数学科学学院学术报告[2024] 051号

(高水平大学建设系列报告931号）

报告题目: Reinsurance contract design for contagious climate risks

报告人：刘果，助理教授，Swansea University

报告时间：2024.06.23 16:00-17:00pm

讲座地点：汇星楼（科技楼）501

报告内容：We discuss an optimal reinsurance contract design for climate risks under continuous-time contagious financial and insurance markets. The arrival of claims is modelled by an enhanced dynamic contagious process, which is a generalisation of the external-exciting Cox process with shot-noise and the self-exciting Hawkes process. Furthermore, the dependency structure between the financial and insurance markets is also captured by a joint distribution of the self-exciting effect and the claim size. Closed-form formulas for insurance premiums of claims from climate change under different pricing principles are derived. A principal-agent problem is constructed to solve the optimal reinsurance contract where the reinsurer selects the premium level and the corresponding compensation for claims, and the insurer enters the contract if and only if the expected utility of its operating profit over the reinsurance term is larger than that without any reinsurance contract. Based on the Lagrangian method, semi-closed-form formulas for the optimal reinsurance premium and compensation function are derived. To facilitate our quantitative analysis, several numerical examples are provided to show the impact of key parameters and the dependency structure on optimal controls.

报告人简历：Guo Liu, Ph.D., is a Lecturer of Actuarial Science at Swansea University. He received his Ph.D. degree in Actuarial Science from the University of Melbourne. His research expertise centers on stochastic optimal controls, portfolio choice, life-cycle planning, dividend problems， climate risks, and point processes. He has published in top-tier journals including Insurance: Mathematics and Economics, European Journal of Operational Research, and Finance Research Letters

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邀请人:李婧超

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　　　　　　　　　　　　　　　　　　　　　2024年06月23日