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150期讲座--关国卉

(2018年11月9日)

报告题目：Time-consistentproportional reinsurance and investment strategies under ambiguous environment

报告时间：2018年11月9日（周五）下午14:00—15:00

报告人：Guo-hui Guan

      关国卉，清华大学统计学博士，现为中国人民大学博士后，主要研究方向为最优再保险和投资、养老金管理。已在保险精算期刊IME上发表六篇相关论文。

报告摘要:  Inthis paper, we study the equilibrium proportional reinsurance and investmentstrategies for an insurer in an environment with parameter uncertainties. Theinsurer can buy proportional reinsurance business to hedge its insurance risks.However, the insurer is ambiguous about the insurance claims and risky assets.Specifically, the insurance claim is exponentially distributed and the rateparameter is uncertain. Besides, the return of a stock is uncertain. Theinsurer holds ambiguous beliefs over these states. The goal of the insurer isto maximize the smooth ambiguity utility proposed in Klibanoff etal.\cite{Kli}(2005). The equilibrium control is introduced to derive thetime-consistent solution. In the end, a sensitivity analysis is presented toshow the economic behaviors of the insurer under the smooth ambiguity. Resultsreveal the uncertain beliefs play an important role in the equilibriumreinsurance and investment strategies. When the insurer is more risk aversetowards ambiguity, the insurer will invest less in the ambiguous asset and morein the non-ambiguous asset.

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！