May 19 @ 8:00 AM - 9:00 AM EDT
We develop an integrated framework for optimal risk management in insurance that considers preventive strategies and/or risk sharing in risk models. We odel an insurer facing risks whose frequency and severity can be influenced by preventive efforts, as well as by exogenous risk-sharing instruments. Within a dynamic risk model, we formalize the insurer’s problem as either minimizing ruin probabilities or maximizing a mean–variance criterion for the terminal surplus process, while accounting for the implementation costs of preventive measures and the cost of risk transfer. We derive analytical conditions characterizing the optimal prevention efforts and optimal risk-sharing structure, and we study how these choices depend on risk characteristics. Numerical illustrations based on classical risk models show that jointly optimizing prevention and risk sharing can substantially reduce ruin probabilities compared to treating these instruments in isolation.
Speaker: Li Jingchao
Li Jingchao is currently an associate professor in the School of Mathematical Sciences at Shenzhen University. She received her Bachelor’s, Bachelor’s with Honours and PhD degrees from the University of Melbourne, Australia. Her primary research areas are actuarial science and risk theory. She has published many papers in high‑level journals such as IME, JMAA, JCAM etc, and she has led several research projects, including a National Natural Science Foundation project.
Moderator: Guangyao Liu
Guangyao Liu is the head of business development of China Reinsurance (Hong Kong) Company Limited. He used to be leading corporate valuation and projection covering China mainland, Hong Kong and Singapore in China Re Life, and he word in product development and strategy research fields in the past few years. Before joining China Re, he worked for MetLife JV company in China and EY actuarial and insurance risk advisory team in Beijing. With 20-year actuarial career, Guangyao has accumulated extensive experience in liability valuation, capital management, embedded value, and good expertise on insurance regulation, accounting policies and reinsurance solution across multiple jurisdictions. He is a board member and Treasurer of AFIR-ERM.
