報告題目：Optimal insurance design with ambiguous loss and smooth ambiguity aversion
報 告 人：池義春 研究員 中央财經大學
報告時間：2020年6月22日 14:00-15:00
報告地點：騰訊會議ID：930 696 799
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https://meeting.tencent.com/s/eq0k5MwsRjC5
校内聯系人：程建華 chengjh@jlu.edu.cn
報告摘要：
In this talk, we discuss the design of an optimal insurance policy for an insured, who is ambiguous about the loss distribution and wants to maximize the expected utility of his/her wealth. In order to reduce ex post moral hazard, we assume that insurance contracts satisfy the principle of indemnity and the no-sabotage condition. When the insurance premium is calculated by the expected value premium principle and the insured has smooth ambiguity aversion, a necessary and sufficient condition for the optimal insurance solution is established. By virtue of this condition, qualitative properties of optimal solutions are established, suboptimal insurance strategies are improved, and optimal insurance forms are derived explicitly for some interesting structures of ambiguity.
報告人簡介：
池義春，中央财經大學保險學院、中國精算研究院研究員、博士生導師，中央财經大學龍馬青年學者，2009年博士畢業于北京大學，2015年破格晉升為研究員。現主要從事精算學與風險管理中的風險理論、最優保險/再保險設計以及變額年金的定價和對沖等研究，先後主持三項國家自然科學基金項目和一項教育部人文社科重點研究基地重大課題，在國際著名的精算學雜志ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal和Scandinavian Actuarial Journal以及金融數學雜志Finance and Stochastics上發表學術論文二十餘篇，2012年北美非壽險精算協會Charles A. Hachemeister獎的獲得者。
