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Optimal insurance with mean-deviation measures

Boonen, Tim J.; Han, Xia - In: Insurance : mathematics and economics 118 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10015066989

Competitive equilibria with distortion risk measures

Boonen, Tim J. - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 703-728

Persistent link: https://www.econbiz.de/10011397655

Capital allocation for portfolios with non-linear risk aggregation

Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106

Persistent link: https://www.econbiz.de/10011694391

Optimal Reinsurance with Multiple Reinsurers : Distortion Risk Measures, Distortion Premium Principles, and Heterogeneous Beliefs

Boonen, Tim J. - 2020

This paper unifies the work on multiple reinsurers, distortion risk measures, premium budgets,and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while seekingreinsurance with finitely many reinsurers. The reinsurers use distortion premium principles, andthey are allowed...

Persistent link: https://www.econbiz.de/10012847139

A generalization of the Aumann-Shapley value for risk capital allocation problems

Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: European journal of operational research : EJOR 282 (2020) 1, pp. 277-287

Persistent link: https://www.econbiz.de/10012157603

Optimal reinsurance design with distortion risk measures and asymmetric information

Boonen, Tim J.; Zhang, Yiying - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 607-629

Persistent link: https://www.econbiz.de/10012523259

Optimal reinsurance with multiple reinsurers : distortion risk measures, distortion premium principles, and heterogeneous beliefs

Boonen, Tim J.; Ghossoub, Mario - In: Insurance / Mathematics & economics 101 (2021) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10012793907

Robust insurance design with distortion risk measures

Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 316 (2024) 2, pp. 694-706

Persistent link: https://www.econbiz.de/10014575576

Distributionally robust insurance under the Wasserstein distance

Boonen, Tim J.; Jiang, Wenjun - In: Insurance : mathematics and economics 120 (2025), pp. 61-78

Persistent link: https://www.econbiz.de/10015431886