Tim J. Boonen

University of Hong Kong

Pokfulam Road

Hong Kong

China

SCHOLARLY PAPERS

39

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4,287

SSRN CITATIONS
Rank 15,100

SSRN RANKINGS

Top 15,100

in Total Papers Citations

74

CROSSREF CITATIONS

15

Scholarly Papers (39)

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 469 (106,069)
Citation 6

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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 Hong Kong
Downloads 331 (157,812)
Citation 6

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

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 261 (200,239)

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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 Hong Kong
Downloads 1 (1,091,946)
Citation 1
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dynamic capital allocation, Euler rule, proportional rule, simulation, value-at-risk (VaR)

4.

Multi-period Peer-to-Peer Risk Sharing

Number of pages: 38 Posted: 06 Apr 2022
Samal Abdikerimova, Tim J. Boonen and Runhuan Feng
University of Illinois at Urbana-Champaign, University of Hong Kong and University of Illinois at Urbana-Champaign
Downloads 205 (254,686)
Citation 3

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Risk sharing; peer-to-peer insurance; mean-variance optimization; multi-period model; catastrophe risk pooling

5.

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 181 (283,353)
Citation 3

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

6.

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 178 (287,485)
Citation 1

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

7.

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

Mathematics of Operations Research
Number of pages: 30 Posted: 20 Feb 2020 Last Revised: 06 Jul 2023
Patrick Beissner, Tim J. Boonen and Mario Ghossoub
Australian National University, University of Hong Kong and University of Waterloo
Downloads 149 (334,287)

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

8.

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 136 (359,220)

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

9.

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 136 (361,251)
Citation 6

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

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 Hong Kong
Downloads 113 (412,441)
Citation 6

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

11.

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 112 (415,134)

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

12.

Flood Risk Insurance: A Micro-Economic Foundation

Number of pages: 35 Posted: 15 Sep 2022
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 110 (420,590)

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

13.

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 110 (420,590)

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

14.

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 108 (426,229)
Citation 1

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

15.

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 103 (440,832)
Citation 5

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

16.

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 97 (459,094)
Citation 3

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

17.

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 97 (459,094)
Citation 1

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

18.

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 94 (468,593)
Citation 1

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

19.

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 90 (484,996)
Citation 1

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

20.

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 90 (481,666)
Citation 6

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simplex, capital allocation, dynamic management

21.

Robust insurance design with distortion risk measures

Number of pages: 32 Posted: 27 Dec 2022 Last Revised: 06 Sep 2023
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 85 (498,994)

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

22.

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 84 (502,585)

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

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 Hong Kong, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 77 (529,088)

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

24.

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 75 (537,217)
Citation 1

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

25.

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 Hong Kong, Central University of Finance and Economics (CUFE) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 74 (541,289)
Citation 2

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

26.

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 74 (541,289)
Citation 1

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

27.

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 72 (553,773)

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

28.

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 66 (575,684)
Citation 3

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Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

29.

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 64 (584,855)

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

30.

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 63 (589,383)
Citation 8

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

31.

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

Number of pages: 43 Posted: 18 Aug 2023
Monash University - Department of Econometrics and Business Statistics, University of Hong Kong, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 61 (599,052)

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Competitive Insurance Markets; Incomplete Information; Bayesian Nash Equilibrium; Combined Ratio

32.

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 60 (603,880)
Citation 3

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

33.

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 Hong Kong and University of Calgary
Downloads 54 (634,997)

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

34.

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 Hong Kong and University of Calgary
Downloads 45 (693,344)
Citation 2

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

35.

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 44 (693,344)

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

36.

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 41 (712,893)

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

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 40 (719,753)

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

38.

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 Hong Kong
Downloads 37 (740,569)
Citation 2

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

39.

An Integrated Study of Cybersecurity Investments and Cyber Insurance Purchases

Number of pages: 30
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 0

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