Topic：Multi-period peer-to-peer risk sharing

Abstract:

Risk sharing has been practiced in various forms in the financial industry. This presentation covers both dynamic and static risk-sharing mechanisms for a group of participants over multiple periods. The design of risk-sharing strategies is based on the Pareto optimization of quadratic utilities of participants' reserves. Such a framework builds a connection between portfolio optimization in the finance literature and that for risk sharing in the insurance literature. Building on the most common form of reinsurance—pro rata treaties, a peer-to-peer (P2P) network is proposed. Assuming independent multivariate losses over time, the optimal risk-sharing allocation exhibits a three-component structure with the long-term limit and two correction terms. Convergence of the risk-sharing solution and the ratios of long-term reserves is shown, and the impact of actuarial fairness is provided. Finally, while the focus is on discrete time, the presentation concludes with a comparison between discrete- and continuous-time optimal risk-sharing allocations.

讲座时间：

2024年3月6日（周三）下午2:00-3：30

讲座地点：

南开大学金融学院347

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