时 间：2026-05-23 13:30 - 14:30
地 点：普陀校区理科大楼A1514室
报告人：张艺赢 南方科技大学副研究员
主持人：陈律 华东师范大学副教授
摘 要：
This paper investigates the problem of preference robust insurance design from the perspective of a decision maker (DM) operating within a risk minimization framework. We focus on scenarios where the DM's risk preferences are incompletely specified, requiring consideration of all plausible distortion functions that satisfy criteria derived from observable behaviors — such as preferences between certain lotteries and confidence intervals for the risks associated with a set of lotteries. Under the expected-value premium principle, the DM selects a robust insurance indemnity function that minimizes risk exposure by accounting for the worst-case distortion risk measure. By incorporating assumptions about the curvature of the DM's risk preferences (e.g., concavity or inverse S-shape), we analytically characterize the structure of both the optimal indemnity function and the worst-case distortion function. Furthermore, we provide tractable reformulations to identify the latter when the underlying loss follows a discrete distribution. The paper also explores and discusses several extensions to the proposed framework. Finally, numerical examples illustrate the practical implications of our theoretical results.
报告人简介：
张艺赢，南方科技大学数学系副研究员、助理教授、博士生导师。2018年9月博士毕业于香港大学统计与精算学系，随后赴鲁汶大学和阿姆斯特丹大学进行联合学术访问。2019.1-2021.8在南开大学统计与数据科学学院工作，任助理教授，2021年8月加入南方科技大学数学系，任助理教授。主要研究兴趣包括最优保险设计、巨灾保险、风险减量、风险度量、信度理论、系统性风险等。研究成果主要发表在保险精算、金融数学、经济学和运筹管理等领域主流期刊，如：IME、ASTIN Bulletin、SAJ、NAAJ、SIFIN、QF、JEDC、EJOR、RESS、NRL等杂志。正在主持国自然面上1项、深圳市面上2项，主持完成国自然青年等项目3项。