2015上海香港---保险精算论坛会议内容.doc

2007上海香港---保险精算论坛会议内容 时间：2007年8月18至19日 地点：华东师范大学理科大楼A座504多功能厅 Speech 1：Economic Capital and Regulation ofBanks and Insurers Speaker: Harry Panjer，Department of Statistics and Actuarial Science，University of Waterloo Abstract In many countries, insurers and banks are separately regulated. In some countries, banks and insurers are not allowed to be part of the same conglomerate and share capital. This raises questions about the efficient use of capital and return on equity to shareholders. In this empirical study we view economic capital from a solvency perspective with the focus on downside risk. The key question addressed is “What efficiencies, if any, are gained by allowing banks and insurers of different types to merge an thus share capital” We examine to what degree bank and insure performance have been correlated historically, especially in the downside tail. This case study is based on a selection of banks, life insurers and property-casualty insurers. Speech 2：The Compound Poisson Surplus Model with Interest and Liquid Reserve Speaker: Jun Cai，Department of Statistics and Actuarial Science, University of Waterloo (A joint work with Runhuan Feng and Gordon E. Willmot)Abstract We modify the classical compound Poisson surplus model by including liquid reserve and interest on an insurer’s surplus. When the surplus is below a fixed level called liquid reserve limit, it is kept as liquid assets, which do not earn interest. As soon as the surplus attains the limit, the surplus in excess of the limit gains interest at a constant rate. The modified model is consistent with the classical compound Poisson risk model if the limit goes to infinity. And it reduces to the compound Poisson risk model with interest when the limit is set to be zero. We shall study ruin probability and other ruin-related quantities in the modified compound Poisson surplus model by means of the Gerber-Shiu function and discuss the impact of interest and liquid reserve on the ruin probabil