Tim J. Boonen

University of Hong Kong

Pokfulam Road

Hong Kong

China

SCHOLARLY PAPERS

45

DOWNLOADS
Rank 17,814

SSRN RANKINGS

Top 17,814

in Total Papers Downloads

5,796

TOTAL CITATIONS
Rank 14,636

SSRN RANKINGS

Top 14,636

in Total Papers Citations

79

Scholarly Papers (45)

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 Hong Kong, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center For Economic Research
Downloads 487 (120,978)
Citation 6

Abstract:

Loading...

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 Hong Kong
Downloads 361 (171,050)
Citation 6

Abstract:

Loading...

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

3.

Static and Dynamic Risk Capital Allocations With the Euler Rule

Number of pages: 22 Posted: 13 Dec 2018 Last Revised: 26 Jun 2023
Tim J. Boonen
University of Hong Kong
Downloads 343 (180,871)

Abstract:

Loading...

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

4.

Multi-period Peer-to-Peer Risk Sharing

Journal of Risk and Insurance
Number of pages: 39 Posted: 06 Apr 2022 Last Revised: 06 Feb 2024
Samal Abdikerimova, Tim J. Boonen and Runhuan Feng
University of Illinois at Urbana-Champaign, University of Hong Kong and Tsinghua University - Tsinghua University School of Economics and Management
Downloads 304 (205,799)
Citation 4

Abstract:

Loading...

Risk management; peer-to-peer network; risk sharing; multi-period optimization; mean-variance objective; financial fairness.

5.

(No-)Betting Pareto Optima under Rank-Dependent Utility

Mathematics of Operations Research
Number of pages: 30 Posted: 20 Feb 2020 Last Revised: 05 Dec 2023
Patrick Beissner, Tim J. Boonen and Mario Ghossoub
Australian National University, University of Hong Kong and University of Waterloo
Downloads 237 (264,952)

Abstract:

Loading...

Non-Convex Preferences, Risk Sharing, Pareto Optimality, Sunspots, Rank-Dependent Utility

6.

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 Hong Kong, Bayes Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 212 (294,809)
Citation 3

Abstract:

Loading...

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

7.

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 Hong Kong, University of Waterloo and University of Nebraska Lincoln
Downloads 190 (326,310)
Citation 1

Abstract:

Loading...

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

8.

Competitive Insurance Pricing Strategies for Multiple Lines of Business: A Game-Theoretic Approach

Number of pages: 46 Posted: 28 Mar 2022 Last Revised: 23 Jun 2024
The University of Hong Kong - Department of Statistics and Actuarial Science, University of Hong Kong, Monash University - Department of Econometrics & Business Statistics and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 187 (331,050)
Citation 1

Abstract:

Loading...

Game theory, Open-and closed-loop equilibrium, Competitive markets, Multiple lines of business. JEL classification: G22, C61, C72

9.

Pareto-Efficient Risk Sharing in Centralized Insurance Markets with Application to Flood Risk

Number of pages: 44 Posted: 15 Sep 2022 Last Revised: 27 Jan 2024
Tim J. Boonen, Wing Fung Chong and Mario Ghossoub
University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Waterloo
Downloads 175 (351,399)

Abstract:

Loading...

Climate change, flood risk, spatial diversification, risk sharing, Pareto optimality, layer-type indemnities

10.

Optimal Premium Pricing in a Competitive Stochastic Insurance Market with Incomplete Information: A Bayesian Game-theoretic Approach

Insurance: Mathematics and Economics, Volume 119, pp. 32-47. November 2024, DOI: 10.1016/j.insmatheco.2024.07.006
Number of pages: 51 Posted: 18 Aug 2023
The University of Hong Kong - Department of Statistics and Actuarial Science, University of Hong Kong, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 159 (381,609)
Citation 1

Abstract:

Loading...

Competitive Insurance Markets, Incomplete Information, Bayesian Nash Equilibrium, Combined Ratio. JEL classification: G22, C72, C73, C11

11.

Optimal Insurance under Maxmin Expected Utility

Number of pages: 46 Posted: 28 Nov 2020 Last Revised: 22 Jun 2022
Corina Birghila, Tim J. Boonen and Mario Ghossoub
University of Waterloo, University of Hong Kong and University of Waterloo
Downloads 152 (396,517)

Abstract:

Loading...

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

12.

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
City University London - The Business School and University of Hong Kong
Downloads 151 (398,643)
Citation 6

Abstract:

Loading...

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

13.

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 Hong Kong, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 145 (411,867)
Citation 8

Abstract:

Loading...

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

14.

An Integrated Study of Cybersecurity Investments and Cyber Insurance Purchases

Number of pages: 30 Posted: 07 Dec 2023
Tim J. Boonen, Yang Feng and Zhiwei Tong
University of Hong Kong, University of Science and Technology Beijing and University of Iowa - Department of Statistics & Actuarial Science
Downloads 136 (433,315)

Abstract:

Loading...

Risk management; Nash equilibrium; Cyber risk; Cybersecurity; Cyber insurance; Network contagion

15.

Forecasting Compositional Risk Allocations

XREAP 2017-04
Number of pages: 35 Posted: 01 Nov 2017
University of Hong Kong, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 135 (435,813)
Citation 6

Abstract:

Loading...

simplex, capital allocation, dynamic management

16.

Space, Mortality, and Economic Growth

Number of pages: 24 Posted: 17 Dec 2019 Last Revised: 20 Sep 2022
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 Hong Kong
Downloads 132 (443,616)

Abstract:

Loading...

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

17.

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 Hong Kong and University of Waterloo
Downloads 119 (480,919)
Citation 1

Abstract:

Loading...

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

18.

Longevity Risk Modeling with the Consumer Price Index

North American Actuarial Journal
Number of pages: 24 Posted: 23 Sep 2022 Last Revised: 25 Jul 2023
Qingxiao Ma and Tim J. Boonen
China National Health Development Research Center and University of Hong Kong
Downloads 118 (483,980)

Abstract:

Loading...

Longevity Risk, Consumer Price Index, Gross Domestic Product, Forecasting

19.

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 Hong Kong, University of Waterloo and University of Nebraska Lincoln
Downloads 118 (483,980)
Citation 4

Abstract:

Loading...

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

20.

Robust insurance design with distortion risk measures

European Journal of Operational Research
Number of pages: 33 Posted: 27 Dec 2022 Last Revised: 06 Feb 2024
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 116 (490,203)

Abstract:

Loading...

Risk management, optimal insurance, distortion risk measure, L2 distance, L1 distance, Tail Value-at-Risk

21.

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 Hong Kong
Downloads 116 (490,203)
Citation 5

Abstract:

Loading...

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

22.

Pareto-optimal Reinsurance with Default Risk and Solvency Regulation

Probability in the Engineering and Informational Sciences
Number of pages: 34 Posted: 16 Mar 2021 Last Revised: 09 Mar 2022
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 113 (499,914)

Abstract:

Loading...

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

23.

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 Hong Kong, Monash University - Department of Econometrics & Business Statistics and University of Liverpool, Department of Mathematical Sciences
Downloads 112 (503,140)
Citation 1

Abstract:

Loading...

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

24.

Bowley vs. Pareto Optima in Reinsurance Contracting

European Journal of Operational Research, Forthcoming
Number of pages: 24 Posted: 26 Jan 2022 Last Revised: 09 Aug 2022
Tim J. Boonen and Mario Ghossoub
University of Hong Kong and University of Waterloo
Downloads 110 (509,879)
Citation 3

Abstract:

Loading...

Risk Management, Optimal Reinsurance, Pareto Optimality, Bowley Optimality, Convex Risk Measures

25.

Equilibria and Efficiency in a Reinsurance Market

Insurance: Mathematics and Economics, Vol. 113, No. 1, 2023
Number of pages: 35 Posted: 28 Dec 2022 Last Revised: 13 Aug 2023
Michael B. Zhu, Mario Ghossoub and Tim J. Boonen
University of Waterloo, University of Waterloo and University of Hong Kong
Downloads 97 (556,761)

Abstract:

Loading...

Optimal reinsurance, Bowley optima, Stackelberg equilibria, Subgame perfect Nash equilibria, Pareto efficiency, Choquet pricing, Heterogeneous beliefs

26.

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
University of Essex - Department of Mathematics and University of Hong Kong
Downloads 97 (556,761)

Abstract:

Loading...

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

27.

Insurance With Heterogeneous Preferences

Journal of Mathematical Economics, Forthcoming
Number of pages: 35 Posted: 08 Oct 2020 Last Revised: 05 Jul 2022
Tim J. Boonen and Fangda Liu
University of Hong Kong and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 96 (560,532)
Citation 1

Abstract:

Loading...

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

28.

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
The University of Hong Kong - Department of Statistics and Actuarial Science, University of Hong Kong, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 94 (568,083)

Abstract:

Loading...

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

29.

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 Hong Kong
Downloads 86 (599,852)
Citation 1

Abstract:

Loading...

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

30.

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
City University London - The Business School, University of Hong Kong, Central University of Finance and Economics (CUFE) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 83 (612,654)
Citation 5

Abstract:

Loading...

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

31.

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 Hong Kong and University of Waterloo
Downloads 82 (616,964)
Citation 8

Abstract:

Loading...

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

32.

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 Hong Kong, University of Waterloo and University of Nebraska Lincoln
Downloads 77 (638,933)
Citation 3

Abstract:

Loading...

Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

33.

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 Hong Kong, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center For Economic Research
Downloads 74 (652,841)

Abstract:

Loading...

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

34.

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 Hong Kong and University of Waterloo
Downloads 72 (662,376)

Abstract:

Loading...

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

35.

Mean-Variance Insurance Design with Counterparty Risk and Incentive Compatibility

ASTIN Bulletin, 2022
Number of pages: 24 Posted: 28 Jul 2021 Last Revised: 06 Feb 2024
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 70 (672,083)
Citation 3

Abstract:

Loading...

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

36.

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

European Journal of Operational Research, 2022
Number of pages: 38 Posted: 29 Mar 2021 Last Revised: 06 Feb 2024
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 67 (687,320)

Abstract:

Loading...

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

37.

Bowley Insurance with Expected Utility Maximization of the Policyholders

North American Actuarial Journal, Forthcoming
Number of pages: 24 Posted: 13 Apr 2023
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 61 (720,043)

Abstract:

Loading...

Bowley insurance, expected net profit, safety loading factor, Pareto optimality

38.

Peer-to-peer risk-sharing schemes with heterogeneity and infinite-mean losses

Number of pages: 25 Posted: 20 Dec 2024
Tim J. Boonen and Ka Long Chiu
University of Hong Kong and The University of Hong Kong
Downloads 58 (737,489)

Abstract:

Loading...

Peer-to-peer risk sharing, heterogeneous risks, infinite-mean losses, first-order stochastic dominance, convex order

39.

Bilateral risk sharing in a comonotone market with rank-dependent utilities

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 31 Posted: 02 Feb 2022 Last Revised: 20 Sep 2022
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 57 (743,509)

Abstract:

Loading...

Risk-sharing, rank-dependent expected utility, comonotonicity, calculus of variations

40.

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 Hong Kong, Australian National University (ANU), Australian National University (ANU) and ANU RSFAS
Downloads 55 (755,939)

Abstract:

Loading...

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

41.

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
University of Amsterdam - Department of Quantitative Economics (KE) and University of Hong Kong
Downloads 45 (824,659)
Citation 2

Abstract:

Loading...

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

42.

Competitive insurance pricing in a duopoly

Number of pages: 30 Posted: 04 Nov 2024
University of Hong Kong, Monash Business School, The University of Hong Kong - Department of Statistics and Actuarial Science and Monash University - Department of Econometrics & Business Statistics
Downloads 32 (934,958)

Abstract:

Loading...

Stackelberg equilibrium, Nash equilibrium, Insurance duopoly, Game theory

43.

VAR Model with Sparse Group LASSO for Multi-population Mortality Forecasting

Number of pages: 54 Posted: 18 Oct 2024
Tim J. Boonen and Yuhuai Chen
University of Hong Kong and The University of Hong Kong
Downloads 32 (934,958)

Abstract:

Loading...

Mortality modeling, forecasting, multiple populations, sparse group LASSO, spatial-temporal weights

44.

Distributionally robust insurance under the Wasserstein distance

Number of pages: 28 Posted: 03 Oct 2024
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 26 (995,952)

Abstract:

Loading...

Optimal insurance, robustness, distortion risk measure, Wasserstein distance, Glue-VaR

45.

Machine Learning Algorithms for Credit Card Fraud Detection: Cost-Sensitive and Ensemble Learning Enhancements

Number of pages: 30
Xinyue Fan and Tim J. Boonen
University of Hong Kong and University of Hong Kong
Downloads 7

Abstract:

Loading...

credit card fraud detection, machine learning, class imbalance, ensemble learning, cost-sensitive analysis