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

17

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1,436

CITATIONS
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20

Scholarly Papers (17)

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 - Center for Economic Research (CentER) and Tilburg University - Center For Economic Research
Downloads 385 (75,129)
Citation 6

Abstract:

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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, Forthcoming
Number of pages: 28 Posted: 13 Jan 2016 Last Revised: 02 Sep 2017
Tim J. Boonen
University of Amsterdam
Downloads 214 (140,711)
Citation 2

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

3.

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 139 (205,392)
Citation 1

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

4.

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, City University London - Cass Business School and RiskLab, ETH Zurich
Downloads 131 (215,419)
Citation 4

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

5.

Competitive Equilibria in a Comonotone Market

Number of pages: 36 Posted: 27 Dec 2017 Last Revised: 27 Jan 2018
Tim J. Boonen, Fangda Liu and Ruodu Wang
University of Amsterdam, affiliation not provided to SSRN and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 92 (276,387)
Citation 2

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

6.

Equilibrium Recoveries in Insurance Markets with Limited Liability

Number of pages: 25 Posted: 02 Sep 2016 Last Revised: 09 Nov 2017
Tim J. Boonen
University of Amsterdam
Downloads 68 (330,334)
Citation 1

Abstract:

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bankruptcy problems, insurance, limited liability, partial equilibrium, risk shifting

7.

Risk Sharing with Expected and Dual Utilities

Forthcoming, ASTIN Bulletin
Number of pages: 24 Posted: 13 Jan 2016 Last Revised: 10 Mar 2017
Tim J. Boonen
University of Amsterdam
Downloads 53 (373,603)
Citation 2

Abstract:

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

8.

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 51 (380,104)

Abstract:

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

9.

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 49 (386,712)
Citation 1

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simplex, capital allocation, dynamic management

10.

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 47 (393,633)
Citation 3

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Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

11.

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 45 (400,611)
Citation 2

Abstract:

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

12.

Optimal Reinsurance with Multiple Reinsurers: Competitive Pricing and Coalition Stability

Number of pages: 29 Posted: 22 Mar 2018
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 40 (419,056)

Abstract:

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

13.

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 - Center for Economic Research (CentER) and Tilburg University - Center For Economic Research
Downloads 36 (435,138)
Citation 3

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

14.

Static and Dynamic Risk Capital Allocations With the Euler Rule

Number of pages: 22 Posted: 13 Dec 2018 Last Revised: 27 Jun 2019
Tim J. Boonen
University of Amsterdam
Downloads 30 (461,424)

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

15.

On the Existence of a Representative Reinsurer under Heterogeneous Beliefs

Number of pages: 36 Posted: 01 Jan 2019
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 21 (509,396)
Citation 2

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

16.

Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints

Number of pages: 30 Posted: 23 Mar 2019
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 19 (520,915)

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

17.

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 16 (538,172)

Abstract:

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