讲座题目：Risk-Sharing Pricing of Variable Annuities within a Principal-Agent Framework

主讲嘉宾：李斌

时 间：2023年9月15日（星期五）上午9：50—11：50

地 点：商学院116东方厅

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江南大学商学院

2023年9月12日

主讲嘉宾简介

李斌，加拿大滑铁卢大学（University of Waterloo）统计与精算系副教授（终身教职），博士生导师，系主任助理。研究方向包括保险精算，量化金融，随机控制理论等。在其领域多个顶级期刊发表文章30余篇（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）。研究长年获得加拿大自然科学与工程研究委员会, 美国精算会，加拿大精算会等机构资助。

讲座主要内容

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.