School of Mathematical Sciences Academic Report [2025] No. 027  

(High-Level University Construction Series Report No. 1050)  

Lecture Title: An Axiomatic Theory for Anonymized Risk Sharing

Speaker: Liu Yang (Assistant Professor, The Chinese University of Hong Kong, Shenzhen)  

Date & Time: 10:00–11:00 AM, April 25, 2025  

Venue: Room 514, Huixing Building, Yuehai Campus, Shenzhen University  

Abstract: We study an axiomatic framework for anonymized risk sharing. In contrast to traditional risk sharing settings, our framework requires no information on preferences, identities, private operations and realized losses from the individual agents, and thereby it is useful for modeling risk sharing in decentralized systems. Four axioms natural in such a framework -- actuarial fairness, risk fairness, risk anonymity, and operational anonymity -- are put forward and discussed. We establish the remarkable fact that the four axioms characterizes the conditional mean risk sharing rule, revealing the unique and prominent role of this popular risk sharing rule among all others in relevant applications of anonymized risk sharing. Several other properties and their relations to the four axioms are studied, as well as their implications in rationalizing the design of some sharing mechanisms in practice. This joint work is with Zhanyi Jiao, Steven Kou and Ruodu Wang.

Biography: Yang Liu is an Assistant Professor of Financial Mathematics in the School of Science and Engineering (SSE) at The Chinese University of Hong Kong, Shenzhen (CUHKSZ). Previously, he was a postdoctoral researcher in the Department of Management Science and Engineering at Stanford University and the Department of Statistics and Actuarial Science at the University of Waterloo. He received his Ph.D. and Bachelor’s degree in Mathematics from Tsinghua University. His research area includes financial mathematics, actuarial science, operations research, and applied probability, focusing on quantitative risk management and non-concave utility theory in portfolio optimization. His work has appeared in leading journals such as Operations Research, Mathematical Finance, Finance and Stochastics, SIAM Journal on Control and Optimization, and Insurance: Mathematics and Economics.

All faculty and students are welcome to attend!

Invited by: Li Jingchao

School of Mathematical Sciences  

April 22, 2025