Optimal insurance design with a variance constraint on the ceded loss

In this talk, we discuss the design of an optimal insurance policy from the perspective of the insured, who would like to maximize his expected utility of the final wealth when the insurer imposes an upper limit on the variance of its risk exposure. As in the literature, the insurance premium is assumed to be calculated by the expected value principle. We show that the optimal insurance policy can be in the form of stop-loss insurance for a high boundary value or partial insurance above a deductible for a low boundary value. Especially, the deductible disappears if and only if the safety loading coefficient of insurance premium is set to be zero, which is consistent with Mossin's Theorem. Further, a comparative analysis is conducted to investigate the effects of the insured's initial wealth and the variance constraint on the demand for insurance under a fair contract, when the insured's prudence is taken into account. Surprisingly, our finding contradicts with the existing theoretical result, but it can support the empirical studies in the recent literature. (This is based on a joint work with Dr Sheng Chao Zhuang at the University of Nebraska-Lincoln)

主讲人简介：

池义春，中央财经大学中国精算研究院研究员、龙马青年学者。现主要从事精算学与风险管理中的风险理论、最优保险/再保险设计以及变额年金的定价和对冲等研究，主持过三项国家自然科学基金项目和一项教育部重点研究基地重大课题，在国际著名的精算学杂志ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal和Scandinavian Actuarial Journal上发表了二十多篇学术论文。2012年荣获北美产险精算学会Charles A. Hachemeister奖，2015年破格晋升为研究员。