3 papers
q-fin.RM2025
Subgame Perfect Nash Equilibria in Large Reinsurance Markets
Maria Andraos, Mario Ghossoub, Michael B. Zhu
We consider a model of a reinsurance market consisting of multiple insurers on the demand side and multiple reinsurers on the supply side, thereby providing a unifying framework an…
q-fin.RM2024
Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures
Mario Ghossoub, Michael B. Zhu, Wing Fung Chong
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily…
q-fin.MF2024
Efficiency in Pure-Exchange Economies with Risk-Averse Monetary Utilities
Mario Ghossoub, Michael Boyuan Zhu
We study Pareto efficiency in a pure-exchange economy where agents' preferences are represented by risk-averse monetary utilities. These coincide with law-invariant monetary utilit…