报告时间：2024年6月18日（周二）10:30-11:30

报告地点：中国人民大学明德主楼1016

报告嘉宾：Peng Shi

报告主题：Insurable Risk Portfolio and Data Uncertainty

报告摘要

Insurable Risk Portfolio and Data Uncertainty

We propose an insurance version of the Markowitz portfolio optimization procedure commonly used in investments. In addition to providing a novel method of constructing insurable risk portfolios, a comparison of the insurance and investments problems provides insights into data uncertainty issues that plague investment problems. We show that the data uncertainty problem that hinders applications in the investments is not a material concern in the insurance. We do so by presenting the results of a bootstrap analysis that confirms and provides insights into the data uncertainty issue. In addition, an examination of the hessian associated with the constrained optimization Lagrangian provides an explanation as to why the insurance version does not suffer from this limitation. To provide additional insights into the various sources of data uncertainty, we develop sensitivities based on now-classical results from nonlinear constrained optimization. We also show how these sensitivities can be expressed in terms of asymptotic statistical distributions that help interpret data uncertainty in risk retention problems.

作者简介

Peng Shi is a Professor in the Risk and Insurance Department, the Statistics Department, and the Data Science Institute at the University Wisconsin-Madison, where he holds the Charles & Laura Albright Professorship in Business and Finance. Peng is an Associate of the Casualty Actuarial Society (ACAS) and a Fellow of the Society of Actuaries (FSA). He has worked in various capacities with companies in property, casualty, and health (re)insurance. Peng’s research centers on problems at the intersection of insurance and statistics and has been published in top journals including JASA, JoE, JBES, AoAS among others. He has received various research awards in actuarial science, including the Charles A. Hachemeister Prize, American Risk and Insurance Association Prize, Ronald Bornhuetter Loss Reserve Prize, CAS Ratemaking Prize, and IAA Best Paper etc. Currently he serves as co-editor of North American Actuarial Journal, editor of Variance, and associate editor of Insurance: Mathematics and Economics, Annals of Actuarial Science, and ASTIN Bulletin.