Optimal moral-hazard-free reinsurance under extended distortion premium principles

报告人：许左权（香港理工大学）

时  间：2026年5月27日15:30

地  点：海韵园实验楼S206

内容摘要:

We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing the incentive compatibility constraint on indemnity functions. The reinsurance premium is calculated under an extended distortion premium principle, in which the distortion function is not necessarily concave or continuous. We first show that an optimal reinsurance contract always exists and then derive two sufficient and necessary conditions to characterize it. Due to the presence of the incentive compatibility constraint and the nonconcavity of the distortion, the optimal contract is obtained as a solution to a double-obstacle problem. At last, we apply the general result to study four examples and obtain the optimal contracts in (semi)closed form. This is a joint work with Zhuo Jin (Macquarie University) and Bin Zou (University of Connecticut).

个人简介：

许左权，香港理工大学应用数学系教授。研究领域涵盖金融数学、保险精算、随机控制与优化理论，成果发表于 MF、FS、AAP、SICON、MS、OR、MOR 等国际权威期刊。多次受邀在重要国际会议及世界一流大学作学术报告。先后获得南开大学学士、北京大学硕士及香港中文大学博士学位。在加入香港理工大学之前，曾任牛津大学数学研究所野村金融数学研究员及Oxford-Man研究所通讯会员。目前担任 Mathematics of Operations Research、AIMS Mathematics、Digital Finance 等国际期刊编委。

联系人：王海斌