Related papers: Capital-Allocation-Induced Risk Sharing

Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors,…

Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movement of assets are are mutually correlated and therefore knowledge of cross--correlations among asset price movements are of great…

We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…

This paper proposes a potential game theoretic approach to address event-triggered distributed resource allocation in multi-agent systems. The fitness dynamic of the population is proposed and exploited as a linear parametervarying dynamic…

Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov's multivariate distribution, in this paper we present some closed-form formulas for the same topic by considering, however, a…

We study efficient risk sharing among risk-averse agents in an economy with a large, finite number of states. Following a random shock to an initial agreement, agents may renegotiate. If they require a minimal utility improvement to accept…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

We study the emergence of altruistic behaviour in collective games. In particular, we take into account Toral's version of collective Parrondo's paradoxical games, in which the redistribution of capital between agents, who can play…

We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a…

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…

We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…

This paper considers the security investment problem over a network in which the resource owners aim to allocate their constrained security resources to heterogeneous targets strategically. Investing in each target makes it less vulnerable,…

This paper presents a novel framework for ensuring safety in dynamically coupled multi-agent systems through collaborative control. Drawing inspiration from ecological models of altruism, we develop collaborative control barrier functions…

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…

In this paper, we consider a general distributed system with multiple agents who select and then implement actions in the system. The system has an operator with a centralized objective. The agents, on the other hand, are selfinterested and…

We study the optimal decisions and equilibria of agents who aim to minimize their risks by allocating their positions over extremely heavy-tailed (i.e., infinite-mean) and possibly dependent losses. The loss distributions of our focus are…

Various members of the class of weighted insurance premiums and risk capital allocation rules have been researched from a number of perspectives. Corresponding formulas in the case of parametric families of distributions have been derived,…

Public Goods Games represent one of the most useful tools to study group interactions between individuals. However, even if they could provide an explanation for the emergence and stability of cooperation in modern societies, they are not…

Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…

We study the effects of data sharing between firms on prices, profits, and consumer welfare. Although indiscriminate sharing of consumer data decreases firm profits due to the subsequent increase in competition, selective sharing can be…