Mar. 6 (10:00-11:00) room C.510
Zhenyu Hu (National University of Singapore)
Stable and monotonic allocation in risk pooling problems
In many practical scenarios, agents collaborate to leverage the benefits of risk pooling. Two prominent examples include inventory pooling among newsvendors and risk sharing in markets such as reinsurance. The success of such cooperation hinges critically on the method used to allocate costs among the participating agents. Two key considerations arise in this context: stability and monotonicity. Stability ensures that no individual agent or coalition of agents can achieve a better outcome by operating independently. Monotonicity, on the other hand, requires that as a new agent joins the coalition, every existing member should benefit from the expanded cooperation. In this talk, I will explore these two issues in the context of newsvendor cooperation and the risk-sharing problem.