1 citations · 2 across the 7 of their papers we have counts for
7 papers · 1 filter
Optimal robust comonotonic risk sharing under operational constraints
Carole Bernard, Christopher Blier-Wong, Jean-Gabriel Lauzier
Risk-sharing arrangements such as reinsurance programs and catastrophe pools must satisfy operational constraints, including capacity limits, attachment bands, retention rules and…
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…
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…
Envelope theorem and discontinuous optimisation: the case of positioning choice problems
Jean-Gabriel Lauzier
This article examines differentiability properties of the value function of positioning choice problems, a class of optimisation problems in finite-dimensional Euclidean spaces. We…
Ex-post moral hazard and manipulation-proof contracts
Jean-Gabriel Lauzier
We examine the trade-off between the provision of incentives to exert costly effort (ex-ante moral hazard) and the incentives needed to prevent the agent from manipulating the prof…