This paper presents a formal framework within which autonomous agents can dynamically select and apply different mechanisms to coordinate their interactions with one another. Agents use the task attributes and environmental conditions to evaluate which mechanism maximises their expected utility. Different agent types can be characterised by their willingness to cooperate and the relative value ...

This paper offers a simple but powerful model of wishful thinking, cognitive dissonance, and related biases. Choices maximize subjective expected utility, but beliefs depend on the decision maker's interests as well as on relevant information. Simplifying assumptions yield a representation in which the payoff in an event affects beliefs as if it were part of the evidence about its likelihood. A...

The most widely used reputation models assume uniform users’ preference structure. In this paper a new reputation management model is presented. It is focused on aggregation of community wide reputation in situation when agents do not share the same preference structure. The reputation is interpreted as vectors of attributes that represent several reputation evaluation criteria. Outcomes of the...

VALUE-AT-RISK IN RANKING CROP INSURANCE ALTERNATIVAES Abstract This study examines the use of conditional value-at-risk (CVaR) as a measure for evaluating risky alternatives. CVaR has been shown to have a number of advantages compared to the more traditionally applied value-at-risk in decision settings that involve choices among truncated revenue distributions. A conceptual presentation illustr...

Value at Risk (VaR) is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. VaR calculates maximum expected losses over a given time period at a given tolerance level. Conditional Value at Risk (CVaR) measures extreme risk. It calculates the risk beyond VaR. Relative industry risk measurement is...

We propose a new framework for modeling systematic risk in LossGiven-Default (LGD) in the context of credit portfolio losses. The class of models is very flexible and accommodates well skewness and heteroscedastic errors. The quantities in the models have simple economic interpretation. Inference of models in this framework can be unified. Moreover, it allows efficient numerical procedures, suc...

A new approach for cost-sensitive classification is proposed. We extend the framework of cost-sensitive learning to mitigate risks of huge costs occurring with low probabilities, and propose an algorithm that achieves this goal. Instead of minimizing the expected cost commonly used in cost-sensitive learning, our algorithm minimizes expected shortfall, a.k.a. conditional value-at-risk, known as...

Abstract: This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extendedWang’s premium principle. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We characterize layer-reinsurance as an optimal reinsurance contract. Moreover, we characterize lay...

This paper offers a simple but powerful model of wishful thinking, cognitive dissonance, and related biases. Choices maximize subjective expected utility, but beliefs depend on the decision maker’s interests as well as on relevant information. Simplifying assumptions yield a representation in which the payoff in an event affects beliefs as if it were part of the evidence about its likelihood. A...

In this paper we use data from the New Immigrant Survey to investigate the impact of immigrant women's own labor supply prior to migrating and female labor supply in their source country on their labor supply and wages in the United States to provide evidence on the roles of culture and social capital. We find, as expected, that women who migrate from countries with relatively high levels of fe...