报告题目：Optimal reinsurance under a combined convex and percentile measure: maximizing the Lundberg exponent
时 间：2026年4月11日（星期六）08：30
地 点：科研楼18号楼1102
主 办：数学与统计学院，分析数学及应用教育部重点实验室，福建省分析数学及应用重点实验室
参加对象：相关专业师生
报告摘要：In the insurance field, reinsurance is an important tool for insurance companies to conduct risk sharing. We propose a class of premium principles combining convex and percentile functions, extending the generalized percentile premium principle. Based on this composite premium principle and the Cramér–Lundberg risk model, we study the maximization of the Lundberg exponent under reinsurance control, subject to the principle of indemnity and incentive compatibility constraints. Using an adjustment method, we derive an optimal reinsurance strategy with a piecewise structure and prove the existence and uniqueness of both the optimal reinsurance strategy and the maximum Lundberg exponent. When the convex functions are specified as linear, quadratic, exponential, and piecewise linear functions, we obtain more explicit structural forms of the optimal reinsurance strategy.
报告人简介：孟辉，中央财经大学保险学院/中国精算研究院 教授，博士生导师,中央财经大学“青年龙马学者”。研究方向包括保险精算、金融风险分析与决策等，主持多项国家自然科学基金面上项目和中央财经大学创新团队项目，在《SIAM Journal on Control Optimization》、《SIAM Journal on Financial Mathematics》、《European Journal of Operational Research》、《Economic Modelling》、《Insurance: Mathematics and Economics》、《ASTIN Bulletin》、《Scandinavian Actuarial Journal》、《中国科学：数学》等国内外重要期刊上发表四十余篇论文。