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(3-30PM4:00)第470期岭南学术论坛(金融学系列Seminar)

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讲座题目:A constraint-free approach to optimal reinsurance

讲座嘉宾:Professor Hailiang Yang (Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong)

主 持 人:曾燕(中山大学岭南学院 副教授)

时      间:2018年3月30日(周五)下午16:00-18:00

地      点:岭南堂汪道涵会议室

语      言:英文+中文

 

摘要:

Reinsurance is available for a reinsurance premium that is determined according to a convex premium principle H. The first insurer selects the reinsurance coverage that maximizes its expected utility. No conditions are imposed on the reinsurer's payment.  The optimality condition involves the gradient of H. For several combinations of H and the first insurer's utility function, closed form formulas for the optimal reinsurance are given.  If H is a zero utility principle (for example, an exponential principle or an expectile principle), it is shown, by means of Borch's Theorem,  that the optimal reinsurer's payment is a function of the total claim amount and that this function satisfies the so-called 1-Lipschitz condition. Frequently, authors impose these two conclusions as hypotheses at the outset. This is a joint paper with Hans Gerber and Elias Shiu.

 

主讲嘉宾简介:

Hailiang Yang, Ph.D., ASA, HonFIA, received his PhD degree from University of Alberta and Master in Actuarial Science from University of Waterloo. He joined the University of Hong Kong in 1996 and is currently a Professor in the Department of Statistics and Actuarial Science. Hailiang Yang’s research is on actuarial science and mathematical finance. He has authored or co-authored over 150 peer-reviewed papers in actuarial science and related journals, and has worked with many leading figures in the field. He has supervised more than 20 research students, his graduate students are, in many cases, now well-known researchers in their own right. He is an editor of Insurance; Mathematics and Economics and associate editor of five other journals. He is an Associate of Society of Actuaries, and he was elected as an Honorary Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Swiss Association of Actuaries in 2014. He receive an Outstanding Researcher Award from The University of Hong Kong in 2013-2014.

 

Homepage:http://www.saasweb.hku.hk/staff/hlyang/

 

 

 

 

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       中山大学岭南学术论坛分经济、金融和管理三个系列,是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期,并得到了各界的高度评价。

       论坛主页:http://lingnan.sysu.edu.cn/seminar/

 

 

 

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