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Capital allocation for portfolios with non-linear risk aggregation
Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106
Persistent link: https://www.econbiz.de/10011694391
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Redistribution of longevity risk : the effect of heterogeneous mortality beliefs
Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: Insurance / Mathematics & economics 72 (2017), pp. 175-188
Persistent link: https://www.econbiz.de/10011694430
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Risk redistribution games with dual utilities
Boonen, Tim J. - In: Astin bulletin : the journal of the International … 47 (2017) 1, pp. 303-329
Persistent link: https://www.econbiz.de/10011671064
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The role of a representative reinsurer in optimal reinsurance
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao - In: Insurance / Mathematics & economics 70 (2016), pp. 196-204
Persistent link: https://www.econbiz.de/10011597268
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Forecasting compositional risk allocations
Boonen, Tim J.; Guillén, Montserrat; Santolino, Miguel - In: Insurance / Mathematics & economics 84 (2019), pp. 79-86
Persistent link: https://www.econbiz.de/10011990442
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On the existence of a representative reinsurer under heterogeneous beliefs
Boonen, Tim J.; Ghossoub, Mario - In: Insurance / Mathematics & economics 88 (2019), pp. 209-225
Persistent link: https://www.econbiz.de/10012105569
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Insurance with multiple insurers : a game-theoretic approach
Asimit, Vali; Boonen, Tim J. - In: European journal of operational research : EJOR 267 (2018) 2, pp. 778-790
Persistent link: https://www.econbiz.de/10011812749
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Optimal insurance in the presence of reinsurance
Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, … - In: Scandinavian actuarial journal (2017) 6, pp. 535-554
Persistent link: https://www.econbiz.de/10011848458
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Bilateral risk sharing with heterogeneous beliefs and exposure constraints
Boonen, Tim J.; Ghossoub, Mario - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 293-323
Persistent link: https://www.econbiz.de/10012194134
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A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: European journal of operational research : EJOR 282 (2020) 1, pp. 277-287
Persistent link: https://www.econbiz.de/10012157603