Related papers: Compensation-based risk-sharing
We present a partial operator-theoretic characterization of approachability principle and based on this characterization, we interpret a particular distributed payoff allocation algorithm to be a sequence of time-varying paracontractions.…
Mechanism design is addressed in the context of fair allocations of indivisible goods with monetary compensation. Motivated by a real-world social choice problem, mechanisms with verification are considered in a setting where (i) agents'…
A reinforcement learning agent tries to maximize its cumulative payoff by interacting in an unknown environment. It is important for the agent to explore suboptimal actions as well as to pick actions with highest known rewards. Yet, in…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
In many multi-agent settings, participants can form teams to achieve collective outcomes that may far surpass their individual capabilities. Measuring the relative contributions of agents and allocating them shares of the reward that…
In collaborative data sharing and machine learning, multiple parties aggregate their data resources to train a machine learning model with better model performance. However, as the parties incur data collection costs, they are only willing…
This paper considers an online multi-player resource-sharing game with bandit feedback. Multiple players choose from a finite collection of resources in a time slotted system. In each time slot, each resource brings a random reward that is…
This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our risk process follows a spectrally negative L\'evy process.…
We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…
This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the individual's salary, the dynamics of which follows a Heston…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…
The long-run average payoff per transition (mean payoff) is the main tool for specifying the performance and dependability properties of discrete systems. The problem of constructing a controller (strategy) simultaneously optimizing several…
Incarceration-diversion treatment programs aim to improve societal reintegration and reduce recidivism, but limited capacity forces policymakers to make prioritization decisions that often rely on risk assessment tools. While predictive,…
This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. First the effect of the extra constraints on…
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is,…
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward…
In an Ito-diffusion market, two fund managers trade under relative performance concerns. For both the asset specialization and diversification settings, we analyze the passive and competitive cases. We measure the performance of the…
Imitation is widely observed in populations of decision-making agents. Using our recent convergence results for asynchronous imitation dynamics on networks, we consider how such networks can be efficiently driven to a desired equilibrium…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer…