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金融工程研究中心学术报告：Optimal reinsurance contract in the presence of a third party with dependent risks
- 来源：
- 学校官网
- 收录时间：
- 2025-11-12 11:50:17
- 时间：
- 2025-11-11 18:30:00
- 地点：
- 腾讯会议：362-683-9628
- 报告人：
- 张彩斌
- 学校：
- -/-
- 关键词：
- optimal reinsurance, stochastic differential game, mean-variance utility, thinning-dependence, third-party risk, safety loading factor
- 简介：
- This paper investigates an optimal reinsurance contract design problem in a non-zero-sum stochastic differential game between an insurer and a reinsurer, whose goals are to maximize the mean-variance utility of the difference between its terminal wealth and that of its competitor. It is assumed that the insurer has a reinsurance demand and tends to purchase proportional reinsurance from the reinsurer who is willing to provide reinsurance supply charged under the expected premium principle, where the insurance businesses between them are correlated through thinning-dependence structure. By solving the extended HJB system within game theoretic framework, explicit expressions of the reinsurance contract price and reinsurance strategy are derived. We obtain that the insurer and the reinsurer can sign the reinsurance contract only on a single safety loading factor, and the insurer’s reinsurance demand is always smaller than the reinsurer’s reinsurance supply beyond reaching a reinsurance agreement. To promote signing this reinsurance contract, we then introduce a third party to join this contract, whose insurance business is also thinning-dependent on that businesses of the insurer and reinsurer. We show that the third-party participation can expand the range for signing this reinsurance contract, extending the acceptable safety loading factor from a single point to a range, but it will increase the reinsurance contract price. In addition, we find that it will reduce the reinsurance contract price in a competitive game-economic environment compared to that in a non-competitive situation. We further show that the thinning-dependence structure has a significant impact on the optimal results, which can reduce the reinsurer’s reinsurance supply and results in signing a reinsurance contract with a lower proportion than that in an independent risk model.
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报告介绍：
This paper investigates an optimal reinsurance contract design problem in a non-zero-sum stochastic differential game between an insurer and a reinsurer, whose goals are to maximize the mean-variance utility of the difference between its terminal wealth and that of its competitor. It is assumed that the insurer has a reinsurance demand and tends to purchase proportional reinsurance from the reinsurer who is willing to provide reinsurance supply charged under the expected premium principle, where the insurance businesses between them are correlated through thinning-dependence structure. By solving the extended HJB system within game theoretic framework, explicit expressions of the reinsurance contract price and reinsurance strategy are derived. We obtain that the insurer and the reinsurer can sign the reinsurance contract only on a single safety loading factor, and the insurer’s reinsurance demand is always smaller than the reinsurer’s reinsurance supply beyond reaching a reinsurance agreement. To promote signing this reinsurance contract, we then introduce a third party to join this contract, whose insurance business is also thinning-dependent on that businesses of the insurer and reinsurer. We show that the third-party participation can expand the range for signing this reinsurance contract, extending the acceptable safety loading factor from a single point to a range, but it will increase the reinsurance contract price. In addition, we find that it will reduce the reinsurance contract price in a competitive game-economic environment compared to that in a non-competitive situation. We further show that the thinning-dependence structure has a significant impact on the optimal results, which can reduce the reinsurer’s reinsurance supply and results in signing a reinsurance contract with a lower proportion than that in an independent risk model.
报告人介绍：
张彩斌，南京财经大学金融学院副教授，硕士生导师，江苏省“青蓝工程”优秀青年骨干教师，南京财经大学“高端人才支持计划”青年拔尖人才，香港大学及美国密歇根大学访问学者。研究兴趣包括保险风险分析与决策、金融保险中的随机最优控制等，已在European Journal of Operational Research、Scandinavian Actuarial Journal、Annals of Operations Research、Finance Research Letters、《中国科学：数学》、《系统工程理论与实践》等国内外期刊发表论文20余篇，主持国家自然科学基金项目、江苏省自然科学基金项目等课题。
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