金融工程研究中心学术报告：Catastrophe risk sharing with insurance levy under distorted probabilities

来源：

学校官网

收录时间：

2026-03-17 19:21:48

时间：

2026-01-08 10:00:00

地点：

览秀楼105学术报告厅

报告人：

雍尧棣

学校：

苏州大学

关键词：

catastrophe risk, risk sharing, insurance levy, distorted probabilities, VaR, capital reserve, optimal indemnity

简介：

This paper considers a risk-sharing arrangement built upon catastrophe insurance among the policyholder, the government and the insurer. The government implements a first-layer limited compensation by collecting the insurance levy, where the levy is structured as an increasing convex function of the coverage limit. Upon the government’s first-layer risk-sharing, the insurer carries out the second-layer insurance-based compensation of the residual loss of the policyholder subject to the VaR-based regulated capital reserve. The policyholder employs distorted probabilities, reflecting her cognitive attitude to tail probabilities of catastrophes, to find out the optimal coverage limit as well as the optimal insurance indemnity by minimizing her total risk exposure under certain conditions. Robustness and extensions are also discussed and studied, including the increasing concave levy function, the optimal safety loading from the insurer’s profit-maximizing perspective, and the optimal levy coefficient when the levy function is linear. Numerical analyses validate the theoretical results and demonstrate how optimal strategies adapt to the levy structure, solvency constraints, risk attitude and premium loading.

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