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
精算论坛讲座第145期- Tim Boonen (7月10日)
报告题目(Title)：Equilibrium recoveries in insurance markets withlimited liability
报告时间(Date)：2018年07月10日上午 10:30-11:30
报告人(Speaker): Tim Boonen
Prof.Tim Boonen is an assistant professor in Quantitative Finance and ActuarialScience at the University of Amsterdam. Prof. Boonen received his Ph.D. fromTilburg University in 2014. Now, his research interests include insurance,actuarial risk theory, mathematical finance, cooperative- and non-cooperativegame theory. Prof. Boonen is very productive and has published papers in manywell-known journals, such as Insurance: Mathematics and Economics, Demography,Scandinavian Actuarial Journal, ASTIN Bulletin, European Journal of OperationalResearch.
摘要 (Abstract):
Inthis talk, I will talk about optimal insurance in partial equilibrium in casethe insurer is protected by limited liability, and the multivariate insuredrisk is exchangeable. I focus on the optimal allocation of remaining assets indefault, and show existence of an equilibrium in the market. In such anequilibrium, perfect pooling of the risk in the market occurs, but a protectionfund is needed to charge levies to policyholders with low realized losses. Ifpolicyholders cannot be forced ex post to pay a levy, the constrained equalloss rule is used in equilibrium. This rule gained particular interest in theliterature on bankruptcy problems. Moreover, in absence of a regulator, theinsurer will always invest all its assets in the risky technology. The welfarelosses if other recovery rules are used in case of default are illustrated; adifferent recovery rule can substantially effect the profit of the insurer.This talk will be based on a working paper on SSRN: https://ssrn.com/abstract=2833036
报告地点(Location)：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！
