arXiv · arXiv q-fin · 2026
We study peer-to-peer (P2P) insurance contracting between a risk-averse P2P reinsurer and multiple risk-averse peers in an asymmetric Nash-bargaining framework, where all agents seek to improve expected utility relative to their disagreement points. Consistent with the expected value premium principle, we impose a price-fairness condition requiring each peer's expected contribution to be based on a common loading app…
Tim J. Boonen, Wing Fung Chong, Kenneth Tsz Hin Ng, Tak Wa Ng
arXiv · arXiv q-fin · 2024
This paper expands on the concepts presented in Applying the Nash Bargaining Solution for a Reasonable Royalty ( arXiv:2005.10158 ). The goal is to refine the process for determining a reasonable royalty using statistical methods in cases where there is risk and uncertainty regarding each party's disagreement payoffs (opportunity costs) in the Nash Bargaining Solution (NBS). This paper uses a Bayes Cost approach to a…
David M. Kryskowski, David Kryskowski
arXiv · arXiv q-fin · 2020
There has been limited success applying the Nash Bargaining Solution (NBS) in assigning intellectual property damages due to the difficulty of relating it to the specific facts of the case. Because of this, parties are not taking advantage of Georgia-Pacific factor fifteen. This paper intends to bring clarity to the NBS so it can be applied to the facts of a case. This paper normalizes the NBS and provides a methodol…
David M. Kryskowski, David Kryskowski
arXiv · arXiv q-fin · 2019
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a range of risk aversion coefficients. It is shown that at the strictly beneficial Nash equilibria, agents appear homogeneous with respect to their risk preferences. While the game d…
Michail Anthropelos, Tim J. Boonen
arXiv · arXiv q-fin · 2011
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using subjective beliefs concerning the future states of the world and the reservation prices are calculated using expected utility theory. The agents are not rigid concerning their subjective p…
D. Pinheiro, A. A. Pinto, S. Z. Xanthopoulos, A. N. Yannacopoulos
arXiv · arXiv q-fin · 2019
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high Sharpe asset (i.e. the market portfolio). Rather than, say, the broker posting a monopoly price for margin loans, the gambler agrees to use a greater quantity of margin debt than he …
Alex Garivaltis
arXiv · arXiv q-fin · 2023
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on reservation prices (in place of the utility function). In this paper, we specialize the classical methodology to deal with speculation, an important impediment to price stability. The mo…
Sabiou Inoua, Vernon Smith
arXiv · arXiv q-fin · 2021
Low inflation was once a welcome to both policy makers and the public. However, Japan's experience during the 1990's changed the consensus view on price of economists and central banks around the world. Facing deflation and zero interest bound at the same time, Bank of Japan had difficulty in conducting effective monetary policy. It made Japan's stagnation unusually prolonged. Too low inflation which annoys central b…
Hideaki Aoyama, Corrado Di Guilmi, Yoshi Fujiwara, Hiroshi Yoshikawa
arXiv · arXiv q-fin · 2015
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer strategic model we propose a network of bargaining agents who mutually either cooperate or where the feedback mechanism between trading and price dynamics is driven by an external "hidd…
Zvonko Kostanjcar, Stjepan Begusic, H. E. Stanley, Boris Podobnik
arXiv · arXiv q-fin · 2011
We consider a nonlinear extension of the generalized network flow model, with the flow leaving an arc being an increasing concave function of the flow entering it, as proposed by Truemper and Shigeno. We give a polynomial time combinatorial algorithm for solving corresponding flow maximization problems, finding an epsilon-approximate solution in O(m(m+log n)log(MUm/epsilon)) arithmetic operations and value oracle que…
Laszlo A. Vegh
arXiv · arXiv · 2024
Testing by betting has been a cornerstone of the game-theoretic statistics literature. One bets against the null hypothesis, and the accumulated wealth $W_t$ quantifies the evidence against the null hypothesis after $t$ rounds, and the null can be rejected at level $α$ whenever $W_t \geq 1/α$. A key assumption permeating the literature is that one cannot bet more money than they currently have (the wealth must stay n…
Hongjian Wang, Wouter M. Koolen, Aaditya Ramdas
arXiv · arXiv q-fin · 2019
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of the S&P 100 stocks during 2004-2018. Using a two-way fixed-effects model, we uncover trader motivations including evidence of both under- and overreaction within a unified setting. …
Gunduz Caginalp, Mark DeSantis
arXiv · arXiv q-fin · 2002
We propose a continuum model for the description of buyer and seller dynamics in an Internet market. The relevant variables are the research effort of buyers and the sellers' reputation building process. We show that, if a commercial web-site gives consumers the possibility to rate credibly sellers they bargained with, vendors are forced to be more honest. This leads to mutual beneficial symbiosis between buyers and …
Paolo Laureti, Frantisek Slanina, Yi-Kuo Yu, Yi-Cheng Zhang