Related papers: Capital-Allocation-Induced Risk Sharing

We analyze the limiting behavior of the risk premium associated with the Pareto optimal risk sharing contract in an infinitely expanding pool of risks under a general class of law-invariant risk measures encompassing rank-dependent utility…

In science as elsewhere, attention is a limited resource and scientists compete with one another to produce the most exciting, novel and impactful results. We develop a game-theoretic model to explore how such competition influences the…

The multi-agent setting is intricate and unpredictable since the behaviors of multiple agents influence one another. To address this environmental uncertainty, distributional reinforcement learning algorithms that incorporate uncertainty…

Public and private institutions must often allocate scare resources under uncertainty. Banks, for example, extend credit to loan applicants based in part on their estimated likelihood of repaying a loan. But when the quality of information…

Shared information is a measure of mutual dependence among multiple jointly distributed random variables with finite alphabets. For a Markov chain on a tree with a given joint distribution, we give a new proof of an explicit…

Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a…

Collaborative causal inference (CCI) is a federated learning method for pooling data from multiple, often self-interested, parties, to achieve a common learning goal over causal structures, e.g. estimation and optimization of treatment…

Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been observed in many parts of the world. Some attributing factors…

In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources.…

The influence maximization paradigm has been used by researchers in various fields in order to study how information spreads in social networks. While previously the attention was mostly on efficiency, more recently fairness issues have…

This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…

Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…

Optimal behavior in (competitive) situation is traditionally determined with the help of utility functions that measure the payoff of different actions. Given an ordering on the space of revenues (payoffs), the classical axiomatic approach…

Empirical data shows that in the absence of incentives, a peer participating in a Peer-to-Peer (P2P) network wishes to free-riding. Most solutions for providing incentives in P2P networks are based on direct reciprocity, which are not…

In this work, we propose a novel algorithmic framework for data sharing and coordinated exploration for the purpose of learning more data-efficient and better performing policies under a concurrent reinforcement learning (CRL) setting. In…

This paper studies cooperative games where coalitions are formed online and the value generated by the grand coalition must be irrevocably distributed among the players at each timestep. We investigate the fundamental issue of strategic…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

Safe control methods are often intended to behave safely even in worst-case human uncertainties. However, humans may exploit such safety-first systems, which results in greater risk for everyone. Despite their significance, no prior work…

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution.…

In a variant of communication tasks, players cooperate in choosing their local strategies to compute a given task later, working separately. Utilizing quantum bits for communication and sharing entanglement between parties is a recognized…