讲座题目：Revisiting the VaR-based optimal reinsurance design under adverse selection（重新审视逆向选择下基于VaR的最优再保险设计）

主讲人：姜文骏 加拿大卡尔加里大学数学与统计系 助理教授

讲座地点：经管院B224

讲座时间：2023年7月4日9:30-12:00

讲座内容摘要：

In this talk, we revisit the design of optimal reinsurance contracts from a monopolistic reinsurer’s perspective in the presence of information asymmetry. The reinsurer aims to maximize its expected profit and the insurers select the contracts based on their Value-at-Risk (VaR) preferences. The closed-form optimal contract menu is derived, in which each contract only covers one layer of loss while leaving the loss beyond its VaR uncovered. Such contracts are different from the commonly assumed stop-loss or quota-share contracts in the literature. We show that the optimal contract menu depends on the individual rationality constraints and is also the first-best solution if the so-called “generous distribution” assumption is met. In a classical setting, our result is in sharp contrast to many results in the literature. Some numerical examples are presented to show more implications of our results.

在本次报告中，我们主要讨论在垄断市场中再保险公司在面临信息不对称情况下如何设计再保险合同。我们假设再保险公司目标为最大化它自身的期望收益，而保险公司则根据它们的风险VaR值来选择再保险合同。我们证明了在信息不对称下，最优再保险赔付函数依旧是单层形式的，并且不覆盖保险公司风险VaR值额外的损失。此类形式的赔付函数与文献中假设的止损函数以及比例函数不同。除此外，我们还证明了最优合同依赖于保险公司的理性约束。在所谓的“慷慨分配”的假设下，最优再保险合同不受不对称信息的影响。这些结论与文献中不对称信息下的最优再保险合同有很大差别。

主讲人学术简介：

姜文骏，加拿大卡尔加里大学数学与统计系助理教授，博士生导师。研究领域主要包括最优（再）保险，风险分摊，风险度量，精算建模。在运筹学顶级期刊European Journal of Operational Research及四大精算顶尖期刊（Insurance: Mathematics and Economics、ASTIN Bulletin、North American Actuarial Journal、Scandinavian Actuarial Journal）上发表十余篇文章。