报告人：李泓（加拿大圭尔夫大学）

时间：2024年06月18日 11：00-

地址：数统学院LD402

摘要：This paper develops an economic framework to analyze optimal longevity risk transfers, focusing on the differing risk aversions of buyers and sellers of longevity risk transfer contracts. Utilizing a Stackelberg game framework, we compare static longevity swap contracts, offering long-term protection with constant hedge ratios and predetermined hedging costs, against dynamic contracts, providing short-term coverage with variable contract terms. With real-life mortality data, our quantitative analysis reveals that static contracts are preferred when the buyers are more risk averse as they lead to larger welfare gains for both participating parties and more flexible conditions for market existence. Conversely, dynamic contracts are favored when the buyers are less risk averse. Additionally, information asymmetry is incorporated in the form of ambiguity. While ambiguity reduces welfare gains for both parties and leads to more stringent conditions for market existence, it does not alter the contract preferences. Finally, the implications of our analysis on the optimal contract forms and market existence in both the traditional reinsurance market and the emerging longevity-linked capital market are discussed. Our analysis provides theoretical explanations for several key empirical facts in the current longevity risk transfer market and offers new insights into the development of the longevity-linked capital market.

简介：李泓，加拿大圭尔夫大学Gordon S. Lang商学院经济与金融系教授，滑铁卢大学统计与精算系客座教授，北美精算师，Annals of Actuarial Science副主编。其研究兴趣包括保险经济学，风险管理与数据分析。他在世界一流保险、精算与人口学期刊，例如The Journal of Risk and Insurance, Insurance: Mathematics and Economics, Journal of Banking and Finance, Journal of Economic Behavior & Organization, Demography等期刊上发表超过20篇论文。

邀请人：张志民

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