北大经院 | 讲座预告（6.27）

摘要：Dr. Ruodu Wang is Tier-1 Canada Research Chair in Quantitative Risk Management and Professor of Actuarial Science and Quantitative

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北大经院工作坊第1136场

Risk Aversion and Insurance Propensity

主讲人：

Ruodu Wang（Tier 1 Canada Research Chair (讲席教授) at University of Waterloo）

主持人：

（北大经院）贾若

（人大财金）陈泽

（清华经管）冯润桓

参与老师：

（北大经院）郑伟

（人大财金）魏丽

（人大财金）许荣

时间：

2025年6月27日（周五）

10：00-11：30

线上形式：

腾讯会议

Dr. Ruodu Wang is Tier-1 Canada Research Chair in Quantitative Risk Management and Professor of Actuarial Science and Quantitative Finance at the University of Waterloo. He received his PhD in Mathematics (2012) from the Georgia Institute of Technology, after completing his Bachelor (2006) and Master’s (2009) degrees at Peking University. He holds editorial positions in 8 leading journals in actuarial science, operations research, statistics, and economics, including Co-Editor of ASTIN Bulletin - The Journal of the International Actuarial Association and Co-Editor of the European Actuarial Journal. Among other international awards and recognitions, he is the first winner of the SOA Actuarial Science Early Career Award (2021) from the Society of Actuaries, and a Fellow of the Institute of Mathematical Statistics (elected 2022). His research papers are published in top journals across a wide range of scientific fields, such as the American Economic Review, the Annals of Statistics, the Journal of the Royal Statistical Society (Series B), Management Science, Operations Research, and the Proceedings of the National Academy of Sciences.

摘要：

We provide a new foundation of risk aversion by showing that this attitude is fully captured by the propensity to seize insurance opportunities. Our foundation, which applies to all probabilistically sophisticated preferences, well accords with the commonly held prudential interpretation of risk aversion that dates back to the seminal works of Arrow (1963) and Pratt (1964). In our main results, we first characterize the Arrow-Pratt risk aversion in terms of propensity to full insurance and the stronger notion of risk aversion of Rothschild and Stiglitz (1970) in terms of propensity to partial insurance. We then extend the analysis to comparative risk aversion by showing that the notion of Yaari (1969) corresponds to comparative propensity to full insurance, while the stronger notion of Ross (1981) corresponds to comparative propensity to partial insurance.