报告题目：Rolling-Horizon Robust Optimization for Multi-Period P2P Risk Sharing under Catastrophe Risk

报告时间：2026年11月6日 10：00-11：00

地点：嘟嘟成人网 106会议室

报告人：陈孝伟

摘要：This paper studies the joint design of risk sharing and fund management in a multi-period P2P risk pool exposed to disaster losses. In each period, the pool updates its empirical loss level and uncertainty set based on realized losses. Subject to constraints on premium adjustments for members, it uses cash and interest-bearing borrowing to meet robust funding requirements. A fixed proportion of distributable net assets is allocated to an aggregate surplus distribution. Holding total premiums, the aggregate surplus distribution, and cash and debt positions constant, the paper compares experience-based proportional allocation with optimal cross-sectional allocation. The latter minimizes the squared deviations of members’ net contributions from their rolling loss benchmarks and lagged paths, and can be formulated as a Euclidean projection onto a capped simplex. The model considers both Box and Bertsimas–Sim budgeted uncertainty sets and further incorporates ex ante specified annual aggregate excess-of-loss reinsurance. Using state-level claims data from the U.S. National Flood Insurance Program for 2000–2023, the results show that, relative to experience-based proportional allocation, optimal allocation improves the quadratic objective by 1.02%–39.67% under the Box benchmark and by 1.02%–12.36% under the Γ benchmark. When Γ = 1, a fixed-limit aggregate excess-of-loss contract reduces maximum debt from USD 12.520 billion to USD 1.186 billion, while also reducing the improvement in the squared deviations of members’ net contributions from their rolling loss benchmarks. Further parameter matching shows that, even when cumulative robust funding requirements are held constant, differences in the period-by-period support structures of the uncertainty sets generate different financing and member-allocation paths. The framework integrates member risk sharing, premium adjustment, surplus distribution, intertemporal financing, and reinsurance into a unified rolling state recursion, while distinguishing cross-sectional allocation effects from aggregate funding effects.

报告人简介：陈孝伟，南开大学南开-泰康保险与精算研究院副院长、教授、博士生导师，研究领域为风险管理与精算、精算数据科学，在Journal of Economic Theory、Risk Analysis、ASTIN Bulletin、IME、EJOR、《南开经济研究》、《保险研究》等保险精算知名期刊发表文章五十余篇。主持和参与国家自然科学项目、国家社科基金项目、教育部社科项目、国家气象局项目等十余项。担任中国保险学会保险教育专委会副主任委员、中国运筹学会常务理事不确定系统分会主任委员、天津地震学会副秘书长、保险与精算四十人论坛青年论坛成员，担任国际期刊FODM和JIMO副主编，Risk Sciences编委。