赵慧 | Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

时间:2019-11-07浏览:10设置

时间:2019年11月16日(周六)上午9:00-10:00

地点:中北校区理科大楼A1716报告厅

题目:Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

报告人:赵慧 天津大学副教授

摘要:

This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean-variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit default swap (CDS). Following a game theoretic approach, robust equilibrium strategies and equilibrium value functions for the pre-default case and the post-default case are derived, respectively. For the ambiguity-averse insurer, in general the equilibrium strategies can be characterized by unique solutions to some algebraic equations. For the degenerate case with an ambiguity-neutral insurer, closed-form expressions of equilibrium strategies and equilibrium value functions are obtained. Numerical examples demonstrate that the consideration of model uncertainty and CDS investment improves the insurer's utility. In this regard, our paper establishes theoretical and numerical support for the importance of ambiguity aversion, credit risk and their interplay in insurance business.

报告人简介:

赵慧,天津大学数学学院副教授,现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员,主持国家自然科学基金青年项目和面上项目各一项,在精算领域重要期刊《Insurance: Mathematics and Economics》和《Applied Mathematics and Computation》、《Journal of Computational and Applied Mathematics》等数学期刊发表论文20余篇,天津市131创新型人才培养工程第三层次人选,国家精品在线开放课程《概率论与数理统计》主要参与人。

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