HOME /

Publications

Search
Author Title Type [ Year(Asc)]
Accepted
Boonen, T. J. , & Chong, A. . (Accepted). Pareto-Efficient Risk Sharing in Centralized Insurance Markets with Application to Flood Risk. Journal of Risk and Insurance.
Ghossoub, M. , Saunders, D. , & Zhang, K. S. . (Accepted). Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals. Statistics & Risk Modeling.
Beissner, P. , Boonen, T. , & Ghossoub, M. . (Accepted). (No-)Betting Pareto Optima under Rank-Dependent Utility. Mathematics of Operations Research.
2024
Ghossoub, M. , & Zhu, M. B. . (2024). Stackelberg Equilibria with Multiple Policyholders. Insurance: Mathematics and Economics, 116(1), 189-201.
Coke, O. , Ghossoub, M. , & Zhu, M. . (2024). Pareto-Optimal Insurance with an Upper Limit on the Insurer's Exposure. Scandinavian Actuarial Journal, 2024(3), 227-251.
2023
Zhu, M. B. , Ghossoub, M. , & Boonen, T. J. . (2023). Equilibria and Efficiency in a Reinsurance Market. Insurance: Mathematics and Economics, 113(1), 24-49.
Birghila, C. , Boonen, T. J. , & Ghossoub, M. . (2023). Optimal Insurance under Maxmin-Expected-Utility. Finance and Stochastics, 27(2), 467-501. Retrieved from https://link.springer.com/article/10.1007/s00780-023-00497-y
Ghossoub, M. , Jiang, W. , & Ren, J. . (2023). Optimal Insurance for a Prudent Decision-Maker under Heterogeneous Beliefs. European Actuarial Journal, 13(2), 703-730.
Boonen, T. J. , & Ghossoub, M. . (2023). Bowley vs. Pareto Optima in Reinsurance Contracting. European Journal of Operational Research, 307(1), 382-391. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0377221722006476?via%3Dihub
Ghossoub, M. , Hall, J. , & Saunders, D. . (2023). Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions. Mathematics of Operations Research, 48(2), 1158-1182.
2022
Ghossoub, M. , Jiang, W. , & Ren, J. . (2022). Pareto-Optimal Reinsurance under Individual Risk Constraints. Insurance: Mathematics and Economics, 107, 307-325.
2021
Amarante, M. , & Ghossoub, M. . (2021). Aggregation of Opinions and Risk Measures. Journal of Economic Theory, 196. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0022053121001277
Ghossoub, M. , & Saunders, D. . (2021). On the Continuity of the Feasible Set Mapping in Optimal Transport. Economic Theory Bulletin. Retrieved from https://link.springer.com/article/10.1007/s40505-021-00199-8
Ghossoub, M. , & He, X. . (2021). Comparative Risk Aversion in RDEU with Applications to Optimal Underwriting of Securities Issuance. Insurance: Mathematics and Economics, 101(1), 6-22. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0167668720300871
Boonen, T. , & Ghossoub, M. . (2021). Optimal Reinsurance with Multiple Reinsurers: Distortion Risk Measures, Distortion Premium Principles, and Heterogeneous Beliefs. Insurance: Mathematics and Economics, 101(1), 23-37. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0167668720300883
2020
Boonen, T. , & Ghossoub, M. . (2020). Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints. ASTIN Bulletin, 50(1), 293-323. Retrieved from https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/bilateral-risk-sharing-with-heterogeneous-beliefs-and-exposure-constraints/96919FC90D5D9091B1592464720A1E16
Ghossoub, M. . (2020). Budget-Constrained Optimal Retention With an Upper Limit on the Retained Loss. Scandinavian Actuarial Journal, 2020(3), 245-271. Retrieved from https://www.tandfonline.com/doi/full/10.1080/03461238.2019.1659177
2019
Budget-Constrained Optimal Insurance with Belief Heterogeneity. (2019). Insurance: Mathematics and Economics, 89(1), 79-91. Retrieved from https://www.sciencedirect.com/science/article/pii/S0167668719303907
Boonen, T. , & Ghossoub, M. . (2019). On the Existence of a Representative Reinsurer under Heterogeneous Beliefs. Insurance: Mathematics and Economics, 88, 209-225. Retrieved from https://www.sciencedirect.com/science/article/pii/S0167668718305365
Ghossoub, M. . (2019). Optimal Insurance under Rank-Dependent Expected Utility. Insurance: Mathematics and Economics, 87(1), 51-66. Retrieved from https://www.sciencedirect.com/science/article/pii/S0167668718302531?via%3Dihub

Pages