报告人：池义春教授

中央财经大学中国精算研究院

报告题目：Optimal Insurance Design in the Presence of Exclusion Clauses

报告时间：2017年05月22日15:00

报告地点：海韵实验楼105

报告摘要：In this talk, we discuss the design of an optimal insurance policy from the perspective of an insured, where the insurable loss is mutually exclusive from another loss that is denied in the insurance coverage. To reduce ex post moral hazard, we assume that both the insured and the insurer would pay more for a larger realization of the insurable loss. When the insurance premium principle preserves the convex order, we show that any admissible insurance contract is suboptimal to a two-layer insurance policy under the criterion of minimizing the insured's total risk exposure quantified by value at risk, tail value at risk or an expectile. The form of optimal insurance can be further simplified to be one-layer by imposing an additional weak condition on the premium principle. Finally, we use Wang's premium principle and the expected value premium principle to illustrate the applicability of our results, and find that optimal insurance solutions are affected not only by the size of the excluded loss but also by the risk measure chosen to quantify the insured's risk exposure. (This is a joint work with Dr. Fangda Liu).

报告人简介：池义春，中央财经大学中国精算研究院研究员，风险量化与决策研究中心主任。2009年在北京大学数学科学学院金融数学系获得博士学位。主要研究兴趣为精算学和风险管理中的风险理论、最优保险/再保险设计以及变额年金的定价和对冲等。在国际著名的精算学期刊ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal和Scandinavian Actuarial Journal发表了十多篇学术论文。主持过两项国家自然科学基金项目。2012年荣获北美产险精算学会Hachemeister奖，2015 年破格晋升为研究员。

联系人：陈新香助理教授

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