Optimal singular dividend control with capital injection and affine penalty payment at ruin

：徐冉（西交利物浦大学）
：2023-03-13 14:00
：腾讯会议ID：845-898-382 (无密码)

报告人：徐冉（西交利物浦大学）

时  间：2023年3月13日下午14:00-15:30

地  点：腾讯会议ID：845-898-382 (无密码)

内容摘要:

In this paper, we extend the optimal dividend and capital injection problem with affine penalty at ruin in (Xu, R. and Woo, J.K. Insurance: Mathematics and Economics 92:1–16 (2020)) to the case with singular dividend payments. The asymptotic relationships between our value function to the one with bounded dividend density are studied, which also help to verify that our value function is a viscosity solution to the associated Hamilton-Jacob-Bellman Quasi Variational Inequality (HJBQVI). We also show that the value function is the smallest viscosity supersolution within certain functional class. A modified comparison principle is proved to guarantee the uniqueness of the value function as the viscosity solution within the same functional class. Finally, a band–type dividend and capital injection strategy is constructed based on four crucial sets; and the optimality of such band–type strategy is proved by using fixed point argument. Numerical examples of the optimal band–type strategies are provided at the end when the claim size follows exponential and gamma distribution respectively.

个人简介：

徐冉，西交利物浦大学金融与精算数学系助理教授，2018年获得香港大学统计精算系博士学位，2018-2019年在加拿大Concordia大学从事博士后研究工作，2019年9月加入西交利物浦大学，主要研究方向为保险精算、风险理论及金融保险中的随机最优化问题，相关研究成果发表于Insurance: Mathematics and Economics, European Journal of Operational Research, Journal of Industrial and Management Optimization等国际期刊。

 

联系人：王文元