时 间：2022年12月21日上午11:00-12:00
地 点：腾讯会议ID: 249-694-695
报告人：李斌 副教授
主持人：范堃 副教授
摘 要:
We propose a new equilibrium pricing approach of variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. While the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new equilibrium pricing approach reconciles the misalignment between theoretical results and market observations. We also find that a surrender penalty or a lower insurance fee can make the insurer’s expected profit more robust.
报告人简介：
李斌副教授于2013年加入滑铁卢大学统计与精算系。他分别于2005年和2008年获得西安交通大学信息与计算科学本科和硕士学位，于2013年获得美国爱荷华大学应用数学与计算科学博士学位。他的研究领域主要是随机控制和随机分析在保险精算和金融数学中的应用。他在Bernoulli, Insurance: Mathematics and Economics, Journal of Economic Dynamics and Control, Journal of Risk and Insurance, Mathematical Finance, SIAM Journal on Financial Mathematics, Stochastic Processes and their Applications等杂志发表文章三十余篇。