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精算论坛讲座 第102期- Hong Li (李泓) Wenjun Zhu(朱文君) (6月23日)

2017年06月20日 来源: 中国精算研究院
中央财经大学“保险风险分析与决策”学科创新引智基地(B17050)学术活动
教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

讲座题目一:Dynamic hedging of longevity risk: the effect of trading frequency
 
摘要:This paper investigates dynamic hedging strategies for pension and annuity liabilities that are exposed to longevity risk. In particular, we consider a hedger who wishes to minimize the variance of her hedging error using index-based longevity-linked derivatives. To cope with the fact that liquidity of longevity-linked derivatives is still limited, we consider a liquidity constrained case where the hedger can only trade longevity-linked derivatives at a frequency lower than other assets. Time-consistent, closed-form solutions of optimal hedging strategies are obtained under a forward mortality framework. In the numerical illustration, we show that lowering the trading of the longevity-linked derivatives to a 2-year frequency only leads to a slight loss of the hedging performance. Moreover, even when the longevity-linked derivatives are traded at a very low (5-year) frequency, dynamic hedging strategies still significantly outperform the static one.
 
主讲人: Hong Li (李泓)
Assistant Professor
School of Finance, Nankai University
 
讲座题目二:Securitization in the Presence of Systemic Risk and Catastrophic Events
 
摘要:Systemic risk has been sited as one of the most important reasons that cause agricultural insurance market failure. Traditional agricultural insurance also suffers from the difficulty of information asymmetry, including moral hazard and adverse selection. Therefore, different stakeholders including reinsurers, financial markets, as well as governments are seeking capital innovations, such as securitization, as critical supplementary components in the management of catastrophes and systemic risk. In this talk, we will discuss developing innovative index-based insurance based on satellite-sensed data. In particular, we will focus on the induced basis risk, which is the most essential challenge for a feasible and validated index insurance program.
 
主讲人: Wenjun Zhu (朱文君)
Assistant Professor
zhu-wenjun@outlook.com
School of Finance, Nankai University
 
时间:2017年6月23下午2:00—4:00
 
地点:学术会堂南楼506  (精算研究院会议室)
 
欢迎各位老师和同学积极参加!

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