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Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach
Research on mortality modeling of multiple populations focuses mainly on extrapolating past mortality trends and summarizing these trends by one or more common latent factors. This article proposes aExpand
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The role of a representative reinsurer in optimal reinsurance
In this paper, we consider a one-period optimal reinsurance design model with n reinsurers and an insurer. For very general preferences of the insurer and that all reinsurers use a distortion premiumExpand
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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 thisExpand
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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 distortionExpand
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Risk Sharing with Expected and Dual Utilities
This paper analyzes optimal risk sharing among agents that are endowed with either expected utility preferences or with dual utility preferences. We find that Pareto optimal risk redistributions andExpand
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Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator
  • T. Boonen
  • Economics, Computer Science
  • Eur. J. Oper. Res.
  • 1 May 2016
TLDR
This paper proposes a way to optimally regulate bargaining for risk redistributions. Expand
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Capital allocation for portfolios with non-linear risk aggregation
Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of random loss/profit variables, with the firmExpand
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COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
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 theExpand
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Optimal Reinsurance with Heterogeneous Reference Probabilities
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 weExpand
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Solvency II solvency capital requirement for life insurance companies based on expected shortfall
  • T. Boonen
  • Economics, Medicine
  • European actuarial journal
  • 12 July 2017
This paper examines the consequences for a life annuity insurance company if the solvency II solvency capital requirements (SCR) are calibrated based on expected shortfall (ES) instead ofExpand
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