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

33

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TOTAL CITATIONS
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Top 11,489

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99

Scholarly Papers (33)

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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 632 (90,316)
Citation 5

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

2.

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

Mathematics of Operations Research
Number of pages: 30 Posted: 20 Feb 2020 Last Revised: 05 Dec 2023
Patrick Beissner, Tim J. Boonen and Mario Ghossoub
Australian National University, University of Hong Kong and University of Waterloo
Downloads 246 (264,067)

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

3.

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 228 (284,362)
Citation 13

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

4.

Pareto-Efficient Risk Sharing in Centralized Insurance Markets with Application to Flood Risk

Number of pages: 44 Posted: 15 Sep 2022 Last Revised: 27 Jan 2024
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 181 (352,935)

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

5.

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 178 (358,159)
Citation 8

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

6.

Bowley-Optimal Convex-Loaded Premium Principles

Number of pages: 36 Posted: 09 May 2023 Last Revised: 24 Jan 2025
Mario Ghossoub, Bin Li and Benxuan Shi
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 172 (369,114)

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Optimal premium principles, Stackelberg equilibrium, Bowley optima, Dual approach, Expected-value premium principle, Stop-loss premium principle

7.

Risk-Constrained Portfolio Choice under Rank-Dependent Utility

Number of pages: 39 Posted: 18 Oct 2023
Mario Ghossoub and Michael B. Zhu
University of Waterloo and University of Waterloo
Downloads 161 (390,808)

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Portfolio choice, Rank-dependent utility, Quantile formulation, Choquet integral, Distortion risk measures

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 156 (401,541)

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

9.

Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance

Number of pages: 32 Posted: 30 Jan 2023 Last Revised: 08 Nov 2024
M. Denuit, Jan Dhaene, Mario Ghossoub and Christian Robert
Catholic University of Louvain (UCL), Katholieke Universiteit Leuven, University of Waterloo and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 145 (426,230)
Citation 4

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Risk Sharing, Comonotonicity, Pareto Optimality, Convex Order, Convex Order Improvement, Peer-to-Peer Insurance

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 137 (446,054)
Citation 12

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

11.

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 130 (465,289)
Citation 1

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

12.

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 127 (473,840)

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

13.

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 124 (482,829)
Citation 1

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

14.

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 121 (492,053)

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

15.

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 116 (508,083)
Citation 6

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

16.

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 105 (547,286)
Citation 3

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

17.

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 101 (562,910)
Citation 3

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18.

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 100 (566,763)
Citation 11

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

19.

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 95 (586,115)
Citation 1

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

20.

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 92 (598,175)
Citation 1

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

21.

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 92 (598,175)
Citation 3

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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.

22.

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 88 (614,849)
Citation 7

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Optimal Insurance, Deductible, Heterogeneous Beliefs

23.

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 87 (619,097)
Citation 8

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

24.

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 85 (627,891)
Citation 5

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

25.

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 75 (674,560)

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

26.

Pareto-Optimal Insurance with an Upper Limit on the Insurer's Exposure

Scandinavian Actuarial Journal, forthcoming.
Number of pages: 26 Posted: 18 Oct 2023
Oma Coke, Mario Ghossoub and Michael B. Zhu
MUREX Canada Software Limited, University of Waterloo and University of Waterloo
Downloads 66 (722,892)

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Optimal insurance, Pareto efficiency, Distortion premium principles, Heterogeneous beliefs, Upper limit

27.

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 65 (728,635)
Citation 2

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

28.

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 62 (746,559)

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29.

Stackelberg Equilibria with Multiple Policyholders

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 28 Posted: 08 Dec 2023 Last Revised: 29 Feb 2024
Mario Ghossoub and Michael B. Zhu
University of Waterloo and University of Waterloo
Downloads 59 (765,279)

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Optimal (re)insurance, Bowley optima, Stackelberg equilibria, Pareto efficiency, Choquet pricing, Coherent risk measures, Heterogeneous beliefs, Flood risk

30.

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 59 (765,279)

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

31.

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 59 (765,279)
Citation 4

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

32.

On Belief Singularity and the Optimality of Deductible Indemnity Schedules

Number of pages: 15 Posted: 24 Sep 2019
Mario Ghossoub
University of Waterloo
Downloads 58 (778,370)

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

33.

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 39 (922,074)
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