学术讲座【Optimal insurance with background risk and incentive compatibility】

时间：2015年4月29日 (星期三) 下午15:00

地点：旗山校区理工北楼601报告厅

主办：数学与计算机科学学院

主讲：中央财经大学  池义春副研究员

专家简介：池义春，男，1982年生，中央财经大学中国精算研究院副研究员、硕士生导师。2009年博士毕业于北京大学金融数学系，主要从事风险理论、最优再保险设计、变额年金定价等领域的研究，曾多次到加拿大多伦多大学统计科学系访问。2009年至今已在国际著名精算学杂志《Insurance: Mathematics and Economics》、《Scandinavian Actuarial Journal》和《ASTIN Bulletin》上发表了10多篇论文，2012年北美非寿险精算协会Charles A. Hachemeister奖得主，目前主持1项国家自然科学基金面上项目。

报告摘要：This paper reexamines the design of an optimal insurance contract with background risk from the perspective of an insured by imposing an incentive compatible constraint. The incentive compatibility means that both parties in an insurance contract are obligated to pay more for a larger realization of loss. As standard in the literature, it is assumed that the insurer is risk-neutral, that is, the insurance premium is calculated based only upon the expected indemnity. When the insured has a general mean-variance preference, we derive explicitly an optimal insurance form, which heavily relies on conditional expectation function(CEF) of background risk with respect to the insurable risk and is often significantly different from one that is obtained in the absence of incentive compatibility. It suggests that both the incentive compatible constraint and the dependence between background risk and the insurable risk play very important roles in the insured's risk transfer decision. Finally, optimal insurance is discussed in detail for some special CEFs the derivative of which has less than one change point.