报告题目：Optimal insurance design with ambiguous loss and smooth ambiguity aversion
报 告 人：池义春 研究员 中央财经大学
报告时间：2020年6月22日 14:00-15:00
报告地点：腾讯会议ID：930 696 799
或点击链接直接加入会议：
https://meeting.tencent.com/s/eq0k5MwsRjC5
校内联系人：程建华 chengjh@jlu.edu.cn
报告摘要：
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.
报告人简介：
池义春，中央财经大学保险学院、中国精算研究院研究员、博士生导师，中央财经大学龙马青年学者，2009年博士毕业于北京大学，2015年破格晋升为研究员。现主要从事精算学与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研究，先后主持三项国家自然科学基金项目和一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和Scandinavian Actuarial Journal以及金融数学杂志Finance and Stochastics上发表学术论文二十余篇，2012年北美非寿险精算协会Charles A. Hachemeister奖的获得者。
