报告题目：Interplay of prevention efforts and insurance demand with distortion risk measures
报告时间：2024年10月18日（周五）10:00
报告地点：阅江楼350
报告人：张艺赢教授
报告人简介：张艺赢，南方科技大学数学系助理教授，副研究员，博士生导师。主要研究兴趣包括最优保险设计、系统性风险、信度理论等。研究成果主要发表在保险精算、金融数学、运筹管理和可靠性理论等领域主流期刊，如：Insurance: Mathematics and Economics、ASTIN Bulletin、Scandinavian Actuarial Journal、North American Actuarial Journal、Quantitative Finance、European Journal of Operational Research、Naval Research Logistics、TEST、Reliability Engineering & System Safety、Computers & Industrial Engineering等杂志上。主持或完成省部级自然科学基金4项。
摘要:In economic analysis, rational agents typically take actions to lower their risk exposure. These actions include purchasing market insurance and simultaneously engaging in prevention efforts to reduce the size of potential claims (self-insurance) or lower the probability of claims occurring (self-protection). This paper examines the interplay between prevention efforts and market insurance demand within the framework of distortion risk measures. Prevention effort is modeled by the changing pattern of loss distributions, represented by a family of stochastically ordered probability measures. We explicitly characterize the optimal combination of prevention effort and insurance demand under self-insurance and self-protection models when buyers adopt Value-at-Risk (VaR) and convex distortion risk measures. Additionally, we provide comparative static analyses to illustrate the main findings under various settings of premium loading, risk aversion, and loss distribution. Our results indicate that, with an increase in safety loading, the substitution effect between market insurance and self-insurance aligns with most of the existing literature. However, the substitution effect also exists between market insurance and self-protection, differing from the complementary findings in studies such as Ehrlich & Becker (1972) and Bensalem et al. (2020).
管理工程学院
2024年10月12日
