报告人：张艺赢 副研究员（南方科技大学）

时间：2026年04月17日 15:30-

地点：数统学院LD402

摘要：This paper investigates the optimal reinsurance contract problem from the perspective of Pareto optimality, where the insurer and the reinsurer both apply distortion risk measures for reinsurance negotiation. We focus on the case where the risk preferences of both parties are only partially known, and the admissible distortion functions are restricted by elicited preference information such as confidence intervals for the risk of a list of lotteries, as well as possible structural requirements including concavity. Under a general premium principle, we derive analytical forms for the optimal reinsurance indemnity, which only depend on the corresponding worst-case distortion functions from the perspectives of the two negotiating parties. We further show that when only individual-specific preference information is available for both parties, a pair of worst-case distortion functions is step-like and is uniquely determined by the associated uncertainty sets. When additional generic information is incorporated, a worst-case distortion function becomes piecewise linear, with parameters that can be computed by solving a constrained finite-dimensional optimization problem. Finally, we illustrate the main findings through numerical examples.

邀请人：张志民

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