时间：12月15日上午10:00-11:00
地点：统计楼105报告厅
报告人：加拿大约克大学沈洋博士
报告题目：Stochastic Stackelberg differential games between an insurer and a reinsurer
报告简介：This paper proposes a new continuous-time framework to analyze optimal reinsurance, in which an insurer and a reinsurer are two players of a stochastic Stackelberg differential game, i.e., a stochastic leader-follower differential game. This allows us to determine optimal reinsurance from joint interests of the insurer and the reinsurer,which is rarely considered in a continuous-time setting. In the Stackelberg game, the reinsurer moves first and the insurer moves subsequently to achieve a Stackelberg equilibrium towards optimal reinsurance arrangement.Speaking more precisely, the reinsurer is the leader of the game and decides on optimal reinsurance premium to charge,while the insurer is the follower of the game and chooses optimal proportional reinsurance to purchase.We solve the game problem in two cases: exponential utility maximization and mean-variance optimization.We find that the reinsurer always applies the variance premium principle to calculate the optimal reinsurance premium and the insurer's optimal ceding/retained proportion of insurance risk depends not only on the risk aversion of itself but also on that of the reinsurer.