【学术讲座】朱文君 | 基于神经网络的指数保险和气象风险管理
日期: 2022-07-05

基于神经网络的指数保险和气象风险管理

Managing Weather Risk with a Neural Network-Based Index Insurance

讲座嘉宾:朱文君 助理教授

讲座时间:2022.7.8(星期五) 上午 10:00-11:30

腾讯会议:374432453


朱文君,新加坡南洋理工大学南洋商学院银行与金融系助理教授。朱文君博士毕业于加拿大滑铁卢大学统计精算系,她是北美精算师协会正精算师 (FSA),注册企业风险分析师 (CERA),她还是北美精算师协会 James C. Hickman Scholar (2013-2015) 的获奖者。她的研究兴趣包括金融保险中的系统性风险,机器学习,长寿风险,天气风险管理和农业保险。她在Journal of Risk and Insurance,North American Actuarial Journal,Insurance: Mathematics and Economics,ASTIN Bulletin,Journal of Banking & Finance 等国际一流期刊上发表过多篇文章。



Weather risk affects economy, agricultural production in particular. Index insurance is a promising tool to hedge against weather risk, but current piecewise-linear index insurance contracts face large basis risk and low demand. We propose embedding a neural network-based optimization scheme into an expected utility maximization problem to design the index insurance contract. Neural networks capture highly nonlinear relationship between the high-dimensional weather variables and production losses. We endogenously solve for the optimal insurance premium and demand. This approach reduces basis risk, lowers insurance premium, and increases farmers' utility. Our approach can be generalized to design other financial products.