题目：Reinsurance Premium Principles based on Weighted Loss Functions
报告人：Jun Cai 教授（滑铁卢大学统计与精算系）
时间：2019年6月18日（周二）上午10：00
地点：博识楼4层玻璃房讨论室
报告摘要：In this talk, we propose new reinsurance premium principles that minimize the expected weighted loss functions and balance the trade-off between the reinsurer's shortfall risk and the insurer's risk exposure in a reinsurance contract. Random weighting factors are introduced in the weighted loss functions so that weighting factors are based on the underlying insurance risks. The resulting reinsurance premiums depend on both the loss covered by the reinsurer and the loss retained by the insurer. The proposed premiums provide new ways for pricing reinsurance contracts and controlling the risks of both the reinsurer and the insurer. As applications of the proposed principles, the modified expectile reinsurance principle and the modified quantile reinsurance principle are introduced and discussed in details. The properties of the new reinsurance premium principles are investigated. Finally, the comparisons between the new reinsurance premium principles and the classical expectile principle, the classical quantile principle, and the risk-adjusted principle are provided. This talk is based on a joint work with Ying Wang。
报告人简介： Jun Cai，1998年毕业于加拿大Concordia University，获得精算数学博士学位。现任加拿大滑铁卢大学统计与精算学系教授、博士生导师。Jun Cai教授研究领域包括精算科学、保险数学、数理金融、保险和金融风险管理、风险理论、相依模型和最优再保险等。Jun Cai教授担任《Insurance: Mathematics and Economics》及《Statistical Theory and Related Fields》副主编，并是杂志《International Journal of Statistics and Systems》，《International Journal of Pure and Applied Mathematical Sciences》的编委会成员。已经在《Mathematical Finance》、《Finance and Stochastics》、《Journal of Risk and Insurance》、《Insurance: Mathematics and Economics》、《Scandinavian Actuarial Journal》、《Journal of Multivariate Analysis》、《Advances in Applied Probability》、 《North American Actuarial Journal》、《ASTIN Bulletin》、 《Stochastic Processes and their Applications》、《Annals of Operations Research》、《IEEE Transactions on Reliability》等精算学、概率统计、金融工程类国际权威刊物上发表论文近六十篇。自2002年至今连续四次主持NSERC Individual Research Grant （加拿大自然和工程科学基金项目），主持Canada Foundation for Innovation (CFI)和Ontario Innovation Trust项目各一项，参入编撰《Encyclopedia of Actuarial Science》。