14 papers
Nash Peer-to-Peer Insurance Bargaining under Price Fairness and Coalitional Stability
Tim J. Boonen, Wing Fung Chong, Kenneth Tsz Hin Ng +1
We study peer-to-peer (P2P) insurance contracting between a risk-averse P2P reinsurer and multiple risk-averse peers in an asymmetric Nash-bargaining framework, where all agents se…
Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
Tim J. Boonen, Engel John C. Dela Vega, Len Patrick Dominic M. Garces
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection…
Betting under Common Beliefs: The Effect of Probability Weighting
Patrick Beissner, Tim Boonen, Mario Ghossoub
This paper examines the impact of introducing a Rank-Dependent Utility (RDU) agent into a von Neumann-Morgenstern (vNM) pure-exchange economy with no aggregate uncertainty. In the…
Pareto and Bowley Reinsurance Games in Peer-to-Peer Insurance
Tim J. Boonen, Kenneth Tsz Hin Ng, Tak Wa Ng +1
We propose a peer-to-peer (P2P) insurance scheme comprising a risk-sharing pool and a reinsurer. A plan manager determines how risks are allocated among members and ceded to the re…
Fairness-Aware Insurance Pricing: A Multi-Objective Optimization Approach
Tim J. Boonen, Xinyue Fan, Zixiao Quan
Machine learning improves predictive accuracy in insurance pricing but exacerbates trade-offs between competing fairness criteria across different discrimination measures, challeng…
Pareto-optimal reinsurance under dependence uncertainty
Tim J. Boonen, Xia Han, Peng Liu +1
This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The ri…
Monopoly Pricing of Weather Index Insurance
Tim J. Boonen, Wenyuan Li, Zixiao Quan
This study models the monopoly pricing of weather index insurance as a Bowley-type sequential game involving a profit-maximizing insurer (leader) and a farmer (follower). The farme…
Optimal Dividend, Reinsurance and Capital Injection Strategies for Collaborating Business Lines: The Case of Excess-of-Loss Reinsurance
Tim J. Boonen, Engel John C. Dela Vega
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-…
Optimal Dividend, Reinsurance, and Capital Injection Strategies for an Insurer with Two Collaborating Business Lines
Tim J. Boonen, Engel John C. Dela Vega, Bin Zou
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three dec…
Optimal Ratcheting of Dividends with Irreversible Reinsurance
Tim J. Boonen, Engel John C. Dela Vega
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of…
Optimal insurance design with Lambda-Value-at-Risk
Tim J. Boonen, Yuyu Chen, Xia Han +1
This paper explores optimal insurance solutions based on the Lambda-Value-at-Risk ($Λ\VaR$). If the expected value premium principle is used, our findings confirm that, similar to…
Optimal insurance with mean-deviation measures
Tim J. Boonen, Xia Han
This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function o…
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…
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…