Related papers: Capital-Allocation-Induced Risk Sharing
We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improved by intergenerational risk sharing (IRS) implemented with…
In recent years, machine learning models have achieved great success at the expense of highly complex black-box structures. By using axiomatic attribution methods, we can fairly allocate the contributions of each feature, thus allowing us…
How can one efficiently share payoffs with collaborators when participating in risky research? First, I show that efficiency can be achieved by allocating payoffs asymmetrically between the researcher who makes a breakthrough ("winner") and…
A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…
We consider the problem of inference in shift-share research designs. The choice between existing approaches that allow for unrestricted spatial correlation involves tradeoffs, varying in terms of their validity when there are relatively…
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…
We focus on how individual behavior that complies with social norms interferes with performance-based incentive mechanisms in organizations with multiple distributed decision-making agents. We model social norms to emerge from interactions…
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…
This note presents a kind of the strong law of large numbers for an insurance risk caused by a single catastrophic event rather than by an accumulation of independent and identically distributed risks. We derive this result by a large…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in the existing literature. This paper builds on two novel…
Utilizing established risk factors and prognostic models can often improve the construction of a newer risk model that uses novel biomarkers in a smaller, internal study. However, directly borrowing information from an established…
We consider islamic Profit and Loss (PL) sharing contract, possibly combined with an agency contract, and introduce the notion of {\em $c$-fair} profit sharing ratios ($c = (c_1, \ldots,c_d) \in (\mathbb R^{\star})^d$, where $d$ is the…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
The conditional mean risk-sharing (CMRS) rule is an important tool for distributing aggregate losses across individual risks, but its implementation in continuous multivariate models typically requires complicated multidimensional…
The sharing of scarce resources among multiple rational agents is one of the classical problems in economics. In exchange economies, which are used to model such situations, agents begin with an initial endowment of resources and exchange…
In this paper, we analyze the problem of how to adapt the concept of priority to situations where several perfectly divisible resources have to be allocated among certain set of agents that have exactly one claim which is used for all…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
The inequality in capital or resource distribution is among the important phenomena observed in populations. The sources of inequality and methods for controlling it are of practical interest. To study this phenomenon, we introduce a model…
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using…