Related papers: Capital-Allocation-Induced Risk Sharing
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the Pareto optimal risk sharing contract as the pool expands.…
In this paper, we present axiomatic characterizations of some simple risk-sharing (RS) rules, such as the uniform, the mean-proportional and the covariance-based linear RS rules. These characterizations make it easier to understand the…
Enabling autonomous agents to act cooperatively is an important step to integrate artificial intelligence in our daily lives. While some methods seek to stimulate cooperation by letting agents give rewards to others, in this paper we…
The concept of shared value was introduced by Porter and Kramer as a new conception of capitalism. Shared value describes the strategy of organizations that simultaneously enhance their competitiveness and the social conditions of related…
Fair division is typically framed from a centralized perspective. However, in practice resource allocation often occurs via decentralized networks. We study a decentralized variant of fair division inspired by altruistic dynamics observed…
Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital allocations. Under this new framework, systemic risk measures…
Can a welfare-maximising risk-sharing rule be implemented in a large, decentralised community? We revisit the price-and-choose (P&C) mechanism of Echenique and N\'u\~nez (2025), in which players post price schedules sequentially and the…
We study an axiomatic framework for anonymized risk sharing. In contrast to traditional risk sharing settings, our framework requires no information on preferences, identities, private operations and realized losses from the individual…
An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
For drivers in ride-hailing companies, allocation within the city is paramount to get matched with rides. This decision depends on many factors, where some of them (such as demand and allocation of others) are unknown for the drivers, but…
Redistribution mechanisms have been proposed for more efficient resource allocation but not for profit. We consider redistribution mechanism design in a setting where participants are connected and the resource owner is only connected to…
When aggregating preferences of agents via voting, two desirable goals are to incentivize agents to participate in the voting process and then identify outcomes that are Pareto efficient. We consider participation as formalized by Brandl,…
We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…
The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision…
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…