讲座题目:Insurable Risk Portfolio and Data Uncertainty
主讲嘉宾：Professor Peng Shi，University of Wisconsin-Madison
讲座时间：2024年6月19日（周三）14:00-16:00
讲座地点：中央财经大学沙河校区学院13号楼215
Abstract:
We propose an insurance version of the Markowitz portfolio optimization procedure commonly used in investments. In addition to providing a novel method of constructing insurable risk portfolios, a comparison of the insurance and investments problems provides insights into data uncertainty issues that plague investment problems. We show that the data uncertainty problem that hinders applications in the investments is not a material concern in the insurance. We do so by presenting the results of a bootstrap analysis that confirms and provides insights into the data uncertainty issue. In addition, an examination of the hessian associated with the constrained optimization Lagrangian provides an explanation as to why the insurance version does not suffer from this limitation. To provide additional insights into the various sources of data uncertainty, we develop sensitivities based on now-classical results from nonlinear constrained optimization. We also show how these sensitivities can be expressed in terms of asymptotic statistical distributions that help interpret data uncertainty in risk retention problems.
Bio:
Peng Shi is a Professor in the Risk and Insurance Department, the Statistics Department, and the Data Science Institute at the University Wisconsin-Madison, where he holds the Charles & Laura Albright Professorship in Business and Finance. Peng is an Associate of the Casualty Actuarial Society (ACAS) and a Fellow of the Society of Actuaries (FSA). He has worked in various capacities with companies in property, casualty, and health (re)insurance. Peng’s research centers on problems at the intersection of insurance and statistics and has been published in top journals including JASA, JoE, JBES, AoAS among others. He has received various research awards in actuarial science, including the Charles A. Hachemeister Prize, American Risk and Insurance Association Prize, Ronald Bornhuetter Loss Reserve Prize, CAS Ratemaking Prize, and IAA Best Paper etc. Currently he serves as co-editor of North American Actuarial Journal, editor of Variance, and associate editor of Insurance: Mathematics and Economics, Annals of Actuarial Science, and ASTIN Bulletin.
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