3 résultats pour « Pareto optimality »
Date : Tags : , , ,
This study analyzes resource provisioning with strict reliability demands. It characterizes optimal cost scaling in chance-constrained problems as reliability increases. It reveals limitations of common distributionally robust optimization methods, proposes improvements using marginal distributions or f-divergences, and offers a line search for near-optimal solutions, overcoming data sample limitations.
Lire la suite
Date : Tags : , , ,
The study examines Pareto optimal risk sharing in insurance with consumption substitution and saving in a two-period model. It confirms the robustness of classical risk-sharing results, even with recursive utility, and explores the link between consumption elasticity and saving. Precautionary savings and partial separation of risk aversion are demonstrated.
Lire la suite
Date : Tags : , , , , , ,
The paper explores Pareto optimality in decentralized peer-to-peer risk-sharing markets using robust distortion risk measures. It characterizes optimal risk allocations, influenced by agents' tail risk assessments. Using flood risk insurance as an example, the study compares decentralized and centralized market structures, highlighting benefits and drawbacks of decentralized insurance.
Lire la suite