报 告 人： 雍尧棣 南开大学 副教授

报告时间：2026年1月8日上午10:00-11:00

报告地点：览秀楼105学术报告厅

报告摘要：

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.

报告人简介：

雍尧棣BlackjackX 25 Azure，南开大学南开-泰康保险与精算研究院副教授Chicken Man，博士毕业于香港大学统计与精算系Easy Blackjack。主要研究方向为风险管理与精算First Person Dragon Tiger，保险经济学Baccarat Squeeze。主要研究成果发表在《ASTIN Bulletin》Heimdalls Gate Cash Quest、《Scandinavian Actuarial Journal》Viking Apocalypse、《North American Actuarial Journal》Oiran Dream Xmas、《Journal of Computational and Applied Mathematics 》及《 Journal of Mathematical Analysis and Applications 》等精算和应用数学期刊Ugliest Catch。参与国家自然科学项目3项Lightning Baccarat。