金融风险管理与保险理论小型研讨会

时间： 2023年6月9 日下午13:30-17:30

地点：南航将军路校区经管楼辅楼A0302室

论坛议程

1）13:30-14:20  Exploring Comparative Ignorance in Subjective Compound Lotteries   李静远  （中国香港岭南大学）

2）14:20-15:10 Optimal risk management with reinsurance and its counterparty risk hedging     池义春 （中央财经大学）

3）15:10-16:00 Dividend Strategy Based on Maximizing Company Value     姚定俊 （南京财经大学）

4）16:00-16:50  Forty years of regret theory in Economics: A Review and Assessment  郑家昆  （中国人民大学）

5）16:50-17:30 Optimal Selling Mechanism with Continuous Buyer Search: A Perverse Effect刘东日（山东大学）

报告人简介

1）Jingyuan Li is a Professor and Head in the Department of Finance and Insurance, Lingnan University, Hong Kong. He obtained his doctoral degree fromTexas A&M University (2004). He was the associate editor for The Journal of Risk and Insurance. His research focuses on theory of risk management and insurance. He has published articles in Journals: Journal of Economic Theory, Journal of Risk and Insurance, Journal of Mathematical Economics, Insurance: Mathematics and Economics, Economics letters, Journal of Macroeconomics and Journal of Economics etc.

摘要：In their seminal work, Fox and Tversky (1995) discovered evidence of comparative ignorance, indicating that individuals display a stronger aversion to ambiguity when evaluating both ambiguous and unclear prospects together, as opposed to evaluating them separately. In response to this phenomenon, we propose a modified lottery model that incorporates an ignorance measure and relaxes the traditional two-stage compound lottery framework. While our model deviates from consistency, it adheres to all other axioms proposed by Klibanoff, Marinacci, and Mukerji (2005). Our findings demonstrate that the smooth ambiguity model can be extended to accommodate comparative ignorance.

2）池义春，中央财经大学保险学院、中国精算研究院研究员、博士生导师。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两项教育部人文社科重点研究基地重大课题，在国际著名期刊Insurance: Mathematics and Economics、ASTIN Bulletin、North American Actuarial Journal、Scandinavian Actuarial Journal、Finance and Stochastics、European Journal of Operational Research上发表三十多篇学术论文。2012年荣获北美产险精算学会Charles A. Hachemeister奖，2015年破格晋升为研究员。曾担任中央财经大学保险学院副院长、中国精算研究院副院长等。

摘要：In this talk, we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing reinsurance and managing reinsurance counterparty risk with a default-free hedging instrument, where the reinsurance premium is calculated by the expected value principle and the price of the hedging instrument equals to the expected payoff plus a proportional loading. Different to previous studies, we exclude ex post moral hazard by imposing the no-sabotage condition on reinsurance contracts and derive the optimal strategy analytically. Surprisingly, we find that the stop-loss reinsurance is always optimal. The form of optimal hedging payoff, however, changes with different cost advantage between reinsurance and the hedging instrument. We further show that full risk transfer is optimal if and only if both reinsurance pricing and the hedging price are fair. Finally, numerical analyses are conducted to illustrate the effects of some interesting factors on the optimal risk management strategy.

3）姚定俊，南京财经大学金融学院教授，副院长。曾获江苏省教学名师，江苏社科优青，江苏省“333工程”第三层次中青年学术带头人等荣誉。先后7次赴香港大学、滑铁卢大学，新南威尔士大学等海外高校访学。主要从事金融资产定价、管理策略优化、绿色金融与创新等方向研究，曾主持国家级项目3项，在《中国科学》、《International Review of Financial Analysis》、《European Journal of Operational Research》、《Journal of Innovation & Knowledge》等国内外期刊发表学术论文40余篇。

摘要：分红关系到股东的切身利益，常被视作公司发展潜力的标志，破产前累积分红的期望现值常被视为公司价值。最近20多年里，分红策略问题一直是学术界研究的热点。本报告以保险公司为例，从单纯的分红策略谈起，逐步过渡到分红、再保险和融资的联合最优策略问题，从盈利和风险两个角度分析联合最优策略的特征，讨论保费定价准则、再保险方式、再保险人数量、交易费用、破产成本等因素对联合最优管理策略影响。

4）郑家昆，博士毕业于法国图卢兹经济学院，牛津大学纳菲尔德学院青年访问学者，国家优秀自费留学生奖学金获得者，现任中国人民大学财政金融学院助理教授、中国人民大学杰出青年学者，风险与公共物品研究中心 (Center for Research on Uncertainty and Commons, CRUC)联合创始人。他的研究兴趣包括行为经济学和决策理论及其在保险、资产定价、环境和健康领域中的应用。他近期在这些领域的研究发表在Journal of Health Economics, Journal of Economic Behavior and Organization, Insurance: Mathematics and Economics等。

摘要：Regret theory has emerged as a prominent framework in the field of economics over the past four decades, offering an alternative to traditional expected utility theory by incorporating the influence of emotions and decision-making biases on individual preferences and choices. This paper undertakes a comprehensive review and assessment of regret theory, examining its evolution, key concepts, empirical findings, and applications in economic research. Through a meticulous exploration of the foundations of regret theory and subsequent developments, the aim is to deepen our understanding of its contributions and limitations in explaining real-world economic behavior. Moreover, this paper presents three recent experiments that scrutinize the validity of regret theory and cast doubt on its central assumption of regret aversion.

5）刘东日，山东大学经济学院助理教授，2022年毕业于新加坡国立大学，获经济学博士。主要研究领域为机制设计，风险与不确定性理论。研究成果发表于Journal of Mathematical Economics，Economics Letters，Insurance: Mathematics and Economics等期刊。

摘要：We adopt a dynamic mechanism design approach to study how a revenue-maximizing seller should sell an indivisible object, when a potential buyer privately endowed with his value can conduct a hidden search with an arbitrary intensity for an outside option. Our optimal selling mechanism generalizes that of Armstrong and Zhou (2016) who assume buyer search is a binary decision. We find that continuous search requires an optimal non-refundable deposit that must depend on the buyer's search cost function, though it is independent of the search cost for binary search. Moreover, contrast to binary search, continuous search entails a perverse effect: less costly buyer search might enhance seller revenue.