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PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
Abstract Optimal reinsurance indemnities have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored. Therefore, the key objective of this…
Capital allocation for portfolios with non-linear risk aggregation
- T. Boonen, A. Tsanakas, Mario V. Wuthrich
- Economics
- 2017
Optimal insurance in the presence of reinsurance
This paper studies an optimal insurance and reinsurance design problem among three agents: policyholder, insurer, and reinsurer. We assume that the preferences of the parties are given by distortion…
COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
- T. Boonen
- EconomicsASTIN Bulletin
- 3 July 2015
Abstract This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel II regulation and the Swiss Solvency Test has increased the…
Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- T. Boonen
- EconomicsEuropean actuarial journal
- 12 July 2017
TLDR
Insurance with Multiple Insurers: A Game-Theoretic Approach
- Alexandru V. Asimit, T. Boonen
- EconomicsEur. J. Oper. Res.
- 1 December 2017
This paper studies the set of Pareto optimal insurance contracts and the core of an insurance game. Our setting allows multiple insurers with translation invariant preferences. We characterise the…
Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach
TLDR
Optimal Reinsurance with Heterogeneous Reference Probabilities
- T. Boonen
- Economics
- 7 July 2016
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang’s premium principle. The novel contribution is that we…
Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator
- T. Boonen
- EconomicsEur. J. Oper. Res.
- 1 May 2016
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