学术报告

题      目：Optimal Moral-hazard-free Reinsurance under Extended Distortion Premium Principles

报  告  人：许左权  教授  (邀请人：杨舟 )

                                    香港理工大学深圳研究院

时      间：5月11日  11：00-12：00

地     点：数科院西楼二楼会议室

报告人简介:

        许左权教授先后于南开大学、北京大学、香港中文大学获得本科、硕士、博士学位，曾任英国牛津大学数学研究所任野村金融数学研究员，并兼任牛津Oxford-Man研究所通讯研究员。现任教于香港理工大学应用数学系，主要从事金融数学理论研究，包括量化行为金融学、投资组合、保险契约理论等研究领域，多次于世界著名学术机构及学术会议上作学术报告，主持过多项国家自然科学基金及香港研究资助局项目。其主要学术成果发表在《Mathematical Finance》,《Anna ls of Applied Probability》，《Finance and Stochastics》，《Mathematics of Operations Research》，《SIAM Journal on Financial Mathematics》，《Quantitative Finance》，《Insurance: Mathematics and Economics》等著名国际学术期刊上。现为著名国际期刊《Mathematics of Operations Research》编委。

摘      要：

        We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing the incentive compatibility constraint on indemnity functions. The reinsurance premium is calculated under an extended distortion premium principle, in which the distortion function is not necessarily concave or continuous. We first show that an optimal reinsurance contract always exists and then derive two sufficient and necessary conditions to characterize it. Due to the presence of the incentive compatibility constraint and the nonconcavity of the distortion, the optimal contract is obtained as a solution to a double-obstacle problem. At last, we apply the general result to study four examples and obtain the optimal contracts in (semi)closed form. This is a joint work with Zhuo Jin (Macquarie University) and Bin Zou (University of Connecticut).

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