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

26

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2,017

SSRN CITATIONS
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59

CROSSREF CITATIONS

38

Scholarly Papers (26)

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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

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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

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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
Massimiliano Amarante, Mario Ghossoub and Edmund S. Phelps
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)

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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

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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)

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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

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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

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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)

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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

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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