Catastrophe risk sharing with insurance levy under distorted probabilities

主讲人：张艺赢

张艺赢，南方科技大学数学系副研究员、助理教授、博士生导师。2018年9月博士毕业于香港大学统计与精算学系，随后赴鲁汶大学和阿姆斯特丹大学进行联合学术访问。2019.1-2021.8在南开大学统计与数据科学学院工作，任助理教授，2021年8月加入南方科技大学数学系，任助理教授。主要研究兴趣包括最优保险设计、巨灾保险、风险减量、风险度量、系统性风险等。已发表学术论文约80篇，研究成果主要发表在金融数学、保险精算、经济学和运筹管理等领域主流期刊，如：SIAM Journal on Financial Mathematics、Journal of Economic Dynamics and Control、European Journal of Operational Research、Quantitative Finance、Insurance: Mathematics and Economics、ASTIN Bulletin、Scandinavian Actuarial Journal、North American Actuarial Journal、Naval Research Logistics、TEST、Reliability Engineering & System Safety、Computers & Industrial Engineering等杂志。正在主持国自然面上1项、深圳市面上2项，主持完成国自然青年等项目3项。目前担任国际SCIE期刊《Hacettepe Journal of Mathematics and Statistics》编委会成员（统计学Area Editor）。担任中国商业统计学会、中国优选法统筹法与经济数学研究会量化金融与保险分会、全国工业统计教学研究会数字经济与区块链技术协会、中国现场统计研究会风险管理与精算分会的理事。

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报告信息

时间 

2025年12月25日（周四） 

15:00

地点 

中国人民大学中关村校区

明德主楼1016

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报告摘要

This paper considers a risk-sharing arrangement within catastrophe insurance, where the government implements a first-layer limit insurance by collecting the insurance levy. The levy is structured as an increasing convex function of the coverage limit. The policyholder employs distorted probabilities, reflecting her ambiguity compared to real-world probabilities, so as to minimize her total risk exposure. This work also accounts for the insurer's potential default, in a case where the indemnities exceed the insurer's VaR-based regulated capital threshold. Under the framework of distortion risk measures, we identify the optimal pair, consisting of the optimal indemnity schedule and the coverage limit in the government-back limit insurance. Some extensions are also studied, including the increasing concave levy function, the optimal levy coefficient when the levy function is linear, and the optimal safety loading from the insurer's perspective as well as the policyholder's welfare improvement. Numerical analyses validate our theoretical results and demonstrate how optimal strategies adapt to the levy structure, solvency constraints, and the risk attitude.

Paper Link:

https://doi.org/10.1287/opre.2021.0765