中央财经大学池义春研究员学术报告 12月5日下午
发布时间: 2018-11-29 访问次数: 13

报告题目【Optimal Insurance with Background Risk:An analysis of General Dependence Structures】

时间:2018年12月05日 (星期三)下午 14:30 

地点:旗山校区理工北楼601报告厅

主讲:中央财经大学研究员,池义春

主办:数学与信息学院, 福建省分析数学及应用重点实验室

参加对象:相关专业老师及学生


专家简介:池义春,中央财经大学中国精算研究院研究员,中央财经大学龙马青年学者。现主要从事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研究,主持过两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期刊ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal和Scandinavian Actuarial Journal发表了二十多篇学术论文,曾荣获2012年北美产险精算学会Hachemeister奖。2015年破格晋升为研究员。


报告摘要:In this talk, we discuss an optimal insurance problem from the perspective of a risk averse individual who faces an insurable risk as well as background risk and wants to maximize the expected utility of his/her final wealth. To reduce ex post moral hazard, we follow Huberman et al. (1983) to assume that alternative insurance contracts satisfy the principle of indemnity and have the marginal indemnity being non-negative but less than unity. When the insurance premium is calculated by the expected value premium principle, a necessary and sufficient condition for the optimal insurance solution is established under a general dependence structure between the insurable risk and the background risk. By virtue of this condition, the optimality of full insurance or no insurance can be easily justified, and optimal insurance forms are derived explicitly for some types of positive dependence, negative dependence and mixed dependence, which are found not to be always piecewise linear. Finally, an approach is introduced to improve an admissible insurance strategy under the general dependence assumption.