Tim J. Boonen

University of Amsterdam

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

http://www.uva.nl/profiel/b/o/t.j.boonen/t.j.boonen.html

SCHOLARLY PAPERS

29

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SSRN CITATIONS
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39

CROSSREF CITATIONS

13

Scholarly Papers (29)

1.

The Family of Weighted Aumann-shapley Values With an Application in Risk Capital Allocations

CentER Discussion Paper Series No. 2012-091
Number of pages: 35 Posted: 28 Nov 2012 Last Revised: 09 Dec 2018
Tim J. Boonen, Anja De Waegenaere and Henk Norde
University of Amsterdam, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center For Economic Research
Downloads 423 (86,449)
Citation 7

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Aumann-Shapley value, non-differentiability, piecewise linear fuzzy games, Mertens value, capital allocation

2.

Solvency II Solvency Capital Requirement for Life Insurance Companies Based on Expected Shortfall

European Actuarial Journal, 7(2), 405-434.
Number of pages: 28 Posted: 13 Jan 2016 Last Revised: 09 Jun 2020
Tim J. Boonen
University of Amsterdam
Downloads 273 (140,056)
Citation 4

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Solvency II, Solvency Capital Requirement, Expected Shortfall, Value-at-Risk

3.

Capital Allocation for Portfolios with Non-Linear Risk Aggregation

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 32 Posted: 21 May 2016 Last Revised: 16 Nov 2016
Tim J. Boonen, Andreas Tsanakas and Mario V. Wuthrich
University of Amsterdam, The Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 152 (239,782)
Citation 3

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Capital allocation, Euler rule, fuzzy core, Aumann-Shapley value, risk measures

4.

Optimal Reinsurance with One Insurer and Multiple Reinsurers

Number of pages: 27 Posted: 11 Jul 2015
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 148 (245,107)

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optimal reinsurance design, distortion risk measure, distortion premium principle, multiple reinsurers, representative reinsurer

Static and Dynamic Risk Capital Allocations With the Euler Rule

Number of pages: 22 Posted: 13 Dec 2018 Last Revised: 20 Oct 2020
Tim J. Boonen
University of Amsterdam
Downloads 123 (283,938)

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Dynamic Capital Allocation, Euler Rule, Proportional Rule, Simulation, Value-at-Risk

Static and Dynamic Risk Capital Allocations with the Euler Rule

Journal of Risk, Forthcoming
Number of pages: 15 Posted: 09 Oct 2019
Tim J. Boonen
University of Amsterdam
Downloads 1 (823,854)
Citation 1
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dynamic capital allocation, Euler rule, proportional rule, simulation, value-at-risk (VaR)

6.

Competitive Equilibria in a Comonotone Market

Economic Theory, forthcoming
Number of pages: 39 Posted: 27 Dec 2017 Last Revised: 01 Oct 2020
Tim J. Boonen, Fangda Liu and Ruodu Wang
University of Amsterdam, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 116 (294,729)
Citation 3

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Competitive equilibria, comonotone market, dual utilities, rank-dependent utilities, pricing kernel

7.

Equilibrium Recoveries in Insurance Markets with Limited Liability

Journal of Mathematical Economics 85, 38-45
Number of pages: 23 Posted: 02 Sep 2016 Last Revised: 09 Oct 2019
Tim J. Boonen
University of Amsterdam
Downloads 87 (356,324)
Citation 5

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insurance, limited liability, partial equilibrium, recovery rules, incentive compatibility

8.

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

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 34 Posted: 05 Nov 2019 Last Revised: 08 Jun 2020
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 83 (366,651)
Citation 1

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Optimal reinsurance design, distortion risk measures, distortion premium principle, heterogeneous beliefs, multiple reinsurers

9.

Non-Cooperative Dynamic Games for General Insurance Markets

Insurance: Mathematics and Economics, Vol. 78, pp. 123-135, January 2018 DOI: 10.1016/j.insmatheco.2017.12.001
Number of pages: 40 Posted: 02 Aug 2017 Last Revised: 18 Jan 2018
Tim J. Boonen, Athanasios A. Pantelous and Renchao Wu
University of Amsterdam, Monash University - Department of Econometrics & Business Statistics and University of Liverpool, Department of Mathematical Sciences
Downloads 78 (380,119)
Citation 1

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Insurance Market Competition; Premium Cycles; Solvency Ratio; Open-Loop Nash Equilibrium, Finite-time differential game

10.

Insurance with Multiple Insurers: A Game-Theoretic Approach

European Journal of Operational Research, 267(2), 778–790. doi:10.1016/j.ejor.2017.12.026.
Number of pages: 35 Posted: 01 Aug 2017 Last Revised: 08 Feb 2018
Alexandru Vali Asimit and Tim J. Boonen
Cass Business School, City, University of London and University of Amsterdam
Downloads 68 (410,188)
Citation 6

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Risk management; Pareto optimal insurance; Cooperative game theory; Robust decision-making

11.

Optimal Reinsurance with Multiple Reinsurers: Competitive Pricing and Coalition Stability

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 34 Posted: 22 Mar 2018 Last Revised: 09 Aug 2021
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 67 (413,422)
Citation 3

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reinsurance, multiple reinsurers, competition, premiums, Mean Conditional Value-at-Risk

12.

Risk Sharing with Multiple Indemnity Environments

European Journal of Operational Research, forthcoming
Number of pages: 41 Posted: 25 Jun 2020 Last Revised: 08 Mar 2021
Cass Business School, City, University of London, University of Amsterdam, Central University of Finance and Economics (CUFE) and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 65 (419,947)

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Risk management, Optimal insurance, Multiple risk environments, Value-at-Risk, Tail Value-at-Risk, Heterogeneous beliefs, Environment-specific layer indemnities

13.

Risk Sharing with Expected and Dual Utilities

ASTIN Bulletin, 47 (2), 391-415.
Number of pages: 24 Posted: 13 Jan 2016 Last Revised: 09 Jun 2020
Tim J. Boonen
University of Amsterdam
Downloads 59 (440,781)

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Pareto optimal risk sharing, competitive equilibria, expected utility, dual utility

14.

Forecasting Compositional Risk Allocations

XREAP 2017-04
Number of pages: 35 Posted: 01 Nov 2017
University of Amsterdam, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 57 (448,174)
Citation 4

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simplex, capital allocation, dynamic management

15.

Pareto-optimal Reinsurance with Default Risk and Solvency Regulation

Number of pages: 32 Posted: 16 Mar 2021
Tim J. Boonen and Wenjun Jiang
University of Amsterdam and University of Calgary
Downloads 54 (459,157)

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Reinsurance, Pareto-optimality, default risk, investment, solvency regulation

16.

Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses

Number of pages: 25 Posted: 04 Mar 2021
Hirbod Assa and Tim J. Boonen
Kent Business School and University of Amsterdam
Downloads 54 (459,157)

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Insurance mechanisms, risk sharing, contingent premium, COVID-19

17.

Pricing in Reinsurance Bargaining with Comonotonic Additive Utility Functions

ASTIN Bulletin 46 (2), 507-530, 2016
Number of pages: 26 Posted: 29 Feb 2016 Last Revised: 23 May 2016
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 50 (474,941)
Citation 3

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Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

18.

Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints

ASTIN Bulletin, 50 (1), 293-323.
Number of pages: 29 Posted: 23 Mar 2019 Last Revised: 09 Jun 2020
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 47 (487,350)

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Risk Sharing, Pareto Optimality, Heterogeneous Beliefs, Probability Distortion, Exposure Constraints

19.

Optimal Insurance under Maxmin Expected Utility

Number of pages: 41 Posted: 28 Nov 2020
Corina Birghila, Tim J. Boonen and Mario Ghossoub
University of Waterloo, University of Amsterdam and University of Waterloo
Downloads 45 (496,158)

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Optimal Insurance, Ambiguity, Multiple Priors, Maxmin-Expected Utility, Heterogeneous Beliefs

20.

Space, Mortality, and Economic Growth

Number of pages: 24 Posted: 17 Dec 2019 Last Revised: 12 Feb 2020
Kyran Cupido, Petar Jevtic and Tim J. Boonen
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Amsterdam
Downloads 42 (509,626)

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mortality, economic growth, spatial lag model, mortality forecasting, annuity pricing

21.

Bargaining for Over-the-Counter Risk Redistributions: The Case of Longevity Risk

CentER Discussion Paper Series No. 2012-090
Number of pages: 32 Posted: 28 Nov 2012
Tim J. Boonen, Anja De Waegenaere and Henk Norde
University of Amsterdam, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center For Economic Research
Downloads 40 (519,046)
Citation 3

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longevity risk, bargaining, risk redistribution, over-the-counter trade

22.

On the Existence of a Representative Reinsurer Under Heterogeneous Beliefs

Insurance: Mathematics and Economics, 88, 209-225, 2019
Number of pages: 36 Posted: 01 Jan 2019 Last Revised: 20 Aug 2020
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 36 (538,671)
Citation 8

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optimal reinsurance design, heterogeneous beliefs, multiple reinsurers, representative reinsurer, deductible

23.

Pricing in a Competitive Stochastic Insurance Market

Insurance: Mathematics and Economics, Vol. 97, pp. 44-56, March 2021 DOI: 10.1016/j.insmatheco.2021.01.003
Number of pages: 41 Posted: 20 Oct 2020 Last Revised: 28 Jan 2021
Monash University - Department of Econometrics and Business Statistics, University of Amsterdam, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 34 (549,238)

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Competitive markets, non-cooperative game theory, convex and concave demand functions, stochastic claims

24.

Bilateral Risk Sharing with No Aggregate Uncertainty under Rank-Dependent Utility

Number of pages: 26 Posted: 20 Feb 2020
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 30 (577,147)

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Risk Sharing, Pareto Optimality, Sunspots, Rank-Dependent Utility

25.

Changes in Consumption Needs and Purchases at Retirement

Number of pages: 32 Posted: 26 Sep 2019
Tim J. Boonen, Le Chang, Gaurav Khemka and Steven Roberts
University of Amsterdam, Australian National University (ANU), Australian National University (ANU) and ANU RSFAS
Downloads 30 (571,243)

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Consumption; Retirement expenditure; Affordability; Text analysis; Gender of decision maker

26.

A Marginal Indemnity Function Approach to Optimal Reinsurance under the Vajda Condition

Number of pages: 29 Posted: 29 Mar 2021
Tim J. Boonen and Wenjun Jiang
University of Amsterdam and University of Calgary
Downloads 25 (602,393)

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optimal reinsurance, distortion risk measure, Vajda condition, backward-forward optimization, Pareto-optimal reinsurance

27.

Constrained Stochastic Cost Allocation

Mathematical Social Sciences 101, 20-30
Number of pages: 23 Posted: 14 Sep 2018 Last Revised: 26 Jun 2019
Maurice Koster and Tim J. Boonen
Amsterdam School of Economics, University of Amsterdam and University of Amsterdam
Downloads 23 (615,809)
Citation 2

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stochastic cost allocation, egalitarian solution, rationing, constrained equal awards rule, proportional rule

28.

Insurance With Heterogeneous Preferences

Number of pages: 33 Posted: 08 Oct 2020
Tim J. Boonen and Fangda Liu
University of Amsterdam and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 19 (643,873)

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insurance contract theory, multiple policyholders, heterogeneous preferences, proportional insurance.

29.

Mean-Variance Insurance Design with Counterparty Risk and Incentive Compatibility

Number of pages: 24 Posted: 28 Jul 2021
Tim J. Boonen and Wenjun Jiang
University of Amsterdam and University of Calgary
Downloads 12 (695,962)

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Optimal insurance, mean-variance optimization, background risk, marginal indemnity function