报告时间：9月30日10：30-11：30
报告地点：闵行法商南楼135会议室
报告题目：Pareto-Optimal Risk Sharing under the Time-consistent Mean-variance Criterion
报告人：陈律博士（加拿大滑铁卢大学）
摘要：We consider a dynamic Pareto-optimal risk sharing problem under the time-consistent mean-variance criterion. We allow n insurers to share an exogenous total loss process which is modelled by a Lévy process. By solving the extended Hamilton-Jacobi-Bellman equation and utilizing the Lagrangian method, explicit form of the equilibrium bearing function for each insurer is obtained. We find that the equilibrium bearing functions are mixtures of the two most common insurance contracts, namely, the proportional contact and the stop-loss contract. Thanks to their explicit forms, analytical properties of the equilibrium bearing functions are carefully investigated. In the second part of the paper, we further consider three extensions to the original model: risk sharing constraint to the insurers, financial investment opportunities, and insurers’ ambiguity towards the total loss process. Equilibrium bearing functions under these extended models are also explicitly solved, and the impact of constraint, investment, and ambiguity to the bearing functions are examined.