报告人：池义春 教授（中央财经大学）

时间：2025年06月25日 15:00-

地点：数统学院LD402

摘要：In this talk, we discuss asymmetric Nash bargaining in the context of proportional insurance contracts between a risk-averse insured and a risk-averse insurer, both seeking to enhance their expected utilities. When the insurer’s initial wealth stochastically increases in the new insurable risk, we obtain a necessary and sufficient condition for the Pareto optimality of the status quo, and derive the optimal Nash bargaining solution when the status quo is Pareto dominated. If the insured’s and the insurer’s risk preference exhibit decreasing absolute risk aversion and the dependence between the insurer’s initial wealth and the insurable risk becomes stronger in the way of reversed hazard rate order, we show that both the optimal insurance coverage and the optimal insurance premium increase with the insured’s degree of risk aversion and the insurer’s bargaining power. If the insured’s risk preference further follows constant absolute risk aversion, we find that greater insurance coverage is induced as the insurer’s initial wealth increases.

邀请人：张志民

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