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YABO88登陆:南京财经大学姚定俊教授学术报告

YABO88登陆:信息来源: 发布日期: 2021-11-15浏览次数:

报告题目:Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence

报告时间:20211123日下午15:00-16:00

报告地点:腾讯会议 ID:249 612 613

报告摘要:This paper extends the classic dividend-reinsurance optimization to the case when insurance company has two lines of business with common shock dependence. Suppose that the insurance company can purchase proportional reinsurance to reduce business risk and pay dividend to keep competitive. The goal is to find out the optimal strategies for maximizing the expected cumulative discounted dividends before bankruptcy. By using the stochastic control techniques, we solve the problems in both cases of positively correlated and negatively correlated models, respectively. The closed-form solutions of the optimal strategies and associated value functions are presentedJoint work with Bo Yang and Ruili Song.

主讲人简介:姚定。,2010年获华东师范大学博士学位,现为南京财经大学金融学院教授,副院长。曾获江苏省“333高层次人才工程”中青年学术带头人,江苏社科优青等荣誉称号。主要从事保险精算,随机策略优化等领域研究,主持完成了2项国家自然科学基金,1项教育部人文社会科学研究项目。在《ASTIN Bulletin》《European Journal of Operational Research》《中国科学》等国内外知名期刊上发表学术论文30余篇。


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