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http://www.uva.nl/profiel/b/o/t.j.boonen/t.j.boonen.html
University of Amsterdam
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Aumann-Shapley value, non-differentiability, piecewise linear fuzzy games, Mertens value, capital allocation
Solvency II, Solvency Capital Requirement, Expected Shortfall, Value-at-Risk
optimal reinsurance design, distortion risk measure, distortion premium principle, multiple reinsurers, representative reinsurer
Capital allocation, Euler rule, fuzzy core, Aumann-Shapley value, risk measures
Competitive equilibria, comonotone market, dual utilities, rank-dependent utilities
bankruptcy problems, insurance, limited liability, partial equilibrium, risk shifting
Pareto optimal risk sharing, competitive equilibria, expected utility, dual utility
Insurance Market Competition; Premium Cycles; Solvency Ratio; Open-Loop Nash Equilibrium, Finite-time differential game
simplex, capital allocation, dynamic management
Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences
Risk management; Pareto optimal insurance; Cooperative game theory; Robust decision-making
reinsurance, multiple reinsurers, competition, premiums, Mean Conditional Value-at-Risk
longevity risk, bargaining, risk redistribution, over-the-counter trade
Dynamic Capital Allocation, Euler Rule, Proportional Rule, Simulation, Value-at-Risk
optimal reinsurance design, heterogeneous beliefs, multiple reinsurers, representative reinsurer, deductible
Risk Sharing, Pareto Optimality, Heterogeneous Beliefs, Probability Distortion, Exposure Constraints
stochastic cost allocation, egalitarian solution, rationing, constrained equal awards rule, proportional rule
