91直播

91直播：孟辉 教授 (中央财经大学)

时间：2025年03月28日 09:00-

地点：数统91直播 LD718

摘要：In this work, we investigate the insured's optimal insurance decision under the rank-dependent utility preference with VaR constraint. Under rank-dependent utility with non-monotonicity of Absolute Risk Aversion, we propose a modification approach based on the classic variational method, and demonstrate that the optimal insurance strategy is in a layer form. By the modification approach, we overcome the ex post moral hazard challenge faced by Bernard et al. [MF, 2015, 25(1):154–186] and expand the work of Xu et al. [MF, 2019, 29(2):659–692].

邀请人: 数学研究中心

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