Related papers: Compensation-based risk-sharing
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum,…
We introduce and analyze a variation of the Bertrand game in which the revenue is shared between two players. This game models situations in which one economic agent can provide goods/services to consumers either directly or through an…
Regulatory requirements dictate that financial institutions must calculate risk capital (funds that must be retained to cover future losses) at least annually. Procedures for doing this have been well-established for many years, but recent…
We present a new model of collective decision making that captures important crowd-funding and donor coordination scenarios. In the setting, there is a set of projects (each with its own cost) and a set of agents (that have their budgets as…
Decision-theoretic planning with risk-sensitive planning objectives is important for building autonomous agents or decision-support systems for real-world applications. However, this line of research has been largely ignored in the…
This paper examines multiplayer symmetric constant-sum games with more than two players in a competitive setting, including examples like Mahjong, Poker, and various board and video games. In contrast to two-player zero-sum games,…
We study a fair resource scheduling problem, where a set of interval jobs are to be allocated to heterogeneous machines controlled by agents. Each job is associated with release time, deadline, and processing time such that it can be…
Disputes over cost allocation can present a significant barrier to investment in shared infrastructure. While it may be desirable to allocate cost in a way that corresponds to expected benefits, investments in long-lived projects are made…
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and capital injections follows a spectrally positive Markov…
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…
We study a cost sharing problem derived from bug bounty programs, where agents gain utility by the amount of time they get to enjoy the cost shared information. Once the information is provided to an agent, it cannot be retracted. The goal,…
Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…
We study multi-agent contract design, where a principal incentivizes a team of agents to take costly actions that jointly determine the project success via a combinatorial reward function. While prior work largely focuses on unconstrained…
We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents' and system's losses follow generalized exponential mixture…
A decision maker typically (i) incorporates training data to learn about the relative effectiveness of treatments, and (ii) chooses an implementation mechanism that implies an ``optimal'' predicted outcome distribution according to some…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
We study the problem of optimally investing in nodes of a social network in a competitive setting, wherein two camps aim to drive the average opinion of the population in their own favor. Using a well-established model of opinion dynamics,…
We study a fair division setting in which participants are to be fairly distributed among teams, where not only do the teams have preferences over the participants as in the canonical fair division setting, but the participants also have…
In this paper, I summarize our work on online fair division. In particular, I present two models for online fair division: (1) one existing model for fair division in food banks and (2) one new model for fair division of deceased organs to…
Following the risk-taking model of Seel and Strack, $n$ players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked according to their level of stopping and paid a rank-dependent…