Related papers: Capital-Allocation-Induced Risk Sharing
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the…
In this paper, we address risk aggregation and capital allocation problems in the presence of dependence between risks. The dependence structure is defined by a mixed Bernstein copula which represents a generalization of the well-known…
In collaborative data sharing and machine learning, multiple parties aggregate their data resources to train a machine learning model with better model performance. However, as the parties incur data collection costs, they are only willing…
In our simplified description `wealth' is money ($m$). A kinetic theory of gas like model of money is investigated where two agents interact (trade) selectively and exchange some amount of money between them so that sum of their money is…
We introduce and solve a model that mimics the herding effect in financial markets when groups of agents share information. The number of agents in the model is growing and at each time step either (i) with probability $p$ an incoming agent…
We study a problem where a group of agents has to decide how some fixed value should be shared among them. We are interested in settings where the share that each agent receives is based on how that agent is evaluated by other members of…
In this paper we introduce a new coherent cumulative risk measure on $\mathcal{R}_L^p$, the space of c\`adl\`ag processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models…
We consider a secret-sharing model where a dealer distributes the shares of a secret among a set of participants with the constraint that only predetermined subsets of participants must be able to reconstruct the secret by pooling their…
We introduce and study a model of an interacting population of agents who collaborate in groups which compete for limited resources. Groups are formed by random matching agents and their worth is determined by the sum of the efforts…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We study a portioning setting in which a public resource such as time or money is to be divided among a given set of candidates, and each agent proposes a division of the resource. We consider two families of aggregation rules for this…
A computational model for the distribution of wealth among the members of an ideal society is presented. It is determined that a realistic distribution of wealth depends upon two mechanisms: an asymmetric flux of wealth in trading…
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most…
Recent work on promoting cooperation in multi-agent learning has resulted in many methods which successfully promote cooperation at the cost of becoming more vulnerable to exploitation by malicious actors. We show that this is an…
Asset allocation is an investment strategy that aims to balance risk and reward by constantly redistributing the portfolio's assets according to certain goals, risk tolerance, and investment horizon. Unfortunately, there is no simple…
Under limited available resources, strategies for mitigating the propagation of an epidemic such as random testing and contact tracing become inefficient. Here, we propose to accurately allocate the resources by computing over time an…
We study the design of optimal incentives in sequential processes. To do so, we consider a basic and fundamental model in which an agent initiates a value-creating sequential process through costly investment with random success. If…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
We present an investment model integrated with trust-reputation mechanisms where agents interact with each other to establish investment projects. We investigate the establishment of investment projects, the influence of the interaction…