时 间：2025年12月4 日（周四）10：15 – 11：15
地 点：普陀校区理科大楼A1514室
报告人：姜文骏 卡尔加里大学副教授
主持人：李丹萍 华东师范大学教授
摘 要：
In this talk we look into the optimal insurance contracting problem from the perspective of Pareto optimality. The potential policyholder (PH) and finitely many insurers all apply distortion risk measures for insurance negotiation and are assumed to be ambiguous about the underlying loss distribution. Ambiguity is modeled via sets of probability measures for each agent, and those sets are generated through Wasserstein balls around possibly different benchmark distributions. We derive the analytical forms of the optimal indemnity functions and the worst-case survival functions from all the parties’ perspectives. We illustrate more implications through numerical examples.
报告人简介：
姜文骏，加拿大卡尔加里大学数学统计系的副教授，于2019年在加拿大西安大略大学取得统计博士学位（精算方向）。主要从事最优（再）保险和风险分担的研究。主要成果发表于EJOR, IME, SIFIN, ASTIN, SAJ, NAAJ, FRL上。