报告人：孟辉 

题目：Optimal Multiple Reinsurance Based on Lundberg Exponent

时间：2021年12月9日(星期四), 13:30-14:30

腾讯会议ID：862 925 996

摘要：In this talk, we consider an optimal reinsurance problem for an insurer who designs a reinsurance contract with multiple reinsurance participants. In contrast to the value-at-risk used as a short-term risk measure, we take the Lundberg exponent in risk theory as a risk measure for the insurer over a long time horizon, because the Lundberg upper bound performs better in measuring the infinite-time ruin probability. To reflect various risk preferences of the reinsurance participants, we adopt a type of combined premium principle in which the expected premium principle, variance premium principle, and exponential premium principle are all special cases. Based on the objective of the insurer's Lundberg exponent maximization, we derive the optimal multiple reinsurance strategies for a general admissible policies set. In general, these optimal strategies are shown to have nontrivial curved structures, which differ from conventional reinsurance strategies such as quota share, excess-of-loss, or layer reinsurance arrangements. In some special cases, the optimal reinsurance strategies can be reduced to the classical results. This is a joint work with Prof. Li Wei and Prof. Ming Zhou.

个人简介：孟辉，教授，博士生导师，首届中央财经大学“青年龙马学者”。主持多项国家自然科学基金面上项目和中央财经大学创新团队项目，参与多项国家自然科学基金项目以及教育部人文社科基地重大项目。在《中国科学：数学》、国际著名控制论期刊《SIAM Journal on Control Optimization》以及经济、精算期刊《North American Journal of Economics and Finance》、《Economic Modelling》、《Insurance: Mathematics and Economics》、《Astin Bulletin》、《Scandinavian Actuarial Journal》等国内外重要期刊上发表三十余篇论文。