精算论坛第120期讲座-李永武(12月1日)

题目：Optimal insurance designwith a bonus  

摘要：This paper investigates an insurance design problem, in which abonus will be given to the insured if no claim has been made during the wholelifetime of the contract, for an expected utility insured. In this problem, theinsured has to consider the so-called optimal action rather than the contractedcompensation (or indemnity) due to the existence of the bonus. For anypre-agreed bonus, the optimal insurance contract is given explicitly and shownto be either the full coverage contract when the insured pays high enoughpremium, or a deductible one otherwise. The optimal contract and bonus are alsoderived explicitly if the insured is allowed to choose both of them. Thecontract turns out to be of either zero reward or zero deductible. In allcases, the optimal contracts are universal, that is, they do not depend onspecific form of the utility of the insured. A numerical example is alsoprovided to illustrate the main theoretical results of the paper.

主讲人：

李永武博士于2014年毕业于兰州大学数学与统计学院，师从李仲飞教授；2014年至2017年在中国科学院数学与系统科学研究院做博士后，合作导师是汪寿阳研究员；2016年至2017年在香港理工大学应用数学系做博士后，合作导师是许左权博士；2017年6月至今在北京工业大学经济与管理学院担任讲师。李永武博士的研究兴趣包括金融资产定价、投资组合选择理论，曾主持1项国家自然科学基金青年项目和1项博士后科学基金面上项目，参与过国家杰出青年基金项目和国家自然科学基金重点项目；在Insurance: Mathematics and Economics, Journal of Optimization Theoryand Applications, IEEE Systems Journal等多个国内外知名杂志发表过10多篇学术论文，目前也完成了7篇关于保险合同设计、分红优化管理、时间一致投资-再保险等方向的学术论文。

时间：2017年12月1日上午9:3 0—10:30

地点：中央财经大学学术会堂南楼506

欢迎各位老师和同学积极参加！