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精算论坛讲座 第155期—王倩(1月14日)

发布时间:2019-01-10 15:01    浏览次数:[]

教育部人文社科重点研究基地拉斯维加斯赌场3499学术活动

精算论坛讲座 第155王倩

(2019114)



报告人Qian Wang(王倩) 

 

    王倩is a joint PhD at the Faculty of Economics and Business of KULeuven and Economic Department, Tsinghua University. She is interested inresearch situated at microeconomics and actuarial science, including topicssuch as: risk management, behavior insurance and health economics.

 

报告时间:2019114日(周一)下午14:0015:30

 

报告题目一Anote on dependence and volatility in P and Q 

       

报告摘要:  In thispaper, we show that risk-neutral dependence can differ substantially fromreal-world dependence, without introducing arbitrage opportunities. Wecharacterize the set of risk-neutral martingale measures in a simpletwo-dimensional market model. Depending on the choice of the market regardingthe pricing measure, risk-neutral correlations can be high or low. We providean example illustrating the correlation gap; the difference betweenrisk-neutral and real-world correlation. This correlation gap, even if it isbig, does not introduce any arbitrage in the market. However, we show howdispersion trading can be used to exploit the gap.

 

报告题目二中国健康险市场逆向选择问题研究

                                    ——从保险购买决策的影响因素展开研究

报告摘要:保险购买决策的影响因素,保险市场的信息不对称问题,均为保险研究领域的基本问题。保险市场信息不对称问题的实证研究,并未得到一致的结论,有的研究证实了信息不对称的存在,有的则表明不存在信息不对称。本文主要用COX比例风险回归和似不相关回归研究了保险购买决策的影响因素,投保人所在城市的空气污染状况和投保人的风险水平,均对其保险购买决策有影响。持续污染的时间越长,购买保险的可能性越高。空气污染增加了敏感人群的保险购买,且高风险个体对空气污染信息更敏感。高风险水平的个体在空气污染增加时更可能购买保险,且其购买时通常选择高保额,低费率的保险产品。该结果表明,我国健康险市场存在信息不对称。

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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