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149期-孟生旺和荣喜民 (10月24日)
报告题目一：交强险的驾驶行为风险分析
报告时间：2018年10月24日上午 10:00-11:00
报告人: 孟生旺（中国人民大学统计学院）
摘要: 应用车联网采集的驾驶行为数据和交强险的索赔数据，提取被保险车辆的各种驾驶行为风险因子，分析它们与事故发生概率和索赔次数的关系，探讨驾驶行为保险的定价基础，应用GAM分析驾驶行为风险因子对交强险事故发生概率和索赔频率的影响，在特定的优化目标下，应用决策树模型对GAM的平滑函数进行离散化处理，然后建立GLM损失预测模型，并与传统的车险损失预测模型进行比较。结果表明，合理提取的驾驶行为风险因子在很大程度上可以代替传统的定价因子，提高交强险损失预测的准确性。
报告题目二：Optimal portfolio selection and benefitpayment strategy under loss aversion for target benefit pension plans
报告时间：2018年10月24日上午 11:00-12:00
报告人: 荣喜民（天津大学数学学院）
摘要: In this talk, we consider the optimal portfolio selection and benefitpayment strategy for a target benefit plan (TBP), where the plan members areloss averse with an S-shaped utility over benefit relative to a time-varyingtarget benefit level. The pension payments depend on the financial situation ofthe plan, with risk sharing between different generations. The pension fund isinvested in both a risk-free asset and multiple risky assets. Using themartingale method, we derive closed-form solutions for optimal investmentstrategy as well as optimal benefit payment policy, which minimize the interimutility of the benefit risk in terms of deviating from the target. Finally,some numerical examples and sensitivity analyses are provided to show theimpact of financial parameters on the optimal strategies. We also compare theoptimal benefit payment policy for loss-averse participants with that ofconstant relative risk averse (CRRA) participants by numerical results.
报告地点：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！
