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金融工程研究中心学术报告：Optimal life-contingent payoffs: a peer-to-peer solution
- 来源：
- 学校官网
- 收录时间：
- 2026-03-17 19:22:26
- 时间：
- 2026-03-12 15:30:00
- 地点：
- 览秀楼105
- 报告人：
- Steven Vanduffel
- 学校：
- -/-
- 关键词：
- life-contingent payoff, state-dependent utility, peer-to-peer, longevity risk, actuarial fairness, risk pooling
- 简介：
- We consider an investor with a general state-dependent utility, in that she uses different utility functions for the states of survival and death. We explicitly derive her optimal life-contingent payoff, assuming that a provider charges actuarially fair premiums for mortality risk. In real markets, however, a risk loading applies, and the optimal life-contingent payoff can no longer be purchased directly. Instead, we propose a peer-to-peer solution that approximates the optimal life-contingent payoff via a pool, which delivers a proxy payout to each pool member. We show that the proxy payout converges almost surely to the optimal life-contingent payoff and performs very well in realistic scenarios where pools are finite. In particular, our solution demonstrates the potential for developing a capital market that can effectively manage longevity risk.
- -/- 10
报告介绍：
We consider an investor with a general state-dependent utility, in that she uses different utility functions for the states of survival and death. We explicitly derive her optimal life-contingent payoff, assuming that a provider charges actuarially fair premiums for mortality risk. In real markets, however, a risk loading applies, and the optimal life-contingent payoff can no longer be purchased directly. Instead, we propose a peer-to-peer solution that approximates the optimal life-contingent payoff via a pool, which delivers a proxy payout to each pool member. We show that the proxy payout converges almost surely to the optimal life-contingent payoff and performs very well in realistic scenarios where pools are finite. In particular, our solution demonstrates the potential for developing a capital market that can effectively manage longevity risk.
报告人介绍：
Steven Vanduffel is Professor at Vrije Universiteit Brussel. His research focuses on actuarial science, pension design, and financial engineering. His work has been published in Insurance: Mathematics and Economics, Journal of Risk and Insurance, ASTIN Bulletin, Scandinavian Actuarial Journal, Mathematical Finance, Journal of Mathematical Economics, Finance and Stochastics, and Journal of Econometrics. He has received several awards including the Robert Mehr Award (2022), Robert C. Witt Award (2018), Redington Prize (2015), PRMIA Award for New Frontiers in Risk Management (2014), Johan de Witt Prize (2012), SCOR-EGRIE Young Economist Best Paper Award (2011), and Lloyds Science of Risk Prize (2011). He serves as co-editor of ASTIN Bulletin and associate editor of Annals of Actuarial Science, European Actuarial Journal, and Dependence Modeling.
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