报 告 人： Steven Vanduffel（布鲁塞尔自由大学）

报告时间： 2026年3月12号15:30-16:30

报告地点：览秀楼105

网上同步直播：#腾讯会议：362-683-9628

报告摘要：We consider an investor with a general state-dependent utility, in that she uses different utility functions for the states of survival and death. We explicitly derive her optimal life-contingent payoff, assuming that a provider charges actuarially fair premiums for mortality risk. In real markets, however, a risk loading applies, and the optimal life-contingent payoff can no longer be purchased directly. Instead, we propose a

peer-to-peer solution that approximates the optimal life-contingent payoff via a pool, which delivers a proxy payout to each pool member. We show that the proxy payout converges almost surely to the optimal life-contingent payoff and performs very well in realistic scenarios where pools are finite. In particular, our solution demonstrates the potential for developing a capital market that can effectively manage longevity risk.

报告人简介：Steven Vanduffel是布鲁塞尔自由大学教授。他的研究课题涉及精算科学、养老金设计和金融工程领域。他的研究成果已发表在Insurance: Mathematics and Economics、Journal of Risk and Insurance、ASTIN Bulletin、Scandinavian Actuarial Journal、Mathematical Finance、Journal of Mathematical Economics、Finance and Stochastics以及Journal of Econometrics等期刊上。他曾获得Robert Mehr Award, 2022、Robert C. Witt Award, 2018、Redington Prize, 2015、PRMIA Award for new frontiers in Risk Management, 2014、Johan de Witt Prize, 2012、SCOR-EGRIE Young Economist Best Paper Award, 2011、Lloyds Science of Risk Prize, 2011。他担任ASTIN Bulletin共同主编、Annals of Actuarial Scienc、European Actuarial Journal和Dependence Modeling的副编辑。