时 间：2025年12月15日（周二）10：00 – 11：00
地 点：普陀校区理科大楼A1714室
报告人：李婧超 深圳大学副教授
主持人：李丹萍 华东师范大学教授
摘 要：
This paper provides a new approximation method to get the optimal retention for a combination of quota-share and excess of loss reinsurance. Assuming that the insurer has partial information of the individual claim size, and inspired by De Vylder approximation method, we modify the approximated claim size distribution to hyper-exponential, which promote the accuracy, and develop the Padé approximation for the insurer’s ultimate ruin probability. To fulfill the requirement of Padé approximation, the Bowers Gamma approximation is adopted for approximating the received premium and the first three moments of the claim size after reinsurance for the insurer. A general approximation is also proposed, but more attention is paid to the case of third-order moments in examples and details. We then derive the optimal retention for the reinsurance arrangement by minimizing the approximated ruin probability. Some numerical examples are given, which show that the proposed Bowers Gamma with Padé approximation performs better than translated gamma with De Vylder approximation. We also extend this numerical result to the situation with prevention.
报告人简介：
李婧超，先后于澳大利亚墨尔本大学获得学士、荣誉学士及博士学位。现任深圳大学数学科学学院副教授，硕士生导师，澳大利亚精算师协会精算师。主要从事保险精算及风险理论的研究。主持多项科研项目包括国家自然科学基金项目青年项目，广东省自然科学基金面上项目，同时参与多项科研项目包括国家自然科学基金面上项目，科技部重点研发计划子课题。在IME, JMAA等高水平学术期刊上发表论文十多篇。担任中国现场统计研究会风险管理与精算分会理事，广东省现场统计学会理事。