报告人：池义春研究员

               中央财经大学中国精算研究院

报告题目：Optimal incentive compatible insurance with background risk

报告时间：2016年05月20日上午08:00

报告地点：海韵实验楼105

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报告摘要：This paper reexamines the design of an optimal insurance contract with background risk from the perspective of an insured, by imposing an incentive compatible constraint on admissible insurance policies. This constraint ensures that both parties in an insurance contract would pay more for a larger realization of loss. As standard in the literature, it is assumed that the insurer is risk-neutral, that is, the insurance premium is calculated based only upon the expected indemnity. When the insured has a general mean-variance preference, a piecewise optimal insurance form is obtained explicitly. It is found that the optimal insurance heavily relies on the conditional expectation function of background risk with respect to the insurable risk and is often significantly different from one that is derived without incentive compatible constraint. This finding suggests that both the incentive compatibility and the stochastic dependence between background risk and the insurable risk play very important roles in the insured's risk transfer decision

报告人简介：池义春,北京大学理学博士，曾在加拿大多伦多大学做过一年博士后研究,目前是中央财经大学中国精算研究院研究员，并担任风险量化与决策研究中心主任一职。工作期间，主要从事精算学和风险管理方向的研究工作,主持过两项国家自然科学基金项目，在国际著名的精算学杂志ASTIN Bulletin、Insurance: Mathematics and Economics和Scandinavian Actuarial Journal发表了十多篇学术论文，并荣获北美非寿险精算协会的Hachemeister奖。

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