1 citations · 2 across the 7 of their papers we have counts for
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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…