報(bào)告人：張藝贏(yíng) 副研究員
報(bào)告題目：Insurance demand under government interventions and distorted probabilities
報(bào)告時(shí)間：2025年11月4日（周二）下午16:00-17:00
報(bào)告地點(diǎn)：云龍校區(qū)6號(hào)樓304會(huì)議室
主辦單位：數(shù)學(xué)與統(tǒng)計(jì)學(xué)院、數(shù)學(xué)研究院、科學(xué)技術(shù)研究院
報(bào)告人簡(jiǎn)介：
張藝贏(yíng)，南方科技大學(xué)數(shù)學(xué)系副研究員、助理教授、博士生導(dǎo)師。曾赴魯汶大學(xué)和阿姆斯特丹大學(xué)進(jìn)行聯(lián)合學(xué)術(shù)訪(fǎng)問(wèn)。主要開(kāi)展最優(yōu)（再）保險(xiǎn)設(shè)計(jì)、巨災(zāi)保險(xiǎn)、風(fēng)險(xiǎn)減量、風(fēng)險(xiǎn)度量、系統(tǒng)性風(fēng)險(xiǎn)等研究。在Insurance: Mathematics and Economics、SIAM Journal on Financial Mathematics、Quantitative Finance、European Journal of Operational Research、Reliability Engineering & System Safety等期刊發(fā)表學(xué)術(shù)論文約80篇，谷歌學(xué)術(shù)顯示總引用1120次，h-index為20。正在主持國(guó)自然面上1項(xiàng)、深圳市面上2項(xiàng)，完成國(guó)自然青年1項(xiàng)、廣東省面上1項(xiàng)、天津市青年項(xiàng)目1項(xiàng)。擔(dān)任國(guó)際SCIE期刊《Hacettepe Journal of Mathematics and Statistics》編委會(huì)成員（統(tǒng)計(jì)學(xué)Area Editor）。
報(bào)告摘要：
In this article, we investigate the optimal insurance demand for an individual under risk-adjusted distorted probabilities, considering the participation of government interventions, such as premium subsidies and disaster relief. We model the premium subsidy as a non-decreasing function ranging from 0 to 1, representing the percentage of government support, whereas the relief assistance is characterized by a 1-Lipschitz relief scheme function, reflecting the government's effort in post-disaster recovery. When the expected value premium principle is employed, the general form of the optimal retained loss function for the policyholder is derived by jointly applying the calculus of variations and the marginal indemnification function approach when the relief scheme function is concave. We demonstrate that the optimal retained loss function takes a layered form, shaped by the trade-off between government premium subsidies and relief assistance, and can be further characterized by an ordinary integro-differential equation. In particular, explicit solutions are obtained for VaR and general convex distortion risk measures. To provide further insights, we explore two nontrivial extensions: one investigates the design of the optimal safety loading from the insurer's perspective, while the other examines the impact of the government's budget constraint. Finally, we present numerical examples to illustrate and validate the main findings of the paper.