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“商学大讲堂”系列学术讲座(第219讲)---学术名家讲坛(42)

来源:商学院   韩晓东     发布时间: 2023-09-12    点击量:

讲座题目:Risk-Sharing Pricing of Variable Annuities within a Principal-Agent Framework

主讲嘉宾:李斌

 间:2023915日(星期五)上午9501150

 点:商学院116东方厅


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江南大学商学院

2023912

主讲嘉宾简介

李斌,加拿大滑铁卢大学(University of Waterloo)统计与精算系副教授(终身教职),博士生导师,系主任助理。研究方向包括保险精算,量化金融,随机控制理论等。在其领域多个顶级期刊发表文章30余篇(例如Bernoulli, Insurance: Mathematics and Economics, Journal of Economic Dynamics and Control, Journal of Risk and Insurance, Mathematical Finance, SIAM Journal on Financial Mathematics, Stochastic Processes and their Applications)。研究长年获得加拿大自然科学与工程研究委员会, 美国精算会,加拿大精算会等机构资助。


讲座主要内容

We propose a new risk-sharing pricing approach of variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. While the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new risk-sharing pricing approach reconciles the misalignment between theoretical results and market observations. We also find that a lower insurance fee can make the insurer's expected profit more robust.