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252期讲座

(2024年12月13日)

讲座主题：Fairness and Risk Sharing in Integrated LRD-Tontine Schemes under Volterra Mortality

摘要：As the global elderly population expands, the associated risks of longevity intensify, presenting significant challenges to traditional retirement security systems. We study actuarial fairness in tontines under the Volterra mortality framework, integrating long-range dependence (LRD) mortality models rates with tontine structures. Initially, we establish an optimal tontine model for a homogeneous tontine under this framework. However, according only to individual actuarial fairness can neglect the collective nature of tontines. So we propose a hybrid optimization model that accounts for age and wealth discrepancies affecting payment amounts and the collective fairness. Specially, we first to apply the f-value fairness measure in age-heterogeneous tontines for assessing fairness. Our results reveal that while the model ensures collective fairness at the group level, relative payments are lower for older age groups. By incorporating dynamic mortality modeling through the Volterra mortality framework, our work demonstrates that this comprehensive scheme significantly enhances the robustness and sustainability of retirement security systems. These findings provide valuable insights for the future integration of dynamic mortality models with innovative retirement income structures.

报告人：钱林义

钱林义，男，教授，博士生导师，华东师范大学统计学院院长助理、保险与精算系系主任，上海市曙光学者，中国准精算师，《应用概率统计》杂志责任编辑，中国工业与应用数学学会金融数学与工程和精算保险专委会委员，中国现场统计研究会风险管理与精算分会常务理事，中国现场统计研究会统计历史与文化分会常务理事、中国优选法统筹法与经济数学研究会量化金融与保险分会理事，中国社会保障学会商业保险分会理事。研究方向为概率统计，保险精算。在精算学顶刊Insurance: Mathematics and Economics等杂志上发表论文50余篇，专著1本，主持国家课题3项，省部级课题6项；作为子课题负责人参与一项国家社科重大项目和一项国家自科重点项目。曾获上海瑞士再保险精算科学奖三等奖、第十一届全国统计科研优秀成果奖二等奖、上海市优秀博士论文奖、上海市自然科学奖三等奖等奖项。

讲座时间：2024年12月13日（周五）

上午9:30-11:00

报告地点：腾讯会议193-519-679

邀 请 人：孟辉