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

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CITATIONS
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61

Scholarly Papers (17)

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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 554 (48,379)
Citation 1

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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 147 (197,668)
Citation 5

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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 114 (240,730)
Citation 1

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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 67 (335,535)

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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 (360,826)
Citation 1

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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 50 (386,373)
Citation 5

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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 (410,995)

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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 33 (451,201)

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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 (465,108)
Citation 3

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

10.

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 28 (474,906)

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

11.

On the Existence of a Representative Reinsurer Under Heterogeneous Beliefs

Number of pages: 36 Posted: 01 Jan 2019 Last Revised: 31 Jul 2019
Tim J. Boonen and Mario Ghossoub
University of Amsterdam and University of Waterloo
Downloads 27 (480,068)
Citation 2

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

12.

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 25 (490,852)
Citation 3

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Optimal Insurance, Deductible, Heterogeneous Beliefs

13.

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 22 (507,725)

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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 20 (519,341)

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

15.

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 16 (542,640)

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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 9 (585,642)

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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 (667,153)
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