龙马奋进 · 校庆70周年学术系列讲座
精算论坛讲座 第167期—Tim Boonen (12月3日)
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167期
(2019年12月3日)
报告题目：Some recent advances in optimal reinsurance
报告人：Tim Boonen
Tim Boonen is an associateprofessor in actuarial science and mathematical finance at the University ofAmsterdam. Prior to joining the University of Amsterdam in 2013, he earned hisPh.D. at Tilburg University. His research interests include risk sharing,capital allocation, mortality risk modelling, and applications of game theoryin insurance. He has published papers in actuarial science, mathematicaleconomics and operations research.
摘要：Risk-sharing and optimal reinsurance arrangementshave been substantially studied in the literature. Main focusses in theliterature are on generalizing objective functions and incorporating morebusiness constraints. In this talk, I will propose three recent generalizationsof the standard approaches in the literature. Those three generalizations arebased on multiple reinsurers, heterogeneous beliefs of the underlyingprobability distribution, and multiple risk environments. I will show specialcases with the for the Value-at-Risk and Tail Value-at-Risk.
报告时间：2019年12月3日 14:00--16:00
报告地点：学术会堂南楼506中国精算研究院会议室
邀请人：池义春
欢迎各位老师和同学积极参加！
