主持人：（北大经院）贾若；（人大财金）陈泽；（清华经管）刁莉
参与老师：（北大经院）郑伟；（人大财金）魏丽；（清华经管）冯润桓
时间：2023年11月13日（周一）15：00-17：45
线上形式：腾讯会议，会议号：759 833 114，会议密码：1113
线下地点：8797威尼斯老品牌305会议室
【一】主讲人：Martin Eling（瑞士圣加伦大学讲席教授）
题目：Is Cyber Risk Insurable?
摘要：
We use data on cyber losses and model the potential market equilibrium for cyber insurance to document a market failure when portfolios of cyber risk are constructed. This can be explained by the distinct properties of cyber risk, namely heavy tails, strong (tail) dependencies, high costs due to asymmetric information, and modelling risk. Our results help to explain why many insurance companies are reluctant to offer cyber insurance on a broad scale. We also discuss ways to overcome the market failure. Our analyses expand results from catastrophic insurance and have implications for corporate risk management and public policy.
主讲人简介：
Martin Eling is Dean of the School of Finance, Director of the Institute of Insurance Economics and Professor for Insurance Management at the University of St. Gallen. He is doing empirical research in the intersection of insurance business, economics, and mathematics. His research interests include a broad range of topics in strategic management, financial management, risk management, and asset management. The current agenda includes new research topics such as cyber risk and micro insurance. His research has been awarded by several leading institutions including the American Risk and Insurance Association (ARIA), the Casualty Actuarial Society (CAS), and the National Association of Insurance Commissioners (NAIC). Among other activities, he is also board member of Concordia, one of Switzerland’s largest health insurance companies.
【二】主讲人：冯润桓（清华大学经济与管理学院讲席教授）
题目：Cyber Risk Assessment for Capital Management
摘要：
Cyber risk is an omnipresent risk in the increasingly digitized world that is known to be difficult to manage. This paper proposes a two-pillar cyber risk management framework to address such difficulty. The first pillar, cyber risk assessment, blends the frequency-severity model in insurance with the cascade model in cybersecurity, to capture the unique feature of cyber risk. The second pillar, cyber capital management, provides informative decision-making on a well-balanced cyber risk management strategy, which includes cybersecurity investments, insurance coverage, and reserves. This framework is demonstrated by a case study based on a historical cyber incident dataset, which shows that a comprehensive cost-benefit analysis is necessary for a budget-constrained company with competing objectives to manage its cyber risk by the best possible strategy. Sensitivity analysis also illustrates that the best strategy depends on various factors, such as the amount of cybersecurity investments and the effectiveness of cybersecurity controls.
主讲人简介：
Feng Runhuan is a Chair Professor in the School of Economics and Management in Tsinghua University. He is also a Fellow of the Society of Actuaries and a Chartered Enterprise Risk Analyst. Prior to joining Tsinghua, he was a tenured Professor, the State Farm Companies Foundation Endowed Professor at the University of Illinois at Urbana-Champaign, the Faculty Lead for the Finance and Insurance sector at the Discovery Partnership Institute of the University of Illinois System. He also was a Visiting Professor to Technical University of Munich, Stanford University and the University of New South Wales, and a Sensegain Distinguished Professor of Hunan University.
His research areas include actuarial science, insurance, quantitative risk management, retirement planning, analytics and optimization of emerging business models. He has published over forty papers and authored several books, including An Introduction to the Computational Risk Management of Equity-Linked Insurance and Decentralized Insurance: Technical Foundation of Business Models. He won numerous awards including the 2022 Jeffrey Haywood Prize by the Institute and Faculty of Actuaries. He collaborated with the State University Annuitants Association and the Illinois General Assembly on a design and market analysis of pension obligation bonds, which was used later as the basis of several legislative proposals.
【三】主讲人：Kwangmin Jung（韩国浦项科技大学助理教授）
题目：Catastrophe Model and the Impact of Climate Change: An Interdisciplinary Study
摘要：
A catastrophe model widely used in the (re)insurance market offers a systematic process consisting of a stochastic model for climate events through the financial assessment of their impacts. However, it is rarely observed to discuss how climate change can be intervened in this model and what this intervention may result in. This study partially contributes to this discussion by taking into account the trend of climate change to quantify tropical cyclone (TC) risks that have been one of the major natural hazards in South Korea. Using historical TC records, geographical information, and socio-economic factors, we first cluster patterns of TC hazards (i.e., track, wind speed, and precipitation) affecting South Korea. We then predict TC hazards and regional economic losses per cluster, and subsequently examine the temperature trend at the grid level, which we use to study the impact of climate change on loss prediction. The results highlight that the annual TC losses are expected to increase by 14 and 45% in the years 2050 and 2100, respectively, compared to that in 2020 and that the TC season in South Korea may last longer in the future. Our findings can be useful for (re)insurers and policymakers, who look for a next phase of catastrophe model with climate change and develop risk management schemes in regions that are more vulnerable to TC risks.
主讲人简介：
Kwangmin Jung, Ph.D, is an assistant professor at the Department of Industrial and Management Engineering, Pohang University of Science and Technology (POSTECH) in South Korea. He received his doctoral degree in Finance (with a focus on risk management and insurance) at the University of St. Gallen, Switzerland, under the supervision of Prof. Dr. Martin Eling. He also received MSc in Quantitative Finance at Bayes (fmr. Cass) Business School in London and BA in Applied Statistics at Yonsei University in South Korea. Prior to joining the faculty of POSTECH, he was the Robb B. Kelley distinguished visiting assistant professor at Drake University in the U.S. His research explores the intersection of actuarial science, risk management and insurance, particularly studying data science and information technology in insurance, emerging risk analysis (e.g., cyber risk, climate change risk) and extreme risk modeling. He has published his academic findings at leading journals in the risk management and insurance / actuarial science field, including Journal of Risk and Insurance, Insurance: Mathematics and Economics and North American Actuarial Journal. He was the winner of the AFIR-ERM best research paper prize of the IAA in 2019.
【四】主讲人：贾若（8797威尼斯老品牌长聘副教授）
题目：Insurance Decisions Between Couples
摘要：
We investigate insurance decisions between spouses using field data from an insurtech company. Empirical analyses reveal that individuals purchase significantly more insurance for their spouses than for themselves. Moreover, they seem to be less responsive to their own health information compared to that of their spouses. Additionally, our empirical findings indicate that the insurance gap between purchasing for oneself and purchasing for a spouse is larger when individuals perceive their spouses as less risk-averse or facing liquidity constraints. We attribute this insurance gap between spouses to motivated beliefs that individuals tend to believe they are healthier than their spouses. We test this hypothesis with a survey-based experiment and provide supporting evidence.
主讲人简介：
Ruo (Alex) Jia is an Associate Professor of Insurance in the School of Economics, Peking University. His research field is insurance economics, including information asymmetry in insurance markets, insurance institutional research, insurtech, and social insurance. He has published in the Journal of Risk and Insurance, Geneva Risk and Insurance Review, Journal of Banking and Finance, and Economic Research Journal, among others. He serves as an Associate Editor of the European Journal of Finance and the Risk Management and Insurance Review and in the Editorial Board of the Geneva Papers on Risk and Insurance-Issues and Practice.
