Mario Ghossoub

My current research is mainly concerned with the study of equilibria and efficient allocations in risk-sharing markets. Specifically, I study the effect of non-standard preferences of the agents (e.g., ambiguity, probability weighting, etc.), non-linear pricing (e.g., Choquet pricing), and market frictions (e.g., transaction costs) on the shape of Pareto optima and the structure of equilibria. I also consider applications to specific risk-sharing markets, such as (centralized) insurance markets and decentralized risk-sharing markets (e.g., peer-to-peer insurance).

• 2011, Ph.D., Actuarial Science, University of Waterloo

• 2006, M.S., Mathematics, University of Michigan

• 2005, Cycle International d'Études Politiques, Institut d'Études Politiques de Paris (Sciences Po)

• 2004, B.S., Actuarial Science, Notre Dame University

• Sept. 2023 - Aug. 2028, Sun Life Fellow in International Actuarial Science, University of Waterloo

• 2023, Math Golden Jubilee Research Excellence Award, University of Waterloo

• 2023, Excellence in Revieweing Award, Journal of Risk and Insurance

• 2014 - 2015, Excellent Teaching Performance Prize, Imperial College London

• 2011 - 2013, SSHRC Postdoctoral Fellowship, Social Sciences and Humanities Research Council of Canada (SSHRC)

• 2010 - 2011, James C. Hickman Fellowship, Society of Actuaries (SOA)

• 2008 - 2011, NSERC Doctoral Scholarship, Natural Sciences and Engineering Research Council of Canada (NSERC)

• 2008-2011, President's Scholarship, University of Waterloo

• 2010 - 2011, WatRISQ Doctoral Scholarship, University of Waterloo's Research Institute in Insurance, Securities and Quantitative Finance

• 2010, Mathematics Graduate Experience Award, University of Waterloo

• 2010, Graduate Scholarship, University of Waterloo

• 2009, Statistics and Actuarial Science Chair's Award, University of Waterloo

• 2009, IQFI Doctoral Scholarship, University of Waterloo's Institute for Quantitative Finance and Insurance

• 2005 - 2006, Fulbright Fellowship, U.S. Department of State - Bureau of Cultural Affairs

• 2004 - 2005, Émile Boutmy Scholarship, Institut d'Études Politiques de Paris - Academic Excellence Scholarship

• 2000 - 2004, Dean's List of Distinguished Students and Tuition Scholarship, Notre Dame University

• ACTSC 446 - Mathematics of Financial Markets
  • Taught in 2023, 2024, 2025
• ACTSC 631 - Financial Mathematics III
  • Taught in 2021
• ACTSC 846 - Mathematics of Financial Markets
  • Taught in 2024, 2025
• ACTSC 970 - Finance 1
  • Taught in 2025
• ACTSC 971 - Finance 2
  • Taught in 2021, 2023, 2024
• ACTSC 991 - Topics in Actuarial Science
  • Taught in 2021, 2024

* Only courses taught in the past 5 years are displayed.

• Ghossoub, M., Zhu, M. B., & Chong, W. F.. (Accepted). Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures . ASTIN Bulletin.

• Ghossoub, M., & Zhu, M. B.. (Accepted). Risk-Constrained Portfolio Choice under Rank-Dependent Utility . Finance and Stochastics.

• Hu, H., Charpentier, A., Ghossoub, M., & Schied, A.. (Accepted). The Multiarmed Bandit Problem Under the Mean-Variance Setting . European Journal of Operational Research.

• Ghossoub, M., Li, B., & Shi, B.. (2025). Bowley-Optimal Convex-Loaded Premium Principles . Insurance: Mathematics and Economics, 121(1), 157-180.

• Denuit, M., Dhaene, J., Ghossoub, M., & Robert, C.. (2025). Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance . Insurance: Mathematics and Economics, 120(1), 1-16.

• Boonen, T. J., & Chong, A.. (2024). Pareto-Efficient Risk Sharing in Centralized Insurance Markets with Application to Flood Risk. Journal of Risk and Insurance, 91(2), 449-488.

• Ghossoub, M., & Zhu, M. B.. (2024). Stackelberg Equilibria with Multiple Policyholders. Insurance: Mathematics and Economics, 116(1), 189-201.

• Ghossoub, M., Saunders, D., & Zhang, K. S.. (2024). Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals. Statistics & Risk Modeling, 41(1-2), 49-72.

• 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.

• Beissner, P., Boonen, T., & Ghossoub, M.. (2024). (No-)Betting Pareto Optima under Rank-Dependent Utility. Mathematics of Operations Research, 49(3), 1452-1471.

• 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.

• Ghossoub, M., Jiang, W., & Ren, J.. (2022). Pareto-Optimal Reinsurance under Individual Risk Constraints. Insurance: Mathematics and Economics, 107, 307-325.

• 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