Related papers: Capital-Allocation-Induced Risk Sharing
A class of conserved models of wealth distributions are studied where wealth (or money) is assumed to be exchanged between a pair of agents in a population like the elastically colliding molecules of a gas exchanging energy. All sorts of…
When aggregating preferences of agents via voting, two desirable goals are to identify outcomes that are Pareto optimal and to incentivize agents to participate in the voting process. We consider participation notions as formalized by…
An integration of distributionally robust risk allocation into sampling-based motion planning algorithms for robots operating in uncertain environments is proposed. We perform non-uniform risk allocation by decomposing the distributionally…
This study introduces the \emph{edge-based Shapley value}, a novel allocation rule within cooperative game theory, specifically tailored for networked systems, where value is generated through interactions represented by edges. Traditional…
One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by…
We study allocation problems without monetary transfers where agents have correlated types, i.e., hold private information about one another. Such peer information is relevant in various settings, including science funding, allocation of…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
The rapid growth of e-commerce has made people accustomed to shopping online. Before making purchases on e-commerce websites, most consumers tend to rely on rating scores and review information to make purchase decisions. With this…
In this contribution we consider the overall risk given as the sum of random subrisks $\mathbf{X}_j$ in the context of value-at-risk (VaR) based risk calculations. If we assume that the undertaking knows the parametric distribution family…
A resource exchange network is considered, where exchanges among nodes are based on reciprocity. Peers receive from the network an amount of resources commensurate with their contribution. We assume the network is fully connected, and…
It is known that asset exchange models with symmetric interaction between agents show either a Gibbs/log-normal distribution of assets among the agents or condensation of the entire wealth in the hands of a single agent, depending upon the…
Students' decisions on whether to take a class are strongly affected by whether their friends plan to take the class with them. A student may prefer to be assigned to a course they likes less, just to be with their friends, rather than…
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
We consider a multi-agent optimal resource sharing problem that is represented by a linear program. The amount of resource to be shared is fixed, and agents belong to a population that is characterized probabilistically so as to allow…
Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with…
In this paper, we introduce past-aware game-theoretic centrality, a class of centrality measures that captures the collaborative contribution of nodes in a network, accounting for both uncertain and certain collaborators. A general…
We generalize secret-sharing models that rely on correlated randomness and public communication, originally designed for a fixed access structure, to support a sequence of dynamic access structures, which we term an Additive Access…