数学与统计学院学术报告[2024] 054号

(高水平大学建设系列报告934号)

报告题目: Optimal Risk Pooling of Peer-to-Peer Insurance

报告人：陈泽，副教授，中国人民大学

报告时间：2024.06.27 16:00-17:00pm

讲座地点：汇星楼（科技楼）514

报告内容：Peer-to-peer insurance models combine insurer's underwriting with peers' risk sharing. This paper presents a mathematical formulation of two emerging peer-to-peer insurance models: the individual-covered model and the group-covered model, and establishes their equivalence for a homogeneous participant pool. Both models involve a two-layered risk allocation approach: the first layer covers losses below the deductible and is distributed among the participants, while the second layer addresses losses that surpass the risk-bearing capacity of the pool and are assumed by an insurer. Furthermore, we provide a theoretical analysis of the optimal level of risk pooling in terms of the deductible in peer-to-peer insurance, exploring its existence, closed-form expression, and associated properties.

报告人简历：Ze Chen is an Associate Professor at the School of Finance, Renmin University of China, and a researcher at the China Insurance Research Institute. He holds a Ph.D. from KU Leuven in Belgium and Tsinghua University. His research interests include fintech, actuarial science, quantitative risk management, and the digital economy. To date, he has published over ten papers in domestic and international journals in the fields of actuarial science and finance, such as Oxford Bulletin of Economics and Statistics, Health Economics, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, European Financial Management, and Methodology and Computing in Applied Probability.

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邀请人：李婧超

　　　　　　　　　　　　　　　　　　　　　　　 数学科学学院

　　　　　　　　　　　　　　　　　　　　　2024年06月26日