时间：6月9日 12:00

地点:向东楼406

主题：Multiple risk sharing with a long-term risk measure: the Lundberg exponent

主要内容：

In previous studies, risk sharing problems have generally been formulated for a short-term period; however, in practice, these problems are also important for a company's long-term strategic planning. In this paper, we consider a risk sharing problem for an insurer who designs a reinsurance contract with multiple reinsurance participants. In contrast to the value-at-risk used as a short-term risk measure, we take the Lundberg exponent in risk theory as a risk measure for the insurer over a long time horizon, because the Lundberg upper bound performs better in measuring the infinite-time ruin probability. To reflect the different risk preferences of the participants, we adopt a type of combined premium principle in which the expected premium principle, variance premium principle, and exponential premium principle are all special cases. Based on the objective of Lundberg exponent maximization, we derive the optimal multiple risk sharing policies for a general admissible policies set. In general, these optimal policies are shown to have nontrivial curved structures, which differ from conventional reinsurance strategies such as quota share, excess-of-loss, or layer reinsurance arrangements. In all special cases, the optimal policies can be reduced to the classical results.

主讲人简介：

周明，中国人民大学统计学院教授、博士研究生导师，中国人民大学杰出青年学者，北美准精算师（ASA），中国精算师协会正会员。主要研究方向为资产负债管理、风险分析与决策。在《Quantitative Finance》、《Insurance: Mathematics and Economics》、《Astin Bulletin》、《North American Journal of Economics and Finance》、《中国科学》等国内外知名期刊发表学术论文40余篇，主持国家、省部级等各类项目10余项。