北大金融数学系 20周年系庆系列报告 A-9 —Optimal Insurance under Mean-variance Premium Principles
主 题: 北大金融数学系 20周年系庆系列报告 A-9 —Optimal Insurance under Mean-variance Premium Principles
报告人: 池义春 研究员 (中央财经大学中国精算研究院)
时 间: 2017-05-11 15:00-16:00
地 点: 理科1号楼1493
Abstract: In this talk, the design of an optimal insurance policy is discussed from the perspective of a risk-averse insured who would like to maximize the expected utility of the final wealth. We assume that the admissible insurance contract satisfies the principle of indemnity and that the upper limits on the first two moments of coverage are imposed by an insurer to restrict its risk exposure and completely determine the quantity of the insurance premium. We derive the optimal insurance policy explicitly, and find that it heavily depends upon the values of the upper limits and the insured’s initial wealth. If the insurance contract further meets a condition that the marginal indemnity above a deductible minimum is decreasing in the loss and has a value greater than zero and less than one, we show that for a risk-averse and prudent insured such a contract is suboptimal to a change-loss insurance policy or a dual change-loss insurance policy, depending upon the coefficient of variation of the ceded loss. Especially for variance related premium principles, the change-loss insurance is optimal.
报告人简介：池义春，中央财经大学中国精算研究院研究员，风险量化与决策研究中心主任。2009年在304am永利集团金融数学系获得博士学位。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。
