数学科学学院学术报告[2025] 027号
(高水平大学建设系列报告1050号)
报告题目: An axiomatic theory for anonymized risk sharing
报告人:刘杨 助理教授 香港中文大学(深圳)
报告时间:2025.04.25 10:00-11:00am
讲座地点:深圳大学粤海校区汇星楼514
报告内容: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.
报告人简历:Yang Liu (刘杨) 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.
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邀请人:李婧超
数学科学学院
2025年04月22日