江苏省应用数学（中国矿业大学）中心系列学术报告
报告题目：Insurance demand under government interventions and distorted probabilities
报 告 人：张艺赢副研究员 南方科技大学
报告时间：2025/11/4（周二）10:30-11:30
报告地点：数学学院A321
报告摘要：
In this article, we investigate the optimal insurance demand for an individual under risk-adjusted distorted probabilities, considering the participation of government interventions, such as premium subsidies and disaster relief. We model the premium subsidy as a non-decreasing function ranging from 0 to 1, representing the percentage of government support, whereas the relief assistance is characterized by a 1-Lipschitz relief scheme function, reflecting the government's effort in post-disaster recovery. When the expected value premium principle is employed, the general form of the optimal retained loss function for the policyholder is derived by jointly applying the calculus of variations and the marginal indemnification function approach when the relief scheme function is concave. We demonstrate that the optimal retained loss function takes a layered form, shaped by the trade-off between government premium subsidies and relief assistance, and can be further characterized by an ordinary integro-differential equation. In particular, explicit solutions are obtained for VaR and general convex distortion risk measures. To provide further insights, we explore two nontrivial extensions: one investigates the design of the optimal safety loading from the insurer's perspective, while the other examines the impact of the government's budget constraint. Finally, we present numerical examples to illustrate and validate the main findings of the paper.
报告人简介：
张艺赢，南方科技大学数学系副研究员、助理教授、博士生导师。本硕毕业于兰州大学数学与统计学院，博士毕业于香港大学统计与精算学系。2018年9月博士毕业后赴鲁汶大学和阿姆斯特丹大学进行联合学术访问，2019.1-2021.8在南开大学统计与数据科学学院工作，任助理教授，2021年8月加入南方科技大学数学系，任助理教授。主要研究兴趣包括最优（再）保险设计、巨灾保险、风险减量、风险度量、系统性风险等。已发表学术论文约80篇，谷歌学术显示总引用1120次，h-index为20。研究成果主要发表在保险精算、金融数学、经济学和运筹管理等领域主流期刊，如：精算四大Insurance: Mathematics and Economics、ASTIN Bulletin、Scandinavian Actuarial Journal、North American Actuarial Journal；金融数学领域权威期刊SIAM Journal on Financial Mathematics、Quantitative Finance；经济学领域国际知名期刊Journal of Economic Dynamics and Control；运筹管理领域权威期刊European Journal of Operational Research、Naval Research Logistics、TEST、Reliability Engineering & System Safety、Computers & Industrial Engineering等杂志上。正在主持国自然面上1项、深圳市面上2项，主持完成国自然青年1项、广东省面上1项、天津市青年项目1项。目前担任国际SCIE期刊《Hacettepe Journal of Mathematics and Statistics》编委会成员（统计学Area Editor）。担任中国商业统计学会、中国优选法统筹法与经济数学研究会量化金融与保险分会、全国工业统计教学研究会数字经济与区块链技术协会、中国现场统计研究会风险管理与精算分会的理事。