5 papers · 1 filter
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…