Optimal risk sharing for an insurer with multiple reinsurers
Time： 2019-12-26 15:00-16:00
摘要：Assume that several reinsurers participate in a reinsurance treaty for some loss, and these reinsurers adopt a kind of combined premium principle (the expected premium principle, variance premium principle and exponential premium principle as special cases). Based on the Lundberg exponent, we study the minimal probability of ruin with the Cramer-Lundberg jump risk model. Among the class of plausible reinsurance treaties, we derive the optimal multiple reinsurance strategy with nontrivial curved structures, which are different of conventional reinsurance strategy such as proportional and excess of loss reinsurance strategies, etc. Finally, the corresponding numerical and sensitive analysis are given under some two-dimensional reinsurance spaces. This is a joint work with Prof. Ming Zhou and Li Wei.
报告人介绍: 孟辉，研究员、博士生导师，主持多项国家自然科学基金面上项目以及中央财经大学创新团队项目，为中央财经大学"青年龙马学者"。研究兴趣为金融数学、保险精算以及随机优化等。在SIAM Journal on Control Optimization, Astin Bulletin, Insurance: Mathematics and Economics等期刊发表多篇论文。