报告题目：Regret-based Optimal Insurance Design

报 告 人：池义春 研究员 中央财经大学

报告时间：2021年11月16日  14:00-15:00

报告地点：腾讯会议ID：518 557 906

或点击链接直接加入会议：https://meeting.tencent.com/dm/BJfDw6MLpiEO

校内联系人：程建华 chengjh@jlu.edu.cn

报告摘要：In this talk, we discuss an optimal insurance design problem in which the insured's risk preference is of the regret-theoretical expected utility type and admissible insurance contracts are set to satisfy both the principle of indemnity and the incentive-compatible condition. When the insurance premium is calculated by the expected value principle, we show that the optimal solution for a regret-averse insured can be in the form of no insurance or partial insurance above a deductible. We obtain a necessary and sufficient condition for the optimality of no insurance and provide a numerical algorithm to derive the optimal partial insurance above a deductible. Notably, the deductible disappears if and only if the insurance premium is actuarially fair. Finally, we carry out a comparative statics analysis to examine the effect of the insured's regret coefficient on the insured's final wealth and insurance demand. When the insurance pricing is actuarially fair, we find that the increase of the regret coefficient incentivizes the insured to purchase less insurance coverage and leads to an increase in risk of the insured's final wealth. However, numerical analysis indicates that this finding is not always true for unfair insurance pricing.

报告人简介：池义春，中央财经大学研究员，博士生导师，保险学院、中国精算研究院副经理，中央财经大学首届龙马青年学者。现主要从事精算学与风险管理中的风险理论、最优保险/再保险设计以及变额年金的定价和对冲等研究，主持过三项国家自然科学基金项目和一项教育部人文社科重点研究基地重大课题，在国际著名的精算学杂志Insurance: Mathematics and Economics、ASTIN Bulletin、North American Actuarial Journal、Scandinavian Actuarial Journal，金融数学杂志Finance and Stochastics，运筹学杂志European Journal of Operational Research上发表二十多篇学术论文。2012年荣获北美产险精算学会Charles A. Hachemeister奖。