学术活动

Optimal Dynamic Risk Sharing under the Mean-Variance Criterion

2020-11-11 09:27

报告人: 李丹萍

报告人单位: 华东师范大学经济与管理学部统计学院

时间: 2020.11.13.14:30

地点: 腾讯会议137107009

开始时间:

报告人简介:

年:

日月:

In this paper, we consider a dynamic Pareto optimal risk-sharing problem under the time-consistent mean-variance criterion. A group of n insurers is assumed to share an exogenous risk whose dynamics is modelled by a Levy process. By solving the extended Hamilton-Jacobi-Bellman equation using the Lagrange multiplier method, an explicit form of the time-consistent equilibrium risk-bearing strategy for each insurer is obtained. We show that equilibrium risk-bearing strategies are mixtures of two common risk-sharing arrangements, namely the proportional and stop-loss strategies. Their explicit forms allow us to thoroughly examine the analytic properties of the equilibrium risk-bearing strategies. We later consider some extensions to the original model by introducing a set of financial investment opportunities and allowing for insurers' ambiguity towards the exogenous risk distribution. We again explicitly solve for the equilibrium risk-bearing strategies and further examine the impact of the extension component (investment or ambiguity) on these strategies.

个人简介:李丹萍,华东师范大学经济与管理学部统计学院副教授,主要研究方向为随机最优控制在金融和保险中的应用,目前已在Insurance: Mathematics and Economics, Journal of Economic Dynamics and Control, Scandinavian Actuarial Science等国际重要杂志上发表学术论文二十余篇。主持一项国家自然科学基金青年项目,2018年入选上海市晨光计划。


Contact us

Add:Building 32, The School of Mathematics, Tianjin University Beiyangyuan Campus,

        No. 135, Ya Guan Road, Jinnan District, Tianjin, PRC 

Tel:022-27402850   Mail:math@tju.edu.cn