3 citations · 8 across the 16 of their papers we have counts for
10 papers · 1 filter
Implementability in Insurance Markets with Adverse Selection
Maria Andraos, Mario Ghossoub
We consider an insurance market with hidden information, where the agent's type is private information and is drawn from an arbitrary type space. We study implementability of a col…
Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
Brandon Tam, Mario Ghossoub, Silvana M. Pesenti
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represent…
Stackelberg Equilibria in Monopoly Insurance Markets with Probability Weighting
Maria Andraos, Mario Ghossoub, Bin Li +1
We study Stackelberg Equilibria (Bowley optima) in a monopolistic centralized sequential-move insurance market, with a profit-maximizing insurer who sets premia using a distortion…
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…
Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk…
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…
Counter-monotonic risk allocations and distortion risk measures
Mario Ghossoub, Qinghua Ren, Ruodu Wang
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has onl…
Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions
Mario Ghossoub, Jesse Hall, David Saunders
We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distribu…
Optimal Insurance under Maxmin Expected Utility
Corina Birghila, Tim J. Boonen, Mario Ghossoub
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Sc…
On the Continuity of the Feasible Set Mapping in Optimal Transport
Mario Ghossoub, David Saunders
Consider the set of probability measures with given marginal distributions on the product of two complete, separable metric spaces, seen as a correspondence when the marginal distr…