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R. Kovacevic, W. Gutjahr, D. Wozabal:
"Splitting a Random Pie: Nash-Type Bargaining with Coherent Acceptability Measures";
Research Reports (Vienna University of Technology, Institute of Statistics and Mathematical Methods in Economics, Operations Research and Control Systems), 2020-04 (2020), 04; 38 pages.

We propose an axiomatic solution concept for cooperative stochastic games where risk averse players bargainfor the distribution of profits from a joint project that depends on management decisions by the agents.We model risk preferences by coherent acceptability functionals and show that in this setting the axiomsof Pareto optimality, symmetry, and strategy proofness fully characterize a bargaining solution, which canbe efficiently computed by solving a stochastic optimization problem. Furthermore, we demonstrate thatthere is no conflict of interest between players about management decisions and characterize special caseswhere random payoffs of players are simple functions of overall project profit. In particular, we demonstratethat for players with distortion risk functionals, the optimal bargaining solution can be represented by anexchange of standard options contracts with the project profit as the underlying. We illustrate the conceptsin the paper by an extended example of risk averse households that jointly invest into a solar plant.

Stochastic bargaining games; coherent risk measures; stochastic programming; photovoltaics History

https://publik.tuwien.ac.at/files/publik_289716.pdf