Mario Ghossoub

University of Waterloo

Dept. of Statistics & Actuarial Science

200 University Ave. W.

Waterloo, Ontario N2L 3G1

Canada

http://uwaterloo.ca/scholar/mghossou

SCHOLARLY PAPERS

26

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2,017

SSRN CITATIONS
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Top 12,277

in Total Papers Citations

59

CROSSREF CITATIONS

38

Scholarly Papers (26)

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 577 (66,340)
Citation 5

Abstract:

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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 181 (228,538)
Citation 13

Abstract:

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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 137 (287,160)
Citation 6

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

4.

Comparative Risk Aversion in RDEU with Applications to Optimal Underwriting of Securities Issuance

Insurance: Mathematics and Economics, Forthcoming.
Number of pages: 51 Posted: 19 Jan 2018 Last Revised: 09 Jun 2020
Mario Ghossoub and Xue Dong He
University of Waterloo and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 98 (363,695)
Citation 1

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Rank-dependent expected utility, comparative risk aversion, risk sharing, optimal underwriting, firm-commitment contract

5.

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 Amsterdam and University of Waterloo
Downloads 90 (383,430)
Citation 1

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

6.

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 Amsterdam and University of Waterloo
Downloads 88 (388,776)

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

7.

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 71 (446,206)
Citation 7

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

8.

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 69 (446,206)
Citation 3

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

9.

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
University of Montreal, University of Waterloo and Center on Capitalism and Society, Columbia University
Downloads 64 (463,692)
Citation 11

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

10.

Bowley vs. Pareto Optima in Reinsurance Contracting

Number of pages: 22 Posted: 26 Jan 2022
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 58 (490,323)

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Optimal Reinsurance, Pareto Optimality, Bowley Optimality, Convex Risk Measures, Distortion Risk Measures, TVaR

11.

Aggregation of Opinions and Risk Measures

Number of pages: 30 Posted: 27 Sep 2020
Massimiliano Amarante and Mario Ghossoub
University of Montreal and University of Waterloo
Downloads 56 (498,288)
Citation 1

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Aggregation of opinions, Non-linear opinion pools, Non-Bayesian experts, Choquet integral, OWA aggregation, Risk measures, Value-at-risk, Robust approach to risk measurement.

12.

Bilateral Risk Sharing with No Aggregate Uncertainty under Rank-Dependent Utility

Number of pages: 26 Posted: 20 Feb 2020
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 51 (519,467)

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Risk Sharing, Pareto Optimality, Sunspots, Rank-Dependent Utility

13.

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 Amsterdam and University of Waterloo
Downloads 50 (523,892)

Abstract:

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

14.

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 47 (532,894)
Citation 7

Abstract:

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Optimal Insurance, Deductible, Heterogeneous Beliefs

15.

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 47 (532,894)
Citation 3

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

16.

Pareto-optimal Reinsurance Under Individual Risk Constraints

Number of pages: 27 Posted: 30 Dec 2021
Mario Ghossoub, Wenjun Jiang and Jiandong Ren
University of Waterloo, University of Calgary and University of Western Ontario
Downloads 41 (561,986)

Abstract:

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Reinsurance, Pareto optimality, risk constraints, distortion risk measures, Range Value-at-Risk

17.

Optimal Insurance for a Prudent Decision-Maker Under Heterogeneous Beliefs

Number of pages: 27 Posted: 07 Dec 2021 Last Revised: 19 Apr 2022
Mario Ghossoub, Wenjun Jiang and Jiandong Ren
University of Waterloo, University of Calgary and University of Western Ontario
Downloads 41 (561,986)

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Optimal insurance, heterogeneous beliefs, no-sabotage condition, marginal indemnity function, likelihood ratio

18.

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 Amsterdam and University of Waterloo
Downloads 40 (567,049)
Citation 8

Abstract:

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

19.

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 35 (593,830)

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

20.

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 33 (605,201)
Citation 4

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

21.

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

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 35 Posted: 04 Feb 2019 Last Revised: 20 Aug 2019
Mario Ghossoub
University of Waterloo
Downloads 30 (623,371)
Citation 2

Abstract:

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

22.

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 29 (629,624)

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23.

Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions

Number of pages: 26 Posted: 02 Dec 2020
Mario Ghossoub, Jesse Hall and David Saunders
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 24 (671,234)

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Spectral risk measure, Expected shortfall, Dependence uncertainty, Optimal transport, Monge-Kantorovich duality.

24.

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 24 (663,904)
Citation 3

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25.

On Belief Singularity and the Optimality of Deductible Indemnity Schedules

Number of pages: 15 Posted: 24 Sep 2019
Mario Ghossoub
University of Waterloo
Downloads 23 (671,234)

Abstract:

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Optimal Insurance, Indemnity Function, Retention Function, Deductible, Heterogeneous Beliefs, Singularity

26.

On the Continuity of the Feasible Set Mapping in Optimal Transport

Number of pages: 7 Posted: 21 Oct 2020
Mario Ghossoub and David Saunders
University of Waterloo and University of Waterloo
Downloads 13 (751,832)
Citation 1

Abstract:

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Optimal transport, Measures on product spaces with fixed marginals, Continuity of correspondences on spaces of measures, Matching with transferable utility, Assignment game, Hedonic pricing