2 papers
q-fin.RM2020
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…
q-fin.RM2019
Nash Equilibria in Optimal Reinsurance Bargaining
Michail Anthropelos, Tim J. Boonen
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class o…