Abstract：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.

报告人简介：池义春，中央财经大学保险学院、中国精算研究院研究员。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，在国际著名的精算学杂志Insurance:Mathematics and Economics、ASTIN Bulletin、North American Actuarial Journal、Scandinavian Actuarial  Journal，金融数学杂志Finance and Stochastics，运筹学杂志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。