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

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

  1. Stackelberg Equilibria in Monopoly Insurance Markets with Probability Weighting

    (with Maria Andraos, Bin Li, and Benxuan Shi)

    ASTIN Bulletin, Forthcoming.

  2. Counter-Monotonic Risk Allocations and Distortion Risk Measures

    (with Qinghua Ren and Ruodu Wang)

    Scandinavian Actuarial Journal, 2026(3):324-347, 2026

  3. Counter-Monotonic Risk Sharing with Heterogeneous Distortion Risk Measures

    (with Qinghua Ren and Ruodu Wang)

    Insurance: Mathematics and Economics, 128(1):103236, 2026

  4. Subgame Perfect Nash Equilibria in Large Reinsurance Markets

    (with Maria Andraos and Michael B. Zhu)

    Insurance: Mathematics and Economics, 127(1):103210, 2026

  5. Efficiency in Pure-Exchange Economies with Risk-Averse Monetary Utilities

    (with Michael B. Zhu)

    Mathematical Finance, 36(1):99-117, 2026

  6. Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures

    (with Michael B. Zhu and Alfred Chong)

    ASTIN Bulletin, 55(3):537-563, 2025

  7. The Multiarmed Bandit Problem Under the Mean-Variance Setting 

    (with Hongda Hu, Arthur Charpentier, and Alexander Schied) 

    European Journal of Operational Research, 324(1):168-182, 2025

  8. Risk-Constrained Portfolio Choice under Rank-Dependent Utility

    (with Michael B. Zhu)

    Finance and Stochastics, 29(2):399-442, 2025

  9. Bowley-Optimal Convex-Loaded Premium Principles

    (with Bin Li and Benxuan Shi)

    Insurance: Mathematics and Economics, 121(1):157-180, 2025

  10. Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance

    (with Michel Denuit, Jan Dhaene, and Christian Y. Robert)

    Insurance: Mathematics and Economics, 120(1):1-16, 2025

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

    (with Patrick Beissner and Tim J. Boonen)

    Mathematics of Operations Research, 49(3):1452-1471, 2024

  12. Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals

    (with David Saunders and Kelvin Shuangjian Zhang)

    Statistics & Risk Modeling, 41(1-2):49-72, 2024

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

    (with Alfred Chong and Tim J. Boonen)

    Journal of Risk and Insurance, 91(2):449-488, 2024

    Special Issue on Climate Change and Natural Disasters

  1. Stackelberg Equilibria with Multiple Policyholders

    (with Michael B. Zhu)

    Insurance Mathematics and Economics, 116(1):189-201, 2024

  2. Pareto-Optimal Insurance with an Upper Limit on the Insurer’s Exposure

    (with Oma Coke and Michael B. Zhu)

    Scandinavian Actuarial Journal, 2024(3):227-251, 2024

  3. Optimal Insurance for a Prudent Decision Maker under Heterogeneous Beliefs

    (with Wenjun Jiang and Jiandong Ren)

    European Actuarial Journal, 13(2):703-730, 2023

  4. Equilibria and Efficiency in a Reinsurance Market

    (with Michael B. Zhu and Tim J. Boonen)

    Insurance Mathematics and Economics, 113(1):24-49, 2023

  5. Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions

    (with Jesse Hall and David Saunders)

    Mathematics of Operations Research, 48(2):1158-1182, 2023

  6. Optimal Insurance under Maxmin-Expected-Utility

    (with Corina Birghila and Tim J. Boonen)

    Finance and Stochastics, 27(2):467-501, 2023

  7. Bowley vs. Pareto Optima in Reinsurance Contracting 

    (with Tim J. Boonen)

    European Journal of Operational Research, 307(1):382-391, 2023

  8. Pareto-Optimal Reinsurance under Individual Risk Constraints

    (with Wenjun Jiang and Jiandong Ren)

    Insurance: Mathematics and Economics, 107:307-325, 2022

  9. Aggregation of Opinions and Risk Measures

    (with Massimiliano Amarante)

    Journal of Economic Theory, 196:105310, 2021

  10. On the Continuity of the Feasible Set Mapping in Optimal Transport

    (with David Saunders)

    Economic Theory Bulletin, 9:113-117, 2021

  11. Comparative Risk Aversion in RDEU with Applications to Optimal Underwriting of Securities Issuance 

    (with Xuedong He)

    Insurance: Mathematics and Economics, 101(1):6-22, 2021

  12. Optimal Reinsurance with Multiple Reinsurers: Distortion Risk Measures,

    Distortion Premium Principles, and Heterogeneous Beliefs

    (with Tim J. Boonen)

    Insurance: Mathematics and Economics, 101(1):23-37, 2021

  13. Budget-Constrained Optimal Retention with an Upper Limit on the Retained Loss

    Scandinavian Actuarial Journal, 2020(3):245-271, 2020

  1. Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints

    (with Tim J. Boonen) – Finalist of the SCOR/EGRIE Best Paper Award 

    ASTIN Bulletin, 50(1):293-323, 2020

  2. Budget-Constrained Optimal Insurance with Belief Heterogeneity

    Insurance: Mathematics and Economics, 89(1):79-91, 2019

  3. On the Existence of a Representative Reinsurer under Heterogeneous Beliefs

    (with Tim J. Boonen)

    Insurance: Mathematics and Economics, 88(1):209-225, 2019

  4. Optimal Insurance under Rank-Dependent Expected Utility

    Insurance: Mathematics and Economics, 87(1):51-66, 2019

  5. Budget-Constrained Optimal Insurance without the Nonnegativity Constraint on Indemnities

    Insurance: Mathematics and Economics, 84(1):22-39, 2019

  6. A Neyman-Pearson Problem with Ambiguity and Nonlinear Pricing

    Mathematics and Financial Economics, 12(3):365-385, 2018

  7. Contracting on Ambiguous Prospects

    (with Massimiliano Amarante and Edmund Phelps)

    The Economic Journal, 127(606):2241-2262, 2017

  8. Arrow’s Theorem of the Deductible with Heterogeneous Beliefs

    The North American Actuarial Journal, 21(1):15-35, 2017

  9. Optimal Insurance with Heterogeneous Beliefs and Disagreement about Zero-Probability Events

    Risks, 4(3):29, 2016

  10. Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer 

    (with Massimiliano Amarante)

    Risks, 4(1):8, 2016

  11. Cost-Efficient Contingent Claims with Market Frictions

    Mathematics and Financial Economics, 10(1):87-111, 2016

  12. Equimeasurable Rearrangements with Capacities

    Mathematics of Operations Research, 40(2):429-445, 2015

  13. Vigilant Measures of Risk and the Demand for Contingent Claims

    Insurance: Mathematics and Economics, 61(1):27-35, 2015

  14. Ambiguity on the Insurer’s Side: The Demand for Insurance

    (with Massimiliano Amarante and Edmund Phelps)

    Journal of Mathematical Economics, 58:71-78, 2015

  15. Static Portfolio Choice under Cumulative Prospect Theory

    (with Carole Bernard)

    Mathematics and Financial Economics, 2(4):277-306, 2010

Mario Ghossoub
mario-ghossoub@uiowa.edu
https://sites.google.com/site/marioghossoub/
PhD, Actuarial Science, University of Waterloo
MS, Mathematics, University of Michigan

University of Iowa
263 Schaeffer Hall (SH)
20 East Washington Street
Iowa City, IA 52242
United States