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econ.TH2025
Optimal allocations with distortion risk measures and mixed risk attitudes
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonoton…
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…
econ.TH2025
Optimal Insurance in a Monopoly: Dual Utilities with Hidden Risk Attitudes
Mario Ghossoub, Bin Li, Benxuan Shi
We consider a monopoly insurance market with a risk-neutral profit-maximizing insurer and a consumer with Yaari Dual Utility preferences that distort the given continuous loss dist…