Faculty of Actuarial Science and Insurance Seminar with Mario Ghossoub (University of Waterloo)

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Seminar Actuarial Science aggregate risk Pareto-efficient Risk Management risk sharing

Wed, Jun 26, 2024

3 PM – 4 PM (GMT+1)

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Abstract:

We characterize Pareto-efficient allocations in a pure-exchange economy where agents have ambiguity-sensitive preferences represented by a general class of utility functionals, including a variety of law-invariant robust utility functionals and monetary utility functionals. We show that Pareto optima exist and are comonotone, and we provide a crisp characterization thereof in the case of Schur-concave positively homogenous monetary utility functionals (robust Yaari-Dual utilities). In the special case of law-invariant comonotone monetary utility functionals (Yaari-Dual utilities), we provide a closed-form characterization of Pareto optima. As an application, we examine peer-to-peer decentralized risk-sharing markets, and we obtain a closed-form characterization of Pareto-optimal allocations of the aggregate risk when all agents evaluate risk through coherent risk measures, a widely popular class of risk measures, as well as robust distortion risk measures.

 

Biography:

Mario Ghossoub is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, and the Sun Life Fellow in International Actuarial Science. Prior to this position, he was an Assistant Professor of Actuarial Finance and Risk Management at Imperial College Business School. Mario is also a Fellow of the Society of Actuaries, a Fellow of the Canadian Institute of Actuaries, and a Chartered Enterprise Risk Analyst. He received his PhD from the University of Waterloo in 2011. His current research is mainly concerned with the study of equilibria and efficient allocations in decentralized risk-sharing markets, such as peer-to-peer insurance platforms, and centralized risk-sharing markets, such as classical (re)insurance markets.

Dress Casual (jeans ok)