Tim J. Boonen

Contact

Dr. Tim J,. Boonen
Associate Professor of Actuarial Science (with tenure)
Department of Statistics and Actuarial Science
Faculty of Science
The University of Hong Kong
Room 225, Run Run Shaw Building
Email: tjboonen at hku dot hk
URL: Departmental website
Google Scholar: My profile

 

Education

Ph.D. at the Department of Econometrics and Operations Research (2014), Tilburg University. Advisors: Prof. dr. A.M.B. De Waegenaere and Prof. dr. H.W. Norde.

MSc. Master of Philosophy in Business: Finance track (2010), Tilburg University (cum laude).

MSc. Quantitative Finance and Actuarial Sciences (2009), Tilburg University (cum laude).

BSc. Econometrics and Operational Research (2008), Tilburg University.

 

Research interests
Actuarial science, capital allocation, game theory, insurance economics, optimal (re)insurance, longevity risk modelling, and risk sharing.

 

Publications

Peer-reviewed Journal Articles

1. P. Beissner, T.J. Boonen and M. Ghossoub. (No-)Betting Pareto optima under rank-dependent utility.
   Forthcoming at Mathematics of Operations Research. Journal link   SSRN link.
2. Q. Ma and T.J. Boonen. Longevity risk modeling with the consumer price index.
   Forthcoming at North American Actuarial Journal. Postprint PDF
3. T.J. Boonen and W. Jiang. Bowley insurance with expected utility maximization of the policyholders.
   Forthcoming at North American Actuarial Journal. Journal link   Postprint PDF
4. M. Zhu, M. Ghossoub, and T.J. Boonen (2023). Equilibria and efficiency in a reinsurance market.
   Insurance: Mathematics and Economics 113, 24-49. Journal link   Postprint PDF.
5. C. Birghila, T.J. Boonen, and M. Ghossoub (2023). Optimal insurance under maxmin-expected-utility.
   Finance and Stochastics 27, 467-501. Journal link   Postprint PDF
6. T.J. Boonen and W. Jiang (2023). Pareto-optimal reinsurance with default risk and solvency regulation.
   Probability in the Engineering and Informational Sciences 37 (2), 518-545. Open Access Journal link
7. T.J. Boonen and M. Ghossoub (2023). Bowley vs. Pareto optima in reinsurance contracting.
   European Journal of Operational Research 307 (1), 382-391. Journal link   Postprint PDF
8. T.J. Boonen and F. Liu (2022). Insurance with heterogeneous preferences.
   Journal of Mathematical Economics 102, 102742. Open Access Journal link
9. T.J. Boonen and W. Jiang (2022). Bilateral risk sharing in a comonotone market with rank-dependent utilities.
   Insurance: Mathematics and Economics 107, 361-378. Open Access Journal link
10. T.J. Boonen and Y. Zhang (2022). Bowley reinsurance with asymmetric information: A first-best solution.
    Scandinavian Actuarial Journal 2022 (6), 532-551. Open Access Journal link
11. T.J. Boonen and W. Jiang (2022). A marginal indemnity function approach to optimal reinsurance under the Vajda condition.
    European Journal of Operational Research 303 (2), 928-944. Open Access Journal link
12. T.J. Boonen and W. Jiang (2022). Mean-variance insurance design with counterparty risk and incentive compatibility.
    ASTIN Bulletin 52 (2), 645-667. Journal link   Postprint PDF
13. T.J. Boonen, K.S. Tan, and S.C. Zhuang (2021). Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability.
    Insurance: Mathematics and Economics 101 (part B), 302-319. Journal link   Postprint PDF
14. T.J. Boonen, F. Liu, and R. Wang (2021). Competitive equilibria in a comonotone market.
    Economic Theory 72 (4), 1217-1255. Open Access Journal link
15. T.J. Boonen and M. Ghossoub (2021). Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs.
    Insurance: Mathematics and Economics 101 (part A), 23-37. Open Access Journal link
16. T.J, Boonen, K.C. Cheung, and Y. Zhang (2021). Bowley reinsurance with asymmetric information on the insurer’s risk preferences.
    Scandinavian Actuarial Journal 2021 (7), 623-644. Journal link   Postprint PDF
17. A.V. Asimit, T.J. Boonen, Y. Chi, and W.F. Chong (2021). Risk sharing with multiple indemnity environments.
    European Journal of Operational Research 295 (2), 587-603. Open Access Journal link
18. T.J. Boonen and Y. Zhang (2021). Optimal reinsurance design with distortion risk measures and asymmetric information.
    ASTIN Bulletin 51 (2), 607-629. Journal link   Postprint PDF
19. F. Mourdoukoutas, T.J. Boonen, B. Koo and A.A. Pantelous (2021). Pricing in a competitive stochastic insurance market.
    Insurance: Mathematics and Economics 97, 44-56. Open Access Journal link
20. T.J. Boonen (2020). τ–value for risk capital allocation problems.
    Operations Research Letters 48 (6), 752-757. Open Access Journal link
21. M. Anthropelos and T.J. Boonen (2020). Nash equilibria in optimal reinsurance bargaining.
    Insurance: Mathematics and Economics 93, 196-205. Open Access Journal link
22. T.J. Boonen and M. Ghossoub (2020). Bilateral risk sharing with heterogeneous beliefs and exposure constraints.
    ASTIN Bulletin 50 (1), 293-323. Open Access Journal link
    Nominated for the 2019 SCOR/EGRIE Young Economist Best Paper Award.
23. T.J. Boonen, A.M.B. De Waegenaere and H. Norde (2020). A generalization of the Aumann-Shapley value for risk capital allocation problems.
    European Journal of Operational Research 282 (1), 277-287. Journal link   Postprint PDF
24. T.J. Boonen (2019). Equilibrium recoveries in insurance markets with limited liability.
    Journal of Mathematical Economics 85, 38-45. Journal link   Postprint PDF
25. T.J. Boonen (2019). Static and dynamic risk capital allocations with the Euler rule.
    Journal of Risk 22 (1), 1-15. Journal link   SSRN link
26. T.J. Boonen and M. Ghossoub (2019). On the existence of a representative reinsurer under heterogeneous beliefs.
    Insurance: Mathematics and Economics 88, 209-225. Journal link   Postprint PDF
27. M. Koster and T.J. Boonen (2019). Constrained stochastic cost allocation.
    Mathematical Social Sciences 101, 20-30. Journal link   Postprint PDF
28. T.J. Boonen, M. Guillén and M. Santolino (2019). Forecasting compositional risk allocations.
    Insurance: Mathematics and Economics 84, 79-86. Journal link   Postprint PDF
    Dataset available on Mendeley Data.
29. A.V. Asimit and T.J. Boonen (2018). Insurance with multiple insurers: a game-theoretic approach.
    European Journal of Operational Research 267 (2), 778-790. Journal link   Postprint PDF
30. T.J. Boonen, A.A. Pantelous, and R. Wu (2018). Non-cooperative dynamic games for general insurance markets.
    Insurance: Mathematics and Economics 78,, 123-135. Journal link   Postprint PDF
31. T.J. Boonen (2017). Solvency II Solvency Capital Requirement for life insurance companies based on expected shortfall.
    European Actuarial Journal 7 (2), 405-434. Open Access Journal link
    Most downloaded article in the European Actuarial Journal.
32. T.J. Boonen and H. Li (2017). Modeling and forecasting mortality with economic growth: a multipopulation approach.
    Demography 54 (5), 1921-1946. Journal link   Postprint PDF
33. S.C. Zhuang, T.J. Boonen, K.S. Tan, and Z.Q. Xu (2017). Optimal insurance in the presence of reinsurance.
    Scandinavian Actuarial Journal 2017 (6), 535-554. Open Access Journal link
34. T.J. Boonen (2017). Risk sharing with expected and dual utilities.
    ASTIN Bulletin 47 (2), 391-415. Journal link   Postprint PDF
35. T.J. Boonen and A.M.B. De Waegenaere (2017). Intergenerational risk sharing within closing pension funds.
    Insurance: Mathematics and Economics 74, 20-30. Journal link   Postprint PDF
36. T.J. Boonen (2017). Risk redistribution games with dual utilities.
    ASTIN Bulletin 47 (1), 303-329. Journal link   Postprint PDF
37. T.J. Boonen, A.M.B. De Waegenaere, and H. Norde (2017). Redistribution of longevity risk: The effect of heterogeneous mortality beliefs.
    Insurance: Mathematics and Economics 72, 175-188. Journal link   Postprint PDF
38. T.J. Boonen, A. Tsanakas, and M.V. Wüthrich (2017). Capital allocation for portfolios with non-linear risk aggregation.
    Insurance: Mathematics and Economics 72, 95-106. Journal link   Postprint PDF
39. T.J. Boonen, K.S. Tan, and S.C. Zhuang (2016). The role of a representative reinsurer in optimal reinsurance.
    Insurance: Mathematics and Economics 70, 196-204. Journal link   Postprint PDF
40. T.J. Boonen (2016). Optimal reinsurance with heterogeneous reference probabilities.
    Risks 4 (3), 26. Open Access Journal link
41. T.J. Boonen, K.S. Tan, and S.C. Zhuang (2016). Pricing in reinsurance bargaining with monetary utility functions.
    ASTIN Bulletin 46 (2), 507-530. Journal link   Postprint PDF
42. T.J. Boonen (2016). Nash equilibria in Over-The-Counter bargaining for insurance risk redistributions: the role of a regulator.
    European Journal of Operational Research 250 (3), 955-965. Journal link   Postprint PDF
43. T.J. Boonen (2015). Competitive equilibria with distortion risk measures.
    ASTIN Bulletin 45 (3), 703-728. Journal link   Postprint PDF

Book Chapter

1. H. Assa and T.J. Boonen (2022). Risk sharing and stochastic premiums in the presence of systematic risk: The case study of UK COVID-19 economic losses.
   In Pandemics: Insurance and Social Protection (editors: C. Boado-Penas, J. Eisenberg, and S. Sahin), 95-126, Springer. Open Access link

Working Papers

1. T.J. Boonen, L. Chang, G. Khemka, and S. Roberts (2019). Heterogeneity in needs and purchases in retirement.
   On SSRN.
2. K. Cupido, P. Jevtić, and T.J. Boonen (2019). Space, mortality and economic growth.
   On SSRN.
3. S. Abdikerimova, T.J. Boonen, and R. Feng (2022). Multi-period peer-to-peer risk sharing.
   On SSRN.
4. T.J. Boonen, W.F. Chong and M. Ghossoub (2022). Flood risk insurance: A micro-economic foundation.
   On SSRN.

Other Publications

1. T.J. Boonen, E.C.K. Cheung, P. Shi and J.K. Woo (2023). Preface of the special issue on “Probability and stochastic modeling in actuarial science and related fields”.
   Probability in the Engineering and Informational Sciences 37 (2). Journal link
2. T.J. Boonen and R. Mooijer (2021). Premium competition for non-life insurers (in Dutch, “Competitie in premiestelling voor schadeverzekeraars”).
   De Actuaris 29(2), 33-35. PDF
   This article was based on the MSc. thesis of R. Mooijer under my supervision.
3. T.J. Boonen (2021, Jan/Feb). Modelling: Volatile allocations.
   The Actuary, 20-23. Link to (Open Access) Journal issue
4. T.J. Boonen (2020). A discussion of ’Optimal reinsurance designs based on risk measures: A review’.
   Statistical Theory and Related Fields 4 (1), 14-15 (invited discussion paper). Open Access Journal link
5. T.J. Boonen (2020). Reinsurance: Why and how? (in Dutch, “Herverzekeren: Waarom en hoe?”).
   De Actuaris 27 (5), 16-17. PDF
6. T.J. Boonen (2017). Expected Shortfall for regulation of insurers: Is it relevant? (in Dutch, “Expected Shortfall voor toezicht op verzekeraars: Is het relevant?”).
   Netspar Design Paper 80. Link to PDF.
7. T.J. Boonen (2016, Feb). Over-The-Counter trades in longevity risk.
   AENORM, 63-66.
8. T.J. Boonen and A.M.B. De Waegenaere (2015). Effects of accounting standards on corporate pension funds; from IAS 19 to IAS 19R (in Dutch, “Boekhoudkundige regelgeving voor bedrijfspensioenfondsen; van IAS 19 naar IAS 19R”).
   Netspar NEA Paper 59. Link to PDF.
9. A.M.B. De Waegenaere, B. Melenberg, and T.J. Boonen (2012). Linking pension age and pension rights to life expectancy (in Dutch, “Het koppelen van pensioenleeftijd en pensioenaanspraken aan de levensverwachting”).
   Netspar Design Paper 12. Link to PDF.

Popular Article

1. An interview with Tim Boonen. Expanding Horizons; the digital newsletter of the Society of Actuaries.
   November 2022. Link.

 

Editorial Work

 

I am a Co-Editor of:

• European Actuarial Journal (since 2020)

I am an Editorial Board member of:

• ASTIN Bulletin, Journal of the International Actuarial Association (since 2023)
• Probability in the Engineering and Informational Sciences (since 2023)

 

Award

 

2022 SOA Actuarial Science Early Career Award ($5,000).