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精算论坛讲座第150期--关国卉(11月9日)

发布时间:2018-10-22 14:33    浏览次数:[]

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精算论坛讲座150--关国卉

(2018119)

 

报告题目Time-consistentproportional reinsurance and investment strategies under ambiguous environment

  

报告时间:2018119日(周五)下午14:0015:00

                                                                                                                                       

报告人Guo-hui Guan

 

      关国卉,清华大学统计学博士,现为中国人民大学博士后,主要研究方向为最优再保险和投资、养老金管理。已在保险精算期刊IME上发表六篇相关论文。

 

报告摘要:  Inthis paper, we study the equilibrium proportional reinsurance and investmentstrategies for an insurer in an environment with parameter uncertainties. Theinsurer can buy proportional reinsurance business to hedge its insurance risks.However, the insurer is ambiguous about the insurance claims and risky assets.Specifically, the insurance claim is exponentially distributed and the rateparameter is uncertain. Besides, the return of a stock is uncertain. Theinsurer holds ambiguous beliefs over these states. The goal of the insurer isto maximize the smooth ambiguity utility proposed in Klibanoff etal.\cite{Kli}(2005). The equilibrium control is introduced to derive thetime-consistent solution. In the end, a sensitivity analysis is presented toshow the economic behaviors of the insurer under the smooth ambiguity. Resultsreveal the uncertain beliefs play an important role in the equilibriumreinsurance and investment strategies. When the insurer is more risk aversetowards ambiguity, the insurer will invest less in the ambiguous asset and morein the non-ambiguous asset.

 

 

报告地点:拉斯维加斯赌场首页学术会堂南楼506(精算院会议室)

 

 

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