“商學大講堂”系列學術講座（第219講）---學術名家講壇（42）

講座題目：Risk-Sharing Pricing of Variable Annuities within a Principal-Agent Framework

主講嘉賓：李斌

時  間：2023年9月15日（星期五）上午9：50—11：50

地  點：商學院116東方廳

歡迎感興趣的師生參加聆聽！

江南大學商學院

2023年9月12日

主講嘉賓簡介

李斌，加拿大滑鐵盧大學（University of Waterloo）統計與精算系副教授（終身教職），博士生導師，系主任助理。研究方向包括保險精算，量化金融，随機控制理論等。在其領域多個頂級期刊發表文章30餘篇（例如Bernoulli, Insurance: Mathematics and Economics, Journal of Economic Dynamics and Control, Journal of Risk and Insurance, Mathematical Finance, SIAM Journal on Financial Mathematics, Stochastic Processes and their Applications）。研究長年獲得加拿大自然科學與工程研究委員會, 美國精算會，加拿大精算會等機構資助。

講座主要内容

We propose a new risk-sharing pricing approach of variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. While the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new risk-sharing pricing approach reconciles the misalignment between theoretical results and market observations. We also find that a lower insurance fee can make the insurer's expected profit more robust.