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Financial Math Seminar

Applications of Stackelberg Game in Reinsurance Contract

  • 演讲者:李丹萍(华东师范大学)

  • 时间:2021-11-02 16:00-17:00

  • 地点:腾讯会议 ID:687 955 412

Abstract:In this talk, I will show two applications of Stackelberg game in reinsurance contract. In a Stackelberg game framework, the reinsurer is the leader of the game and decides on an optimal reinsurance premium to charge, while the insurer is the follower of the game and chooses an optimal per-loss reinsurance to purchase. In the first application, the objective of reinsurer is the weighted sum of the insurer's and reinsurer's mean-variance criteria, which implies that the reinsurer takes both the insurer's interest and herself into consideration when choosing the reinsurance premium. We provide an intuitive way to identify the weight in the reinsurer's objective. In the second application, we consider a reinsurance problem for a mean-variance Stackelberg game with a random time horizon. We show that if the claim severity is light-tailed, in the sense that its hazard rate function is nondecreasing, then the equilibrium reinsurance is pure stop-loss reinsurance with no loading for the variance of the loss. Moreover, we show that if the claim severity is heavy-tailed, in the sense that its hazard rate function is decreasing, then the equilibrium reinsurance has a non-trivial coinsurance, with a positive loading for the variance of the loss. 

报告人简介:李丹萍,华东师范大学经济与管理学部统计学院副教授, 上海市晨光计划入选者(2018)。主要从事保险精算、金融工程等方面研究工作,主持国家自然科学基金委青年科学基金 1 项,上海市晨光计划项目 1 项。曾获得 2019 年度
天津市优秀博士学位论文。在 Mathematical Finance、Insurance: Mathematics and Economics,Journal of Economic Dynamics and Control,Scandinavian Actuarial Journal, SIAM Journal on Financial Mathematics 等国内外重要学术期刊上发表学术论文 20余篇。