HKU HKU Dept of Statistics & Actuarial Science, HKU

Seminar by Dr. Alfred CHONG from Department of Actuarial Mathematics and Statistics, Heriot-Watt University

DateWednesday, 18 January 2023
Time2:30 p.m. – 3:30 p.m.
Venuein Room 301, Run Run Shaw Building
TitleOptimal insurance of multiple policyholders with application to flood risk

Flood risk has consistently been ranked as one of the major emerging risks, with the potential of having a substantial systemic impact on the insurance industry. In this paper, we provide a micro-economic foundation for a flood risk insurance market. Specifically, we characterize Pareto-optimal risk-sharing contracts in a market with multiple policyholders and one representative insurer. With minimal assumptions on the risk measures of the parties involved, we characterize Pareto optimality in terms of the minimization of a sum of the agents' risk positions, and we relate it to a naturally associated cooperative game to show non-negativity of the premia. In the special case of coherent risk measures, the optimal indemnity schedules are further characterized in explicit form, in terms of what can be called worst-case probability measures. Finally, we provide a numerical illustration of our results.

About the speaker

Dr. Alfred Chong is currently an Associate Professor in the Department of Actuarial Mathematics and Statistics at the Heriot-Watt University under the Bicentennial Research Leaders scheme. Prior to this, he was an Assistant Professor in the Department of Mathematics and the Department of Statistics at the University of Illinois at Urbana-Champaign (UIUC) for 3 years, where he co-founded the Illinois Risk Lab; he was also a J. L. Doob Research Assistant Professor in the Department of Mathematics at the UIUC for a year. Dr. Chong is also an Associate of the Society of Actuaries and an advisory member in the EPSRC Mathematical Sciences Early Career Forum.

Dr. Chong's research interests include risk sharing, forward preferences and control strategies, life and retirement products, risk aggregation and resources allocation, as well as cyber risk management. He publishes in top-tier journals and has been awarded external fundings by the Society of Actuaries, Canadian Institute of Actuaries, Fundación MAPFRE, Cisco, and UK Government. Dr. Chong recently received the Michael V. Colla Prize for Mathematics in 2022.