bat365官网登录入口学术报告[2023] 084号
(高水平大学建设系列报告856号)
报告题目:On the optimality of straight deductibles under smooth ambiguity aversion
报告人:池义春教授(中央财经大学)
报告时间:2023年11月24日下午14:30-15:30
讲座地点:bat365官网登录入口汇星楼514
报告内容:We analyze optimal insurance design under smooth ambiguity aversion with linear transaction cost. We impose a monotonicity requirement on indemnity schedules and associated retention functions (no-sabotage condition). We provide three conditions for the optimal insurance contract to contain a straight deductible: (i) ambiguity does not affect large losses; (ii) priors are ordered according to first-order stochastic dominance and large losses are more likely to originate from worse priors than small losses; (iii) priors are ordered according to the hazard rate order. We also provide comparative statics and find intuitive results that are consistent with the literature. This is a joint work with Richard Peter and Wei Wei.
报告人简介:池义春,2009年北京大学博士毕业后,加入中央财经大学中国精算研究院科研团队,历任助理研究员、副研究员和研究员;主要从事精算学和风险管理领域的研究工作,主持过四项国家自然科学基金项目和两项教育部人文社科重点研究基地重大课题,在国际著名的精算学杂志ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal、Scandinavian Actuarial Journal,金融数学杂志Finance and Stochastics,运筹学杂志European Journal of Operational Research等期刊上发表了三十多篇学术论文;2012年北美非寿险精算协会Charles A. Hachemeister奖的获得者和2018年中央财经大学首届龙马青年项目入选者,并曾担任保险学院、中国精算研究院副院长等行政职务。
欢迎师生参加!
邀请人:李婧超
bat365官网登录入口
2023年11月21日