Related papers: Pricing insurance policies with offsetting relatio…
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
We address the challenging problem of dynamically pricing complementary items that are sequentially displayed to customers. An illustrative example is the online sale of flight tickets, where customers navigate through multiple web pages.…
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…
In lending, where prices are specific to both customers and products, having a well-functioning personalized pricing policy in place is essential to effective business making. Typically, such a policy must be derived from observational…
With the emerging sensing technologies such as mobile crowdsensing and Internet of Things (IoT), people-centric data can be efficiently collected and used for analytics and optimization purposes. This data is typically required to develop…
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…
Usage-based insurance (UBI) uses telematics to align premiums with risk and encourage safe driving. However, deploying these programs is challenging due to heavy-tailed claim costs, nonstationary driver behavior, and limited incentive…
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii)…
Extensive research shows that consumers are generally averse to price discrimination. However, instruments of differential pricing can benefit consumer surplus and alleviate inequity through targeted price discounts. This paper examines how…
I examine how upstream mergers affect negotiated prices when suppliers bargain with a monopoly intermediary selling products to final consumers. Conventional wisdom holds that such transactions lower negotiated prices when the products are…
We study large markets with a single seller which can produce many types of goods, and many multi-minded buyers. The seller chooses posted prices for its many items, and the buyers purchase bundles to maximize their utility. For this…
We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the…
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we convert the original optimization problem involving…
We study a monopolistic insurance market with hidden information, where the agent's type $\theta$ is private information that is unobservable to the insurer, and it is drawn from a continuum of types. The hidden type affects both the loss…
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…
Can competition among misaligned AI providers yield aligned outcomes for a diverse population of users, and what role does model personalization play? We study a setting where multiple competing AI providers interact with multiple users who…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
Product diversity is one of the prominent factors for customers' satisfaction, while from the firms' perspective, the additional engineering costs required for product diversity should not exceed the acquired profits from the increase in…
In many applications, ads are displayed together with the prices, so as to provide a direct comparison among similar products or services. The price-displaying feature not only influences the consumers' decisions, but also affects the…