8 papers · 1 filter
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…
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 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…