1 citations · 2 across the 7 of their papers we have counts for
8 papers
Designing entry-monotone risk-sharing pools
Christopher Blier-Wong, Jean-Gabriel Lauzier
While risk pooling lowers the total cost of risk, efficiency alone does not make a pool viable. Participants need terms that ensure their participation, that are immune to subgroup…
Comonotonic improvement under feasibility constraints
Christopher Blier-Wong, Jean-Gabriel Lauzier
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentiv…
Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes
Jean-Gabriel Lauzier, Liyuan Lin, Peter Wakker +1
This paper examines optimal risk sharing. It brings in empirical realism, reckoning with the risk seeking found empirically. We provide results on Pareto optimality, competitive eq…
Pairwise counter-monotonicity
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this de…
Risk sharing, measuring variability, and distortion riskmetrics
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone…
Insurance design and arson-type risks
Jean-Gabriel Lauzier
We design the insurance contract when the insurer faces arson-type risks. The optimal contract must be manipulation-proof. It is therefore continuous, it has a bounded slope, and i…