Optimal dividend and reinsurance strategies for the risk model with common shock dependence

：姚定俊教授
：2019-12-20 11:00
：实验楼108

       Speaker：Prof. Dingjun Yao

                      Nanjing University Of Finance & Economics

Title: Optimal dividend reinsurance strategies for the risk model with common shock dependence

 Time：20 Dec 2019, 11:00

Location：实验楼108

Abstract:   This paper discusses the optimal dividend reinsurance strategies when an insurance company has two lines of business with common shock dependence. Suppose that the insurance company can purchase proportional reinsurance to reduce ruin probability pay dividends to keep competitive. The goal is to find out the optimal strategies for maximizing the expected cumulative discounted dividends. By using the stochastic control techniques, we solve the problems in both cases of positively correlated negatively correlated models, respectively. The closed-form solutions of the optimal strategies associated value functions are presented.

        Speaker  Introduction：姚定俊，男，南京财经大学金融学院教授，副院长，江苏社科优青，江苏省“333工程”中青年学术带头人。2010年博士毕业于华东师范大学金融与统计学院，多次访问滑铁卢大学、香港大学和新南威尔士大学，主要从事保险精算、金融风险管理等方面研究。主持国家自然科学基金、国家社科基金重大项目子课题，教育部人文社科基金等4项省部级以上项目，在《ASTIN Bulletin》 《European Journal of Operational Research》 《中国科学》等期刊上发表学术论文30余篇。

         联系人：王文元副教授