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2943. Coalitional Acceptability Games: A Framework for Risk-averse Stochastic Coalitional Games

Invited abstract in session TB-35: Risk Averse and Contextual Stochastic Optimization, stream Stochastic, Robust and Distributionally Robust Optimization.

Tuesday, 10:30-12:00
Room: 44 (building: 303A)

Authors (first author is the speaker)

1. David Wozabal
Vrije Universiteit Amsterdam
2. Walter Gutjahr
Department of Statistics and Operations Research, University of Vienna
3. Raimund Kovacevic
Department für Wirtschaft und Gesundheit, Universität Krems

Abstract

We study the problem of coalition formation and profit sharing among risk-averse agents who jointly undertake a project which requires management decisions and leads to uncertain outcomes. We use acceptability functionals to model the agents’ risk preferences and define the value of coalitions by the optimized sup-convolution of their acceptability functionals. We call such games coalitional acceptability games and provide conditions for the non-emptiness of the core for important subclasses of games such as network games, bankruptcy games, and generalized production games. We show that players agree on ex-ante contracts that are equivalent to a mutual exchange of standard options contracts. Finally, we illustrate our approach with two numerical examples: a water management application and a detailed case study of a virtual power plant.

Keywords

Status: accepted


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