of items are desirable because they allow the agents to express complementarity and substitutability between the items. However, expressing one's preferences can require bidding on all…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
This working paper is divided into two parts. Firstly, we develop a new combined equilibrium model of business land-use, which puts travelers' traffic equilibrium and business companies' competitive location equilibrium into a unified…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
Autonomous vehicles will be an integral part of ride-sharing services in the future. This setting differs from traditional ride-sharing marketplaces because of the absence of the supply side (drivers). However, it has far-reaching…
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…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…