Related papers: Compensation-based risk-sharing
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…
We study the problem in which a central planner sequentially allocates a single resource to multiple strategic agents using their utility reports at each round, but without using any monetary transfers. We consider general agent utility…
This paper studies an incentive structure for cooperation and its stability in peer-assisted services when there exist multiple content providers, using a coalition game theoretic approach. We first consider a generalized coalition…
Interconnected agents such as firms in a supply chain make simultaneous preparatory investments to increase chances of honouring their respective bilateral agreements. Failures cascade: if one fails their agreement, then so do all who…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow the geometric Brownian motion while the…
We study an axiomatic framework for anonymized risk sharing. In contrast to traditional risk sharing settings, our framework requires no information on preferences, identities, private operations and realized losses from the individual…
The game-theoretic risk management framework put forth in the precursor reports "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) and "Algorithms to Compute Nash-Equilibria in Games…
We study strategic interaction in data-driven games where players face uncertainty about payoff distributions inferred from finite samples. To model calibrated attitudes toward such uncertainty, we formulate distributionally robust games…
The problem of dividing resources fairly occurs in many practical situations and is therefore an important topic of study in economics. In this paper, we investigate envy-free divisions in the setting where there are multiple players in…
Decisions are often based on imprecise, uncertain or vague information. Likewise, the consequences of an action are often equally unpredictable, thus putting the decision maker into a twofold jeopardy. Assuming that the effects of an action…
We propose a notion of fairness for allocation problems in which different agents may have different reservation utilities, stemming from different outside options, or property rights. Fairness is usually understood as the absence of envy,…
While training fair machine learning models has been studied extensively in recent years, most developed methods rely on the assumption that the training and test data have similar distributions. In the presence of distribution shifts, fair…
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…
We study the design of optimal incentives in sequential processes. To do so, we consider a basic and fundamental model in which an agent initiates a value-creating sequential process through costly investment with random success. If…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…
We study the mechanism design problem of allocating a set of indivisible items without monetary transfers. Despite the vast literature on this very standard model, it still remains unclear how do truthful mechanisms look like. We focus on…
We consider the problem of fair allocation of indivisible items among $n$ agents with additive valuations, when agents have equal entitlements to the goods, and there are no transfers. Best-of-Both-Worlds (BoBW) fairness mechanisms aim to…