金融工程研究中心学术报告：Optimal Moral-hazard-free Reinsurance under Extended Distortion Premium Principles

报 告 人：许左权  教授  香港理工大学 报告时间：2023.12.06(周三) 10:30-11:30 报告地点：金融工程研究中心105学术报告厅 报告摘要： We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing the incentive compatibility constraint on indemnity functions. The reinsurance premium is calculated under an extended distortion premium principle, in which the distortion function is not necessarily concave or continuous. We first show that an optimal reinsurance contract always exists and then derive two sufficient and necessary conditions to characterize it. Due to the presence of the incentive compatibility constraint and the nonconcavity of the distortion, the optimal contract is obtained as a solution to a double-obstacle problem. At last, we apply the general result to study four examples and obtain the optimal contracts in (semi)closed form. This is a joint work with Zhuo Jin (Macquarie University) and Bin Zou (University of Connecticut). 个人主页： https://www.polyu.edu.hk/ama/people/academic-staff/dr-xu-zuoquan/