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256 期

(2024年12月23日)

讲座主题：Performance-based variable premium scheme and reinsurance design

摘要：: In the literature, the insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller’s risk attitude. Building on the work of Meyers (1980) and Chen et al. (2016), we propose a new performance-based variable premium scheme for reinsurance policies, where the premium depends on both the distribution of the ceded loss and the actual realized loss. Under this scheme, the insurer and reinsurer face a random premium at the beginning of the policy period. Based on the realized loss, the premium is adjusted into either a“reward”or“penalty”scenario, resulting in a discount or surcharge at the end of the policy period. We characterize the optimal reinsurance policy from the insurer’s perspective under this new variable premium scheme. Additionally, we formulate a Bowley optimization problem between the insurer and the monopoly reinsurer. Numerical examples demonstrate that, compared to the expected-value premium principle, the reinsurer prefers the variable premium scheme as it reduces the reinsurer’s total risk exposure.

报告人：Fangda Liu

Dr. Fangda Liu is an associate professor at the Department of Statistics and Actuarial Science, University of Waterloo. She is also an associated fellow of the Society of Actuaries. Her research focuses on optimal insurance and reinsurance design, risk sharing problems, distributional model uncertainty and its application insurance.

讲座时间：2024年12月23日（周一）上午10:00-11:00

报告地点：腾讯会议：986195826

邀 请 人：刘敬真