Financial & Actuarial Series Seminar: Strategic Loss Reporting

活动详情

• 时间: 15pm-16pm
• 日期: 2023年12月21日，星期四
• 地点: MB341
• 主讲人：Dr. Bin Zou, University of Connecticut
• 主持人：Prof. Hailiang Yang

活动简介

We study a strategic loss reporting problem for an insured who seeks an optimal strategy to dictate what losses she should report to the insurer, with the purpose to maximize her expected wealth (risk-neutral case) or expected utility of wealth (risk-averse case). To explore the potential advantage of underreporting her insurable losses, the insured follows a barrier strategy and only reports losses above the barrier to the insurer. Under a tractable 2-class bonus-malus model and given that the insured has purchased full insurance, we obtain a unique equilibrium reporting strategy in (semi)closed form. We find that the two equilibrium barriers are the same and strictly greater than zero, offering a theoretical explanation for the underreporting of insurable losses. If time allows, we will discuss the generalization to the case where the insured has deductible insurance and may even take into account strategic reporting in the decision of contract deductibles.

主讲人

Zou Bin is currently an Associate Professor in the Department of Mathematics at the University of Connecticut since August 2017. Prior to this, he conducted postdoctoral research at the University of Washington in the United States and at the Technical University of Munich in Germany. He holds both his undergraduate and master's degrees from Beijing Institute of Technology, and he earned his doctoral degree from the University of Alberta in Canada. His primary research areas include actuarial science, financial mathematics, stochastic control, and DeFi.