第501期岭南学术论坛(金融学系列Seminar)

Stochastic Stackelberg differential reinsurance games

发布人:管理员 发布日期:2018-07-06 阅读次数:3
主题
Stochastic Stackelberg differential reinsurance games
活动时间
-
活动地址
岭南堂汪道涵会议室
主讲人
沈洋(加拿大约克大学 助理教授)
主持人
曾燕(中山大学岭南学院 教授)

语言          中文

 

摘要:  

This paper proposes a new continuous-time framework to analyze optimal reinsurance, in which an insurer and a reinsurer are two players of a stochastic Stackelberg differential game, i.e., a stochastic leader-follower differential game. This allows us to determine optimal reinsurance from joint interests of the insurer and the reinsurer, which is rarely considered in a continuous-time setting. In the Stackelberg game, the reinsurer moves first and the insurer moves subsequently to achieve a Stackelberg equilibrium towards optimal reinsurance arrangement. Speaking more precisely, the reinsurer is the leader of the game and decides on optimal reinsurance premium to charge, while the insurer is the follower of the game and chooses optimal proportional reinsurance to purchase. We solve the game problem in two cases: exponential utility maximization and mean-variance optimization. Under the utility maximization framework, we find that the reinsurer always applies the variance premium principle to calculate the optimal reinsurance premium and the insurer's optimal ceding/retained proportion of insurance risk depends not only on the risk aversion of itself but also on that of the reinsurer.  Under the mean-variance framework, if the reinsurer adopts the variance premium principle (resp. expected value premium principle), the Stackelberg equilibrium is attained when the insurer purchases the proportional reinsurance (resp. excess-of-loss reinsurance).

 

报告人简介:

      沈洋博士现为加拿大约克大学数学与统计系助理教授。此前,他于2013年至2015年在澳大利亚新兰威尔士大学(UNSW)担任博士后研究员,于2014年在麦考瑞大学(Macquarie U)取得精算学博士学位。沈洋博士目前的主要研究方向为精算和金融数学,随机控制及其应用,当前研究受加拿大自然和工程研究理事会(NSERC)和北美精算师协会(SOA)资助。近年来在相关领域已发表40余篇论文,部分文章发表在Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, Automatica, Quantitative Finance, European Journal of Operational Research, Annals of Operations Research等杂志。

 

 

 

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