报告时间：2025年5月24日，11: 00-12: 00

报告地点：统计楼 106

报告题目：   On the optimality of straight deductibles under smooth ambiguity aversion

报告摘要： We solve the optimal insurance design problem under identifiable smooth ambiguity aversion with linear transaction cost. We impose monotonicity on indemnity schedules and their associated retention functions. Arrow’s cornerstone result that a straight deductible is optimal may fail to hold. We provide three conditions to restore it: (i) ambiguity does not affect large losses; (ii) priors are ordered according to first-order stochastic dominance and the probability of worse priors is greater conditional on observing a large loss than a small loss; or (iii) priors are ordered in the hazard rate order. We also derive comparative statics and find intuitive results. (This is a joint work with Richard Peter and Wei Wei)

报告人简介：池义春 于2009年北京大学博士毕业后到中央财经大学中国精算研究院工作，历任助理研究员、副研究员和研究员；主要从事精算学和风险管理领域的研究工作，主持过四项国家自然科学基金项目和两项教育部人文社科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、Scandinavian Actuarial Journal，金融数学杂志Finance and Stochastics，经济学期刊Journal of Economic Behavior and Organization，运筹学杂志European Journal of Operational Research等期刊上发表了三十多篇学术论文；2012年荣获北美非寿险精算协会Charles A. Hachemeister奖，2018年入选中央财经大学首届青年龙马学者项目，2023年被评为中央财经大学龙马特聘教授；兼任中国现场统计研究会风险管理与精算分会常务理事、中国保险学会智库专家库专家等。