Mario Ghossoub

University of Waterloo

Dept. of Statistics & Actuarial Science

200 University Ave. W.

Waterloo, Ontario N2L 3G1

Canada

http://uwaterloo.ca/scholar/mghossou

  • University of Waterloo

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 35,585

SSRN RANKINGS

Top 35,585

in Total Papers Downloads

1,203

CITATIONS
Rank 25,422

SSRN RANKINGS

Top 25,422

in Total Papers Citations

10

Scholarly Papers (17)

Actions:
Email selected abstracts
1.

Static Portfolio Choice Under Cumulative Prospect Theory

Mathematics and Financial Economics, Vol. 2, No. 4, March, 2010
Number of pages: 40 Posted: 30 Apr 2009 Last Revised: 19 Jul 2010
Carole Bernard and Mario Ghossoub
Grenoble Ecole de Management and University of Waterloo
Downloads 551 (47,765)
Citation 8

Abstract:

Loading...

Cumulative Prospect Theory, Portfolio Choice, Behavioral Finance, Omega Measure

2.

Arrow's Theorem of the Deductible with Heterogeneous Beliefs

The North American Actuarial Journal, 21(1):15-35, 2017
Number of pages: 27 Posted: 30 Mar 2012 Last Revised: 16 Mar 2017
Mario Ghossoub
University of Waterloo
Downloads 146 (195,359)

Abstract:

Loading...

Optimal insurance, deductible contract, subjective probability, heterogeneous beliefs.

3.

Equimeasurable Rearrangements with Capacities

Mathematics of Operations Research, 40(2):429-445, 2015
Number of pages: 30 Posted: 28 Mar 2012 Last Revised: 20 Jul 2015
Mario Ghossoub
University of Waterloo
Downloads 110 (242,744)

Abstract:

Loading...

Ambiguity, Capacity, Non-Additive Probability, Choquet Integral, Monotone Equimeasurable Rearrangement

4.

Optimal Underwriting Contracts in Securities Issuance Under Rank-Dependent Expected Utility

Number of pages: 34 Posted: 19 Jan 2018
Mario Ghossoub and Xue Dong He
University of Waterloo and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 64 (337,692)

Abstract:

Loading...

IPOs, Best-Efforts Contract, Firm-Commitment Contract, Stand-By Contract, Ambiguity, Knightian Uncertainty, Capacity, Non-Additive Probability, Choquet Integral, Rank-Dependent Expected Utility

5.

Vigilant Measures of Risk and the Demand for Contingent Claims

Insurance: Mathematics and Economics, Vol. 61, No. 1, 2015
Number of pages: 35 Posted: 23 Jul 2012 Last Revised: 28 Jan 2015
Mario Ghossoub
University of Waterloo
Downloads 58 (354,616)
Citation 1

Abstract:

Loading...

Utility Maximization, Contingent Claims, Optimal Insurance, Deductible, Ambiguity, Choquet Integral, Distorted Probabilities, Quantiles, Monotone Likelihood Ratio

6.

Ambiguity on the Insurer's Side: The Demand for Insurance

Journal of Mathematical Economics, Vol. 58, No. 1, 2015
Number of pages: 46 Posted: 30 Jan 2015 Last Revised: 18 Jun 2015
Massimiliano Amarante, Mario Ghossoub and Edmund S. Phelps
University of Montreal, University of Waterloo and Center on Capitalism and Society, Columbia University
Downloads 49 (382,812)

Abstract:

Loading...

Optimal Insurance, Deductible, Ambiguity, Choquet Integral, Distorted Probabilities

7.

Optimal Insurance with Heterogeneous Beliefs and Disagreement About Zero-Probability Events

Risks, 4(3):29, 2016
Number of pages: 32 Posted: 15 Mar 2015 Last Revised: 16 Mar 2017
Mario Ghossoub
University of Waterloo
Downloads 43 (403,752)

Abstract:

Loading...

Optimal insurance, deductible contract, subjective probability, heterogeneous beliefs, mutual singularity

8.

Cost-Efficient Contingent Claims with Market Frictions

Mathematics and Financial Economics - 10(1):87-111, 2016.
Number of pages: 24 Posted: 21 Jul 2015 Last Revised: 08 Aug 2017
Mario Ghossoub
University of Waterloo
Downloads 32 (447,454)

Abstract:

Loading...

Payoff Distributional Pricing, Cost-Efficiency, Contingent Claims, Nonlinear Pricing, Bid-Ask Spread, Ambiguity, Knightian Uncertainty, Non-Additive Probability, Choquet Integral.

9.

Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer

Risks, 4(1):8, 2016
Number of pages: 33 Posted: 30 Jan 2015 Last Revised: 16 Mar 2017
Massimiliano Amarante and Mario Ghossoub
University of Montreal and University of Waterloo
Downloads 30 (456,635)
Citation 1

Abstract:

Loading...

Optimal Insurance, Deductible, Minimum Retention, Ambiguity, Choquet Integral, Probability Distortion

10.

Budget-Constrained Optimal Insurance with Belief Heterogeneity

Number of pages: 27 Posted: 25 Oct 2018 Last Revised: 11 Feb 2019
Mario Ghossoub
University of Waterloo
Downloads 24 (487,398)

Abstract:

Loading...

Optimal Insurance, Deductible, Heterogeneous Beliefs

11.

Optimal Insurance Under Rank-Dependent Expected Utility

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 33 Posted: 23 Aug 2018 Last Revised: 10 Apr 2019
Mario Ghossoub
University of Waterloo
Downloads 24 (487,398)

Abstract:

Loading...

Optimal Insurance, Deductible Contract, Ambiguity, Rank-Dependent Utility, Probability Distortion, Choquet Integral

12.

A Neyman-Pearson Problem with Ambiguity and Nonlinear Pricing

Mathematics and Financial Economics, Forthcoming
Number of pages: 21 Posted: 05 Dec 2017
Mario Ghossoub
University of Waterloo
Downloads 20 (509,657)

Abstract:

Loading...

13.

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 18 (521,099)

Abstract:

Loading...

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

14.

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 14 (543,959)

Abstract:

Loading...

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

15.

Budget-Constrained Optimal Insurance with an Upper Limit on the Retained Loss

Number of pages: 29 Posted: 04 Feb 2019 Last Revised: 16 Feb 2019
Mario Ghossoub
University of Waterloo
Downloads 12 (555,793)

Abstract:

Loading...

Optimal Insurance, Deductible, Heterogeneous Beliefs, Probability Distortion, Upper Limit

16.

Optimal Insurance Without the Nonnegativity Constraint on Indemnities: Ambiguity and Belief Heterogeneity

Insurance: Mathematics and Economics, Vol. 84, No. 1, 2019
Number of pages: 39 Posted: 22 Aug 2018 Last Revised: 21 Feb 2019
Mario Ghossoub
University of Waterloo
Downloads 8 (579,523)

Abstract:

Loading...

17.

Contracting on Ambiguous Prospects

The Economic Journal, Vol. 127, Issue 606, pp. 2241-2262, 2017
Number of pages: 22 Posted: 20 Nov 2017
Massimiliano Amarante, Mario Ghossoub and Edmund S. Phelps
University of Montreal, University of Waterloo and Center on Capitalism and Society, Columbia University
Downloads 0 (650,650)
  • Add to Cart

Abstract:

Loading...