Mario Ghossoub
Professor
Ralph H. and Ursula F. Goebel Chair in Actuarial Science
Fellow of the Society of Actuaries (FSA)
Fellow of the Canadian Institute of Actuaries (FCIA)
Chartered Enterprise Risk Analyst (CERA)
Financial Risk Manager (FRM) - Certified by the Global Association of Risk Professionals
Biography
My current research is mainly concerned with the study of equilibria and efficient allocations in risk-sharing markets. Specifically, I study the effect of non-standard preferences of the agents (e.g., ambiguity, probability weighting, etc.), non-linear pricing (e.g., Choquet pricing), and market frictions (e.g., transaction costs) on the shape of Pareto optima and the structure of equilibria. I also consider applications to specific risk-sharing markets, such as (centralized) insurance markets and decentralized risk-sharing markets (e.g., peer-to-peer insurance).
Selected/Recent Publications
- Ghossoub, M., Zhu, M. B., & Chong, W. F.. (Accepted). Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures . ASTIN Bulletin.
- Ghossoub, M., & Zhu, M. B.. (Accepted). Risk-Constrained Portfolio Choice under Rank-Dependent Utility . Finance and Stochastics.
- Hu, H., Charpentier, A., Ghossoub, M., & Schied, A.. (Accepted). The Multiarmed Bandit Problem Under the Mean-Variance Setting . European Journal of Operational Research.
- Ghossoub, M., Li, B., & Shi, B.. (2025). Bowley-Optimal Convex-Loaded Premium Principles . Insurance: Mathematics and Economics, 121(1), 157-180.
- Denuit, M., Dhaene, J., Ghossoub, M., & Robert, C.. (2025). Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance . Insurance: Mathematics and Economics, 120(1), 1-16.
- Boonen, T. J., & Chong, A.. (2024). Pareto-Efficient Risk Sharing in Centralized Insurance Markets with Application to Flood Risk. Journal of Risk and Insurance, 91(2), 449-488.
- Ghossoub, M., & Zhu, M. B.. (2024). Stackelberg Equilibria with Multiple Policyholders. Insurance: Mathematics and Economics, 116(1), 189-201.
- Ghossoub, M., Saunders, D., & Zhang, K. S.. (2024). Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals. Statistics & Risk Modeling, 41(1-2), 49-72.
- Coke, O., Ghossoub, M., & Zhu, M.. (2024). Pareto-Optimal Insurance with an Upper Limit on the Insurer's Exposure. Scandinavian Actuarial Journal, 2024(3), 227-251.
- Beissner, P., Boonen, T., & Ghossoub, M.. (2024). (No-)Betting Pareto Optima under Rank-Dependent Utility. Mathematics of Operations Research, 49(3), 1452-1471.
- Zhu, M. B., Ghossoub, M., & Boonen, T. J.. (2023). Equilibria and Efficiency in a Reinsurance Market. Insurance: Mathematics and Economics, 113(1), 24-49.
- Birghila, C., Boonen, T. J., & Ghossoub, M.. (2023). Optimal Insurance under Maxmin-Expected-Utility. Finance and Stochastics, 27(2), 467-501. Retrieved from https://link.springer.com/article/10.1007/s00780-023-00497-y
- Ghossoub, M., Jiang, W., & Ren, J.. (2023). Optimal Insurance for a Prudent Decision-Maker under Heterogeneous Beliefs. European Actuarial Journal, 13(2), 703-730.
- Boonen, T. J., & Ghossoub, M.. (2023). Bowley vs. Pareto Optima in Reinsurance Contracting. European Journal of Operational Research, 307(1), 382-391. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0377221722006476?via%3Dihub
- Ghossoub, M., Hall, J., & Saunders, D.. (2023). Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions. Mathematics of Operations Research, 48(2), 1158-1182.
- Ghossoub, M., Jiang, W., & Ren, J.. (2022). Pareto-Optimal Reinsurance under Individual Risk Constraints. Insurance: Mathematics and Economics, 107, 307-325.
- Amarante, M., & Ghossoub, M.. (2021). Aggregation of Opinions and Risk Measures. Journal of Economic Theory, 196. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0022053121001277
