| Publication | Date of Publication | Type |
|---|
Allocation Mechanisms in Decentralized Exchange Markets with Frictions
(available as arXiv preprint) | N/A | Paper |
Stackelberg equilibria in monopoly insurance markets with probability weighting
ASTIN Bulletin | 2026-10-02 | Paper |
Counter-monotonic risk sharing with heterogeneous distortion risk measures
Insurance Mathematics & Economics | 2026-06-23 | Paper |
Subgame perfect Nash equilibria in large reinsurance markets
Insurance Mathematics & Economics | 2026-03-12 | Paper |
Efficiency in pure-exchange economies with risk-averse monetary utilities
Mathematical Finance | 2026-01-26 | Paper |
Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures
ASTIN Bulletin | 2025-10-14 | Paper |
The multi-armed bandit problem under the mean-variance setting
European Journal of Operational Research | 2025-05-20 | Paper |
Risk-constrained portfolio choice under rank-dependent utility
Finance and Stochastics | 2025-03-28 | Paper |
Bowley-optimal convex-loaded premium principles
Insurance Mathematics & Economics | 2025-03-20 | Paper |
Comonotonicity and Pareto optimality, with application to collaborative insurance
Insurance Mathematics & Economics | 2025-02-14 | Paper |
(No-)betting Pareto optima under rank-dependent utility
Mathematics of Operations Research | 2024-11-07 | Paper |
Stackelberg equilibria with multiple policyholders
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Pareto-optimal insurance with an upper limit on the insurer's exposure
Scandinavian Actuarial Journal | 2024-04-10 | Paper |
Optimal insurance for a prudent decision maker under heterogeneous beliefs
European Actuarial Journal | 2024-02-21 | Paper |
Equilibria and efficiency in a reinsurance market
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Bowley vs. Pareto optima in reinsurance contracting
European Journal of Operational Research | 2023-07-03 | Paper |
Optimal insurance under maxmin expected utility
Finance and Stochastics | 2023-04-12 | Paper |
| A Nonlinear Sandwich Theorem | 2023-04-05 | Paper |
Pareto-optimal reinsurance under individual risk constraints
Insurance Mathematics & Economics | 2023-02-01 | Paper |
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Aggregation of opinions and risk measures
Journal of Economic Theory | 2021-09-29 | Paper |
Budget-constrained optimal retention with an upper limit on the retained loss
Scandinavian Actuarial Journal | 2020-04-07 | Paper |
Bilateral risk sharing with heterogeneous beliefs and exposure constraints
ASTIN Bulletin | 2020-02-03 | Paper |
Budget-constrained optimal insurance with belief heterogeneity
Insurance Mathematics & Economics | 2019-11-28 | Paper |
On the existence of a representative reinsurer under heterogeneous beliefs
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Optimal insurance under rank-dependent expected utility
Insurance Mathematics & Economics | 2019-06-17 | Paper |
Arrow's theorem of the deductible with heterogeneous beliefs
North American Actuarial Journal | 2019-05-28 | Paper |
Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
Insurance Mathematics & Economics | 2019-01-15 | Paper |
A Neyman-Pearson problem with ambiguity and nonlinear pricing
Mathematics and Financial Economics | 2018-07-05 | Paper |
Cost-efficient contingent claims with market frictions
Mathematics and Financial Economics | 2016-03-08 | Paper |
Ambiguity on the insurer's side: the demand for insurance
Journal of Mathematical Economics | 2015-06-10 | Paper |
Equimeasurable rearrangements with capacities
Mathematics of Operations Research | 2015-05-29 | Paper |
Vigilant measures of risk and the demand for contingent claims
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Static portfolio choice under cumulative prospect theory
Mathematics and Financial Economics | 2013-01-20 | Paper |
