讲座题目：risk-sharing pricing of variable annuities within a principal-agent framework
主讲嘉宾：李斌
时 间：2023年9月15日（星期五）上午9：50—11：50
地 点：商学院116东方厅
欢迎感兴趣的师生参加聆听！
江南大学商学院
2023年9月12日
主讲嘉宾简介
李斌，加拿大滑铁卢大学（university of waterloo）统计与精算系副教授（终身教职），博士生导师，系主任助理。研究方向包括保险精算，量化金融，随机控制理论等。在其领域多个顶级期刊发表文章30余篇（例如bernoulli, insurance: mathematics and economics, journal of economic dynamics and control, journal of risk and insurance, mathematical finance, siam journal on financial mathematics, stochastic processes and their applications）。研究长年获得加拿大自然科学与工程研究委员会, 美国精算会，加拿大精算会等机构资助。
讲座主要内容
we propose a new risk-sharing pricing approach of variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. while the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new risk-sharing pricing approach reconciles the misalignment between theoretical results and market observations. we also find that a lower insurance fee can make the insurer's expected profit more robust.
