数学科学学院学术报告[2024] 010号

(高水平大学建设系列报告890号)

报告题目: Strategic Loss Reporting

报告人：邹斌副教授（美国康涅狄格大学）

报告时间：2024.02.28 14:30-15:30pm

讲座地点：汇星楼（科技楼）501

报告内容：We study a strategic loss reporting problem for an insured who seeks an optimal strategy to dictate what losses she should report to the insurer, with the purpose to maximize her expected wealth (risk-neutral case) or expected utility of wealth (risk-averse case). To explore the potential advantage of underreporting her insurable losses, the insured follows a barrier strategy and only reports losses above the barrier to the insurer. Under a tractable 2-class bonus-malus model and given that the insured has purchased full insurance, we obtain a unique equilibrium reporting strategy in (semi)closed form. We find that the two equilibrium barriers are the same and strictly greater than zero, offering a theoretical explanation for the underreporting of insurable losses. If time allows, we will discuss the generalization to the case where the insured has deductible insurance and may even take into account strategic reporting in the decision of contract deductibles.

报告人简历：邹斌目前为美国康涅狄格大学（University of Connecticut）数学系副教授（2017年8月至今）。在此之前，他在美国华盛顿大学（University of Washington）和德国慕尼黑工业大学 (Technical University of Munich) 从事博士后的研究。他本科和硕士学历均来自北京理工大学，博士学位来自加拿大阿尔伯特大学。他的主要研究方向为精算，金融数学， 随机控制和DeFi。