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中央财经大学中国精算研究院池义春研究员应邀到我院做学术报告

题目: 
Comparison of Insurance Contracts with Background Risk in Higher-order Risk Attitudes
报告人: 
池义春 研究员
时间: 
2017年9月24日下午3:00-4:00
地点: 
学院307报告室

数学与计算机科学学院

2017.9.14

摘要:  In this talk, we discuss the optimal insurance problem in the presence of background risk from the perspective of an insured with higher-order risk attitudes. We introduce several new dependence notions to model the dependence structures between insurable risk and background risk. Under these new dependence structures, we compare insurance contracts of different forms in higher-order risk attitudes and establish the optimality of stop-loss insurance form. We also explicitly derive the optimal retention level. Finally, we carry out comparative analysis and investigate how the change in the insured's initial wealth or background risk affects the optimal retention level.(This is based on a joint work with Professor Wei Wei)

 报告人简介: 池义春,男,1982年生,中央财经大学中国精算研究院研究员,中国精算研究院风险量化与决策中心主任。主要研究兴趣为精算学和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。在国际著名的精算学期刊ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal和Scandinavian Actuarial Journal发表了十多篇学术论文。主持过两项国家自然科学基金项目。2012年荣获北美产险精算学会Hachemeister奖,2015 年破格晋升为研究员。


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