Related papers: Optimal Underreporting and Competitive Equilibrium
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
Equilibrium pricing has been proven to underlie the rational Insured expectancy of premia additivity for composition of policies fully covering independent risks.
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
This paper focuses on the coordination of a large population of dynamic agents with private information over multiple periods. Each agent maximizes the individual utility, while the coordinator determines the market rule to achieve group…
The use of bonus-malus systems in compulsory liability automobile insurance is a worldwide applied method for premium pricing. If certain assumptions hold, like the conditional Poisson distribution of the policyholders claim number, then an…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
We study optimal equilibria in multi-player games. An equilibrium is optimal for a player, if her payoff is maximal. A tempting approach to solving this problem is to seek optimal Nash equilibria, the standard form of equilibria where no…
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F.…
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 this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
Retail competition today can be described by three main features: i) oligopolistic competition, ii) multi-store settings, and iii) the presence of large economies of scale. In these markets, firms usually apply a centralized decisions…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
This paper develops a novel multi-agent reinforcement learning (MARL) framework for reinsurance treaty bidding, addressing long-standing inefficiencies in traditional broker-mediated placement processes. We pose the core research question:…
This paper investigates a Stackelberg game between an insurer and a reinsurer under the $\alpha$-maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the reinsurer. With the insurer's feedback reinsurance…
We use the maximum entropy principle for pricing the non-life insurance and recover the B\"{u}hlmann results for the economic premium principle. The concept of economic equilibrium is revised in this respect.
The distribution of efficient individuals in the economy and the efforts that they will put in if they are hired, there are two important concerns for a technologically advanced firm. wants to open a new branch. The firm does not have…
This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…