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精算论坛第272期讲座

(2025年11月7日)

讲座主题：Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes

摘要：This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Empirical studies suggest, contrary to classical assumptions, that risk seeking is prevalent in particular subdomains, and is even the majority finding for losses, underlying for instance the disposition effect. We first analyze cases of expected utility agents, some of whom may be risk seeking. Yet more empirical realism is obtained by allowing agents to be risk averse in some subdomains but risk seeking in others, which requires generalizing expected utility. Here we provide first results, pleading for future research. Our mainnew toolfor analyzing generalized risk attitudes is a counter-monotonic improvement theorem.

报告人：林荔圆

Dr. Liyuan Lin is a Senior Lecturer in the Department of Econometrics and Business Statistics at Monash University. She holds a PhD in Actuarial Science from the Department of Statistics and Actuarial Science at the University of Waterloo. Her research interests include quantitative risk management, dependence modeling, risk aggregation, and actuarial science.She is an Associate of the Society of Actuaries (A.S.A) and an Associate of the Institute of Actuaries (A.I.A).

讲座时间：2025年11月7日（周五）

       上午10:00-11:00

报告地点：沙河13号楼209

邀 请 人：刘敬真