9 papers
Incentive Pareto Efficiency in Monopoly Insurance Markets with Adverse Selection
Maria Andraos, Mario Ghossoub
We study a monopolistic insurance market with hidden information, where the agent's type is private information that is unobservable to the insurer, and it is drawn from a con…
Stackelberg Equilibria in Monopoly Insurance Markets with Probability Weighting
Maria Andraos, Mario Ghossoub, Bin Li +1
We study Stackelberg Equilibria (Bowley optima) in a monopolistic centralized sequential-move insurance market, with a profit-maximizing insurer who sets premia using a distortion…
Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
Brandon Tam, Mario Ghossoub, Silvana M. Pesenti
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represent…
Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk…
Allocation Mechanisms in Decentralized Exchange Markets with Frictions
Mario Ghossoub, Giulio Principi, Ruodu Wang
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the…
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…