时 间：2026-05-23 15:30 - 16:30
地 点：普陀校区理科大楼A1514室
报告人：王甫东 南方科技大学博士后
主持人：李丹萍 太阳成tycgb教授
摘 要：
This work investigates how a reward-penalty mechanism influences an insured's endogenous loss reporting decision and optimal insurance demand. We model a risk-averse insured facing a random loss, who chooses whether to report the loss after it occurs, balancing the trade-off between receiving indemnity (with a premium penalty) and forgoing indemnity (with a premium reward). The analysis first shows that the optimal reporting strategy follows a threshold rule: losses below a certain level are never reported, while those above are always reported. The optimal indemnity function is then shown to take a stop-loss form above that threshold. Using the insurer's break-even condition, the paper derives a closed-form expression for the optimal deductible as an explicit function of the coverage threshold, thereby reducing the original complex problem to a one-dimensional optimization over the threshold. The feasible range for this threshold is fully characterized, and the optimal threshold is determined either by a simple first-order condition or at a boundary point. Comparative statics reveal that higher reward or penalty rates raise the reporting threshold, while greater risk aversion lowers it. In the absence of the reward-penalty mechanism, the classical Arrow optimal insurance result is recovered. These findings offer new insights into the design of insurance contracts and the strategic claim behavior of policyholders in practice.
报告人简介：
Fudong Wang is currently a Postdoctoral Researcher at the Southern University of Science and Technology. He received his Ph.D. from Nanjing Normal University in June 2024. His research focuses on actuarial science and stochastic control theory, with applications in finance and insurance. His research work has been primarily published in journals in the fields of economics, actuarial science, and control theory, such as the Journal of Economic Dynamics and Control, the Scandinavian Actuarial Journal, the International Journal of Control and so on.