报告题目：Optimal reinsurance under the alpha-maxmin mean-variance criterion
主讲嘉宾：章礼明
报告时间：9月18日下午3点
报告地点：临江楼A213-214
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专家简介：章礼明，1988年10月生，安徽枞阳人，中共党员，现为安徽大学大数据与统计学院讲师。2021年华东师范大学统计学专业博士毕业，获理学博士学位。2019年9月-2021年9月国家留学基金委公派加拿大滑铁卢大学统计精算系博士生联合培养两年。主要研究方向：保险精算、随机控制、金融数学。近年来参与国家自然科学基金面上项目3项、青年项目2项，作为项目申请人获批2022年度国家自然科学基金青年项目1项；已在《Insurance: Mathematics and Economics》、《Journal of Industrial and Management Optimization》、《Statistical Theory and Related Fields》等期刊上发表论文数篇，是RAIRO - Operations Research期刊审稿人。
报告摘要：This paper studies an optimal reinsurance problem under the α-maximin mean-variance criterion proposed in Li et al. (2016). We generalize Li et al. (2016) by considering a full range of ambiguity preferences and allowing for general form reinsurance contracts. For equilibrium reinsurance strategies, we find that the excess-of-loss form is unique for ambiguity-averse preferences but may not be optimal or unique for ambiguity-loving preferences. An insurer who is more ambiguous to the reference measure retains less risk if she is ambiguity-averse but does not necessarily retain more risk if she is ambiguity-loving and her ambiguity level is high. Our finding suggests that a highly ambiguity-loving preference may only manifest when the ambiguity level is very low, and hence, consistent with empirical studies, demonstrates that decision makers can be ambiguity-loving if they consider themselves more knowledgeable or competent than the other players.
管理工程学院
2024年9月14日
