讲座题目:Risk-Sharing Pricing of Variable Annuities within a Principal-Agent Framework
主讲嘉宾:李斌
时 间:2023年9月15日(星期五)上午9:50—11:50
地 点:tyc86太阳集团116东方厅
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tyc86太阳集团
2023年9月12日
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.