时间:2019年9月20日(周五)下午15:00-16:00
地点:中北校区理科大楼A1716报告厅
题目:A Bowley solution with limited ceded risk for a monopolistic reinsurer
主讲人:池义春 研究员 中央财经大学中国精算研究院
摘要:
Borch (1969) advocated that the study of optimal reinsurance design should take into consideration the conflicting interests of both an insurer and a reinsurer. Motivated by this and exploiting a Bowley solution (or Stackelberg equilibrium game), this talk proposes a two-step model that tackles an optimal risk transfer problem between the insurer and the reinsurer. From the insurer’s perspective, the first step of the model provisionally derives an optimal reinsurance policy for a given reinsurance premium while reflecting the reinsurer’s risk appetite. The reinsurer’s risk appetite is controlled by imposing upper limits on the first two moments of the coverage. Through a comparative analysis, the effect of the insurer’s initial wealth on the demand for reinsurance is then examined, when the insurer’s risk aversion and prudence are taken into account. Based on the insurer’s provisional strategy, the second step of the model determines the monopoly premium that maximizes the reinsurer’s expected profit while still satisfying the insurer’s incentive condition. Numerical examples are provided to illustrate our Bowley solution. (This is a joint work with Ken Seng Tan and Shengchao Zhuang.)
主讲人简介:
池义春,中央财经大学中国精算研究院研究员、龙马青年学者。现主要从事精算学与风险管理中的风险理论、最优保险/再保险设计以及变额年金的定价和对冲等研究,主持过三项国家自然科学基金项目和一项教育部重点研究基地重大课题,在国际著名的精算学杂志ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal和Scandinavian Actuarial Journal上发表了二十多篇学术论文。2012年荣获北美产险精算学会Charles A. Hachemeister奖,2015年破格晋升为研究员。