报告人：许左权 副教授（香港理工大学）

时间：2026年06月12日 14:30-

地点：数统学院LD703

摘要：We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing the incentive compatibility constraint on indemnity functions. The reinsurance premium is calculated under an extended distortion premium principle, in which the distortion function is not necessarily concave or continuous. We first show that an optimal reinsurance contract always exists and then derive two sufficient and necessary conditions to characterize it. Due to the presence of the incentive compatibility constraint and the nonconcavity of the distortion, the optimal contract is obtained as a solution to a double-obstacle problem. At last, we apply the general result to study four examples and obtain the optimal contracts in (semi)closed form. This is a joint work with Zhuo Jin (Macquarie University) and Bin Zou (University of Connecticut).

邀请人：张志民

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