Fear of Loss, Inframodularity, and Transfers

Fear of Loss, Inframodularity, and Transfers

CQF Fear of Loss, Inframodularity, and Transfers Marco Scarsini , Singapore University of Technology and Design, Singapore Date: 17 Jan 2014 Time: 4.00pm – 5.00pm Venue: S17-04-06

About the Speaker

Marco Scarsini’s research has covered different fields during his academic career. In applied probability he has extensively contributed to the study of stochastic orders and dependence concepts. He has applied some of these results to problems in decision theory and economic theory. He has studied different topics in cooperative and noncooperative game theory. In particular he has contributed to some applications of cooperative game theory in supply chain and has devoted his attention to the use of stochastic methods in noncooperative game theory. More recently he has studied models of social learning and their effects on the pricing decisions for a monopolist. Before joining SUTD he has taught in various universities in Europe and has held visiting positions in universities and research centers around the world. He was the PI of several research grants form the Italian Ministry of University and Research. He serves on the editorial boards of several scientific journals. He has published more than eighty papers in scientific journals in applied probability, game theory, economic theory, operations research, statistics.

Abstract

There exist several characterizations of concavity for univariate functions. One of them states that a function is concave if and only if it has nonincreasing differences. This definition provides a natural generalization of concavity for multivariate functions called inframodularity. Inframodular transfers are defined and it is shown that a finite lottery is preferred to another by all expected utility maximizers with an inframodular utility if and only if the first lottery can be obtained from the second via a sequence of inframodular transfers. This result is a natural multivariate generalization of Rothschild and Stiglitz’s construction based on mean preserving spreads.