学术报告-1:
时间: 2017年12月18号下午3点-4点
地点:太阳成集团tyc234cc官网第一报告厅.
题目: Stochastic Stackelberg differential games between an insurer and a reinsurer
学术报告-2:
时间: 2017年12月20号下午3点-4点
地点:太阳成集团tyc234cc官网第一报告厅.
题目: A Stein's type Lemma for the Multivariate Generalized Hyperbolic Distribution：Expected Utility Maximizer Invest in Three Fund Not in Two.
学术报告-1摘要与报告人简介:
摘要:
This paper proposes a new continuous-time framework to analyze optimal reinsurance, in which an insurer and a reinsurer are two players of a stochastic Stackelberg differential game, i.e., a stochastic leader-follower
differential game. This allows us to determine optimal reinsurance from joint interests of the insurer and the reinsurer, which is rarely considered in a continuous-time setting. In the Stackelberg game, the reinsurer moves first and the insurer moves subsequently to achieve a Stackelberg equilibrium towards optimal reinsurance arrangement. Speaking more precisely, the reinsurer is the leader of the game and decides on optimal reinsurance premium to charge, while the insurer is the follower of the game and chooses optimal proportional reinsurance to purchase. We solve the game problem in two cases: exponential utility maximization and mean-variance optimization.
We find that the reinsurer always applies the variance premium principle to calculate the optimal reinsurance premium and the insurer's optimal ceding/retained proportion of insurance risk depends not only on the risk aversion of itself but also on that of the reinsurer.
报告人简介:
沈洋博士毕业于澳大利亚Macquarie大学商学院, 现就职于加拿大York大学数学与统计系. 沈洋博士主要研究领域包括精算数学,金融数学及随机控制等相关领域, 主持和参与多项科研基金项目并多次参加国际性学术会议并作报告.至今,沈洋博士在相关领域共发表SCI论文30余篇, 发表期刊包括: Insurance Mathematics and Economics, European Journal of Operational Research, Annal of Operational Research, Scandinavian Actuarial Journal 等国际知名学术期刊.
学术报告-2摘要与报告人简介:
摘要:
When two variables are bivariate normally distributed Stein's seminal lemma provides a convenient expression for the covariance of the first variable with a function of the second. The lemma has shown to be useful in various disciplines including statistics, probability, decision theory and finance. In finance, however, asset returns do not always display symmetry but may exhibit skewness. This observation has led Adcock (2007, 2010, 2014) to develop Stein's type lemmas for certain multivariate distributions that are consistent with Simaan's (1987, 1993) setting for asset returns. In this paper, we depart from Simaan's setting and develop a new Stein's type lemma in the setting of a mean-variance mixture model for returns. As a particular application, we show that expected utility maximizers select portfolios that are mean-variance-skewness efficient.
报告人简介:
姚经, 应用经济学博士。比利时布鲁塞尔自由大学科研教授，比利时FWO科研基金研究员，以色列海法大学精算和风险管理研究中心研究员，比利时天主教鲁汶大学访问学者。主要研究方向包括风险管理，金融衍生品定价，最优投资组合，风险相依结构等方面。主持和参与科研基金项目三项并多次参加国际性学术会议并作报告，同时他也是欧洲相依结构在金融保险中的应用学术年会的组织者。他的部分研究成果发表在著名专业学术期刊上，如 The North American Actuarial Journal, ASTIN Bulletin, the Journal of Quantitative Finance, the European Journal of Finance, the European Journal of Operational Research, Journal of Statistical Planning and Inference 等。
