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176期讲座

(2020年11月6日)

报告题目：Insurance Risk Analysis of Financial Networks

报告人：Qihe Tang (Professor of Actuarial Science at UNSW Sydney)

After earning his Ph.D. from the University of Science and Technology of China in 2001, Professor Tang has worked at different places around the world including Hong Kong, Amsterdam,           Montreal, Iowa, and Sydney. At the University of Iowa, he was promoted to Full Professor in 2012 and was conferred the F. Wendell Miller Endowed Professorship in 2014. He joined UNSW Business   School under the SHARP scheme since July 2017.

He is currently Editor for Insurance:Mathematics and Economics, and Associate Editor for several journals including TEST, Applied Stochastic Models in Business and Industry,Statistics & Probability Letters, and Science China Mathematics.He is an Elected Member of the International Statistical Institute.

摘要：

We conduct a quantitative risk analysis of non-core insurance business of selling financial products to protect financial firms against investment losses due to a shock. To achieve the goal, we construct a static structural model composed of a network of firms who cross-hold each other, multiple primitive assets that are vulnerable to a shock, and an insurer who resides external to the network and speculates in selling protection to financial firms. Assume that each firm in the network is rational and able to decide how much protection to purchase to optimize its portfolio according to the mean-variance principle. As a result, the shock may impact the insurer but indirectly through the network,and thus both the network integration and the shock are risk factors of this non-core insurance business. Our study focuses on describing their interactive role in the insurance risk. Depending on the shock size, an increase in the network integration may help reduce the insurance risk, or drive the insurer to a more profitable position, or hinder the insurer from making profit.This is a joint work with Zhiwei Tong and Li Xun.

报告时间：2020年11月6日 10:00--11:30

报告地点：腾讯会议（会议ID：877 665 036）

邀请人：郑敏

欢迎各位老师和同学积极参加！