报告题目：Diversification effect in multivariate optimal risk transfer
时 间：2026年06月02日（星期二）10：00
地 点：理工南楼621
主 办：数学与统计学院
参加对象：相关专业师生
报告摘要：There are two main practical questions in the context of multivariate risk transfers. First, non-intragroup risk transfers raise the question of whether to purchase (re)insurance coverage for the aggregate risk or separately for each risk. Second, intragroup risk transfers are always challenged by regulators on whether there is a commercial purpose in such transactions, and therefore, insurance buyers must commercially validate their decisions. We investigate the diversification effect from the buyer’s and the seller’s perspectives. Our analysis for insurance buyers is based on the ratio between the optimal reinsurance risk margin cost for the total sum of losses and the sum of the individual optimal risk margin costs for each loss type. We develop a statistical inference method for this ratio and evaluate its finite sample performance through simulation. We then apply the proposed inference method to the widely studied Danish fire loss dataset, illustrating the practical implications of our findings that equally apply to an intragroup or non-intragroup risk transfer.
报告人简介：杨芳，经济学博士，美国乔治亚州立大学（GSU）的风险科学教授，精算学本科项目主任，北美精算师协会的准会员（ASA）。目前担任SOA大学教育能力评估（UEC）监督委员会委员（2024年8月至2028年12月），曾任SOA教育与研究分会主席（2024年10月至2025年10月），领导 SOA 职业发展通讯文章团队以及学术与研究小组。研究成果已发表在《风险管理与保险评论》(Risk Management and Insurance Review)、《保险：数学与经济学》(Insurance: Mathematics and Economics) 以及《社会网络》(Social Networks) 等学术期刊上。