“商学大讲堂”系列学术讲座（第219讲）---学术名家讲坛（42）

讲座题目：Risk-Sharing Pricing of Variable Annuities within a Principal-Agent Framework 主讲嘉宾：李斌 时  间：2023年9月15日（星期五）上午9：50—11：50 地  点：商学院116东方厅 欢迎感兴趣的师生参加聆听！ 江南大学商学院 2023年9月12日 主讲嘉宾简介 李斌，加拿大滑铁卢大学（University of Waterloo）统计与精算系副教授（终身教职），博士生导师，系主任助理。研究方向包括保险精算，量化金融，随机控制理论等。在其领域多个顶级期刊发表文章30余篇（例如Bernoulli, Insurance: Mathematics and Economics, Journal of Economic Dynamics and Control, Journal of Risk and Insurance, Mathematical Finance, SIAM Journal on Financial Mathematics, Stochastic Processes and their Applications）。研究长年获得加拿大自然科学与工程研究委员会, 美国精算会，加拿大精算会等机构资助。 讲座主要内容 We propose a new risk-sharing pricing approach of variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. While the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new risk-sharing pricing approach reconciles the misalignment between theoretical results and market observations. We also find that a lower insurance fee can make the insurer's expected profit more robust. 阅读（_showDynClicks("wbnews", 1287797169, 85883)） （编辑：徐宇辰） .erwei{ text-align:center;} .erwei img{ border:1px dotted #ddd; padding:10px 30px;} #share_box .bds{width:48px;height:48px;background:url(../../images/bigshare.png) no-repeat!important;padding: 0!important;} #share_box .bds_tsina{background-position:0 0!important;} #share_box .bds_tsina:hover{background-position:0 -50px!important;} #share_box .bds_renren{background-position:-50px 0!important;} #share_box .bds_renren:hover{background-position:-50px -50px!important;} #share_box .bds_douban{background-position:-100px 0!important;} #share_box .bds_douban:hover{background-position:-100px -50px!important;} #share_box .bds_tqq{background-position:-150px 0!important;} #share_box .bds_tqq:hover{background-position:-150px -50px!important;} #share_box .bds_weixin{background-position:-200px 0!important;} #share_box .bds_weixin:hover{background-position: -200px -50px!important;} #share_box .bds_more{background-position:-250px 0!important;} #share_box .bds_more:hover{background-position:-250px -50px!important;} #share_box a.bds_count{margin-top:14px;font-size: 15px!important;} .share-area .bds_more{background:none!important;padding:0;} .share-area .bds_more:hover{text-decoration: none!important;} .share-area .bds_tsina{background-position: 0 -104px!important;} .share-area .bds_renren{background-position: 0 -208px!important;} .share-area .bds_douban{background-position: 0 -468px!important;} .share-area .bds_tqq{background-position: 0 -260px!important;} .count{margin-right:10px;display:inline-block;*display:inline;*zoom:1;} .bottom-share{padding:30px 20px;height:45px;} 分享: window._bd_share_config={ "common":{ "bdSnsKey":{}, "bdMini":"2", "bdMiniList":false, "bdStyle":"0", "bdText":"纺织新材料及应用发展的趋势（节选）", "bdUrl": "", }, "share" : [{ "tag" : "share_1", "bdSize" : "16" },{ "tag" : "share_2", "bdSize" : "32" }] }; with(document)0[(getElementsByTagName('head')[0]||body).appendChild(createElement('script')).src='http://bdimg.share.baidu.com/static/api/js/share.js?v=89860593.js?cdnversion='+~(-new Date()/36e5)];