scholarly journals Joining insured groups: how to split the emerging profit

2017 ◽  
Vol 8 (1) ◽  
pp. 29-33 ◽  
Author(s):  
Elinor Mualem ◽  
Abraham Zaks
Keyword(s):  
Game Theory ◽  
Risk Factor ◽  
Standard Deviation ◽  
Cooperative Games ◽  
Utility Functions ◽  
Single Group ◽  
Total Risk ◽  
Insurance Plan ◽  
Shapley Values

In the process of evaluating the premium of an insurance plan, one considers the risk arising from various uncertainties. The authors suppose for a plan whose net premium is p and the standard deviation is σ the premium including the risk factor will be p + 3σ for a given member, and 3σ reflects the risk. For a group of n members with the same premium p and with standard deviation σ, the premium including the risk factor will be p + 3σ/√n where 3σ/√n reflects the risk for each member of the group. The authors study the emerging profit in case of n insured groups each with its own premium and its own risk when all the n insured groups merge into a single group uniting all insured members. They prove that there emerge a profit due to joining the n groups into a single one due to a reduced total risk of the n separate insured groups when merging into a single group. The emerging profit between the various groups may be divided using the Shapley values method or using utility functions for each group. The auhors discuss various reasonable ways to split the emerging profit between the n groups and show that the split of the profit depends on the chosen method. The main tools are techniques of game theory, in particular those of cooperative games.

APPLICATIONS OF GAME THEORY TO ECONOMIC EQUILIBRIUM

1999 ◽  
Vol 01 (01) ◽  
pp. 1-8 ◽  
Author(s):  
GUILLERMO OWEN
Keyword(s):  
Game Theory ◽  
Shapley Value ◽  
Cooperative Games ◽  
Competitive Equilibrium ◽  
Random Variable ◽  
Market Games ◽  
The Core ◽  
Thin Markets ◽  
Shapley Values ◽  
Game Theoretic

One of the original expectations for the theory of cooperative games was that it would give us results valid for thin markets (where the number of traders is too small for an equilibrium to be reached). Over a period of years, however, it has been shown that, for market games, both the core and the Shapley values converge, in some sense, to the competitive equilibrium. Thus, the feeling arises that for large market games, the game-theoretic concepts yield nothing other than the equilibrium. In this article, we study the question of convergence of the Shapley value to the equilibrium and show that in some cases the convergence can be extremely slow. A very simple example (the "shoe" game) suggests that replacing the value by the equilibrium is in some sense akin to replacing a random variable by its mean.

scholarly journals Risk and the Market’s Reaction to M&A Announcements

2021 ◽  
Vol 14 (7) ◽  
pp. 334
Author(s):  
Ye Cai ◽  
Hersh Shefrin
Keyword(s):  
Standard Deviation ◽  
Large Firms ◽  
Total Risk ◽  
Basis Point ◽  
Acquiring Firms ◽  
Risk Sensitive ◽  
Point Increase

We estimate how an acquiring firm’s risk changes depending on whether the market initially judges the acquisition to be neutral, strongly negative, or strongly positive for the shareholders of the acquiring firm. We found that for an average neutral acquisition, the annualized standard deviation of an acquiring firm’s total return declines by 5%. In contrast, acquisitions judged negatively by the market result in a 5% increase in total risk, while acquisitions judged positively by the market feature a 30-basis-point increase in total risk. We found the median acquisition to be value creating, not value destructive. Value destruction tends to be concentrated among large firms and to be associated with extreme negative outliers. Acquiring firms with longholder CEOs are more prone to undertake acquisitions and more prone to take on risk, but are less prone to engage in value-destructive acquisitions than acquiring firms with non-longholder CEOs. In this respect, acquiring firms with non-longholder CEOs are more apt to undertake risky bad acquisitions, especially when their prior returns lie above the industry average. In addition, acquiring firms with non-longholder CEOs are less prone to take on good acquisitions that are high in risk. As a general matter, firms with longholder CEOs are less risk sensitive to changes in prior returns than firms with non-longholder CEOs.

Shapley Ranking of Wines

2012 ◽  
Vol 7 (2) ◽  
pp. 169-180 ◽  
Author(s):  
Victor Ginsburgh ◽  
Israël Zang
Keyword(s):  
Game Theory ◽  
Unique Solution ◽  
Cooperative Game ◽  
Shapley Value ◽  
Rank Order ◽  
Jel Classification ◽  
Ranking Method ◽  
The Shapley Value ◽  
Shapley Values

AbstractWe suggest a new game-theory-based ranking method for wines, in which the Shapley Value of each wine is computed, and wines are ranked according to their Shapley Values. Judges should find it simpler to use, since they are not required to rank order or grade all the wines, but merely to choose the group of those that they find meritorious. Our ranking method is based on the set of reasonable axioms that determine the Shapley Value as the unique solution of an underlying cooperative game. Unlike in the general case, where computing the Shapley Value could be complex, here the Shapley Value and hence the final ranking, are straightforward to compute. (JEL Classification: C71, D71, D78)

Abstract 121: Vascular Risk Factor Control in the Year After Ischemic Stroke Versus Myocardial Infarction

Stroke ◽  
2015 ◽  
Vol 46 (suppl_1) ◽  
Author(s):  
Dawn M Bravata ◽  
Jared Brosch ◽  
Jason Sico ◽  
Fitsum Baye ◽  
Laura Myers ◽  
...  
Keyword(s):  
Myocardial Infarction ◽  
Risk Factor ◽  
Ischemic Stroke ◽  
Standard Deviation ◽  
Vascular Risk Factor ◽  
Vascular Risk ◽  
Hypertension Control ◽  
Stroke Patients ◽  
Risk Factor Control ◽  
Facility Level

Background: The Veterans Health Administration has multiple quality improvement activities directed at improving vascular risk factor control. We sought to examine facility quality of blood pressure (BP) control (<140/90 mm Hg), lipid control (LDL-cholesterol <100 mg/dL) and glycemic control (HbA1c <9%) in the one-year after hospitalization for ischemic stroke or acute myocardial infarction (AMI). Methods: We assembled a retrospective cohort of patients hospitalized with stroke or AMI (fiscal year 2011). Facilities were included if they admitted ≥25 stroke patients and ≥25 AMI patients. A facility-level consolidated measure of vascular risk factor control was calculated for the 3 processes of care (number of passes divided by number of opportunities). Results: A total of 2432 patients had a new stroke and 4873 had a new primary AMI (at 75 facilities). Stroke patients had worse vascular risk factor control than AMI patients (mean facility rate on consolidated measure: stroke, 70% [95%CI 0.68-0.72] vs AMI, 77% [0.75-0.78]). The greatest disparity between stroke and AMI patients was in hypertension control: at 87% of hospitals, fewer stroke patients achieved BP control than AMI patients (mean facility pass rate: stroke, 41% vs AMI, 52%; p<0.0001). Overall there were no statistical differences for stroke versus AMI patients in facility-level hyperlipidemia control (71% vs 73%, p=0.33) and glycemic control (79% versus 82%, p=0.24). AMI patients had more outpatient visits than stroke patients in the year after discharge [AMI: mean 7.9 visits (standard deviation 6.1)]; stroke: mean 6.0 visits (standard deviation 4.5; p<0.0001].); the primary difference in outpatient utilization was additional cardiology visits for AMI patients (2.5 visits with cardiology per AMI patient vs 0.4 visits per stroke patient; p<0.001). Conclusions: These results demonstrated clinically substantial disparities in hypertension control among patients with stroke vs patients with AMI. It may be that cardiologists provided risk factor management to AMI patients that stroke patients did not receive. The etiology of these observed differences merits additional investigation.

scholarly journals Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1732
Author(s):  
Mohammad Enamul Hoque ◽  
Soo-Wah Low
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Exchange Rate ◽  
Asset Pricing ◽  
Stock Returns ◽  
Oil And Gas ◽  
Negative Relationship ◽  
Downside Risk ◽  
Total Risk ◽  
Pricing Framework

This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations expose that market, size, momentum, oil, gas, and exchange rate have significant impacts on oil and gas stock returns, but effects are heterogeneous depending on an individual stock. The two-stage cross-section estimations provide new insights about investors’ risk-return trade-off when facing downside risks. The results show that downside risk exposures to market, momentum, oil, and exchange rate factors are negatively priced in the Malaysian oil and gas stocks. This implies that investors are penalized for their downside exposure to these risk factors, and such inference is consistent with the risk preference explanation of prospect theory. Liquefied natural gas (LNG) is the only risk factor found to be positively priced in the returns of oil and gas stocks. Additionally, we find a negative relationship between LNG factor and total risk. This suggests that as the risk exposure to LNG increases, the total risk decreases, implying that the LNG risk factor is an idiosyncratic risk and not a systematic risk factor. Such interpretation is consistent with the correlation result, which shows no association between LNG and the market risk factor.

Game theory and time utility functions for a radio aware scheduling algorithm for WiMAX networks

2011 ◽  
Vol 17 (6) ◽  
pp. 1441-1459 ◽  
Author(s):  
Rosario G. Garroppo ◽  
Stefano Giordano ◽  
Davide Iacono ◽  
Luca Tavanti
Keyword(s):  
Game Theory ◽  
Scheduling Algorithm ◽  
Utility Functions ◽  
Wimax Networks

scholarly journals Design of utility functions for game-based channel allocation in cognitive radio wireless sensor network

2021 ◽  
Vol 22 (2) ◽  
pp. 1013
Author(s):  
Prativa Rai ◽  
Mrinal Kanti Ghose ◽  
Hiren Kumar Deva Sarma
Keyword(s):  
Game Theory ◽  
Cognitive Radio ◽  
Wireless Sensor Network ◽  
Utility Function ◽  
Sensor Network ◽  
Channel Allocation ◽  
High Growth ◽  
Utility Functions ◽  
Wireless Sensor ◽  
Allocation Algorithm

Cognitive radio enabled wireless sensor network is capable of reducing the spectrum scarcity problem of the wireless networks. Looking at the scarcity of available bandwidth, and the high growth in the number of communication devices in recent times, cognitive radio technology has proven to be a promising technology for the days to come. The application of Game Theory in cognitive radio networks has been visible in recent research works. However, only limited literature is available in which possibilities of applying the game-theory based approaches for the challenging task of channel assignment in cognitive radio wireless sensor are available in the literature. It is understood that the crux of the solution to the problem of scheming games for allocation of the channel is centered on the selection of the utility function in order to increase the efficiency of the channel allocation algorithm. Accordingly, the study regarding the influence of several utility functions on the performance of the corresponding channel allocation algorithm is important.  Such a study enables designers to arrive at the optimal utility function to be used in game-theory based channel allocation algorithms, and the same is explored to the best extent, in this paper. The detailed procedure of allocating channels to all the contending nodes through game-based channel allocation has been discussed in this paper. Moreover, the performance of six different utility functions proposed which can be used for channel allocation using game theory has been evaluated for respective performances through MATLAB-based simulations.

Optimal Strategy of Social Responsibility and Quality Effort in Service Supply Chain with Quality Preference

2018 ◽  
Vol 35 (03) ◽  
pp. 1850018 ◽  
Author(s):  
Cui-Hua Zhang ◽  
Peng Xing ◽  
Jin Li
Keyword(s):  
Game Theory ◽  
Supply Chain ◽  
Social Responsibility ◽  
Numerical Simulations ◽  
Optimal Strategy ◽  
Mathematical Reasoning ◽  
Optimal Strategies ◽  
Utility Functions ◽  
Decision Models ◽  
Service Supply Chain

We investigate the optimal strategy of service supply chain (SSC) including one integrator and two suppliers under a two-layer game structure. Service integrator decides social responsibility and service price, while the two service suppliers with quality preference determine their quality efforts, respectively. By analyzing the two-layer game structure and eight different scenarios of decision models (i.e., CD, DD, ICD, IDD, ISD, SCD, SDD, and SSD), we establish members’ utility functions under different decision models. Meanwhile, based on game theory, the optimal strategies of SSC are obtained. Mathematical reasoning and numerical simulations show that, firstly, quality preference has impact on optimal strategy and members’ utilities under different constraints. Secondly, utility of supply chain with integrator as a leader is greater than the case with suppliers as the leader.

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