相关论文: A General Theory of Risk Sharing

This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…

In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…

This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…

We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…

We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…

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…

In this work, we propose a Bayesian statistical model to simultaneously characterize two or more social networks defined over a common set of actors. The key feature of the model is a hierarchical prior distribution that allows us to…

In multiple criteria decision aiding, very often the alternatives are compared by means of a value function compatible with the preferences expressed by the Decision Maker. The problem is that, in general, there is a plurality of compatible…

We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…

In this paper, we present axiomatic characterizations of some simple risk-sharing (RS) rules, such as the uniform, the mean-proportional and the covariance-based linear RS rules. These characterizations make it easier to understand the…

This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined using a general aggregation function with some continuity…

We introduce a family of quantitative measures of responsibility in multi-agent planning, building upon the concepts of causal responsibility proposed by Parker et al.~[ParkerGL23]. These concepts are formalised within a variant of…

We introduce categories of extended Gaussian maps and Gaussian relations which unify Gaussian probability distributions with relational nondeterminism in the form of linear relations. Both have crucial and well-understood applications in…

This paper studies decentralized risk-sharing on networks. In particular, we consider a model where agents are nodes in a given network structure. Agents directly connected by edges in the network are referred to as friends. We study…

We consider a multi-agent optimal resource sharing problem that is represented by a linear program. The amount of resource to be shared is fixed, and agents belong to a population that is characterized probabilistically so as to allow…

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…

We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…

Parameter sharing, as an important technique in multi-agent systems, can effectively solve the scalability issue in large-scale agent problems. However, the effectiveness of parameter sharing largely depends on the environment setting. When…

In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are represented by several probability measures. We obtain…

We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…