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Static and dynamic risk capital allocations with the Euler rule

Boonen, Tim J. - In: Journal of risk 22 (2019) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013177092

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

The role of a representative reinsurer in optimal reinsurance

Boonen, Tim J.; Ken Seng Tan; Zhuang, Sheng Chao - In: Insurance / Mathematics & economics 70 (2016), pp. 196-204

Persistent link: https://www.econbiz.de/10011597268

Pricing in reinsurance bargaining with comonotonic additive utility functions

Boonen, Tim J.; Ken Seng Tan; Zhuang, Sheng Chao - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 507-530

Persistent link: https://www.econbiz.de/10011576823

Optimal insurance in the presence of reinsurance

Zhuang, Sheng Chao; Boonen, Tim J.; Ken Seng Tan; Xu, … - In: Scandinavian actuarial journal (2017) 6, pp. 535-554

Persistent link: https://www.econbiz.de/10011848458

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

Bowley reinsurance with asymmetric information on the insurer's risk preferences

Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 623-644

Persistent link: https://www.econbiz.de/10012624638

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