Related papers: Non-Life Insurance Pricing: Multi Agents Model
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
This paper pioneers a novel approach to economic and public policy analysis by leveraging multiple Large Language Models (LLMs) as heterogeneous artificial economic agents. We first evaluate five LLMs' economic decision-making capabilities…
Entropy in nonequilibrium statistical mechanics is investigated theoretically so as to extend the well-established equilibrium framework to open nonequilibrium systems. We first derive a microscopic expression of nonequilibrium entropy for…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
Mutual equilibrium in long-range interacting systems which involve nonadditive energy, is effectively described in terms of entropy with a nonadditive composition rule. As an example, long range Ising model is considered. The generality of…
Persistent economic competition is often justified as a mechanism of innovation, efficiency, and welfare maximization. Yet empirical evidence across disciplines reveals that competition systematically generates fragility, inequality, and…
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…
An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
We consider a monopoly insurance market with a risk-neutral profit-maximizing insurer and a consumer with Yaari Dual Utility preferences that distort the given continuous loss distribution. The insurer observes the loss distribution but not…
In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal non-asymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some…
We consider the efficient outcome of a canonical economic market model involving buyers and sellers with independent and identically distributed random valuations and costs, respectively. When the number of buyers and sellers is large, we…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We conduct experiments with algorithmic pricing agents based on Large Language Models (LLMs). In oligopoly settings, LLM-based pricing agents quickly and autonomously reach supracompetitive prices and profits. Variation in seemingly…
We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified…
The most rigorous physical description of non-equilibrium gas dynamics is rooted in the numerical solution of the Boltzmann equation. Yet, the large number of degrees of freedom and the wide range of both spatial and temporal scales render…
We analyze a nonlinear pricing model where the seller controls both product pricing (screening) and buyer information about their own values (persuasion). We prove that the optimal mechanism always consists of finitely many signals and…