Related papers: Optimal Underreporting and Competitive Equilibrium
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…
We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…
Efficient risk transfer is an important condition for ensuring the sustainability of a market according to the established economics literature. In an inefficient market, significant financial imbalances may develop and potentially…
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…
In recent years, data has played an increasingly important role in the economy as a good in its own right. In many settings, data aggregators cannot directly verify the quality of the data they purchase, nor the effort exerted by data…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
Recently, some transportation service providers attempt to integrate the ride services offered by multiple independent ride-sourcing platforms, and passengers are able to request ride through such third-party integrators or connectors and…
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when optimal investment and reinsurance strategies have to be…
This paper explores the gain maximization problem of two nations engaging in non-cooperative bilateral trade. Probabilistic model of an exchange of commodities under different price systems is considered. Volume of commodities exchanged…
It has become standard practice in the non-life insurance industry to employ Generalized Linear Models (GLMs) for insurance pricing. However, these GLMs traditionally work only with a priori characteristics of policyholders, while nowadays…
Platform giants in China have operated with persistently compressed margins in highly concentrated markets for much of the past decade, despite market shares exceeding 60\% in core segments. Standard theory predicts otherwise: either the…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
In the literature, insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller's risk attitude. Building on the work of Meyers (1980) and Chen et al.…
Generative model ecosystems increasingly operate as competitive multi-platform markets, where platforms strategically select models from a shared pool and users with heterogeneous preferences choose among them. Understanding how platforms…
In many two-sided labor markets, interviews are conducted before matches are formed. The growing number of interviews in medical residency markets has increased demand for signaling mechanisms, where applicants send a limited number of…
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…
We consider a variant of Cournot competition, where multiple firms allocate the same amount of resource across multiple markets. We prove that the game has a unique pure-strategy Nash equilibrium (NE), which is symmetric and is…
Cross-group externalities and network effects in two-sided platform markets shape market structure and competition policy, and are the subject of extensive study. Less understood are the within-group externalities that arise when the…
We investigate Nash equilibrium learning in a competitive Markov Game (MG) environment, where multiple agents compete, and multiple Nash equilibria can exist. In particular, for an oligopolistic dynamic pricing environment, exact Nash…