中央财经大学“保险风险分析与决策”学科创新引智基地（B17050）学术活动

教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第127期讲座-Carole Bernard(1月4日)

题目：Costefficient strategies under model ambiguity

摘要 : The solution to the standard cost efficiency problemdepends crucially on the fact that a single real-world measure P is availableto the investor pursuing a cost-efficient approach. In most applications ofinterest however, a historical measure is neither given nor can it be estimatedwith accuracy from available data. To incorporate the uncertainty about themeasure P in the cost efficient approach we assume that, instead of a singlemeasure, a class of plausible prior models is available. We define the notionof robust cost-efficiency and highlight its link with the maxmin expectedutility setting of Gilboa and Schmeidler (1989) and more generally with robustpreferences in a possibly non expected utility setting.

This is joint workwith Thibaut Lux and Steven Vanduffel (VUB).

主讲人：Carole Bernard, Professor ofFinance

Department of Accounting, Law andFinance

Grenoble Ecole de Management,France

时间：2018年1月4日(周四) 上午10:00—11:00

地点：中央财经大学学术会堂南楼506（精算院会议室）

欢迎各位老师和同学积极参加！