Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- A+
：陈志平
：2021-05-21 15:00
：腾讯会议ID：120 314 390 无密码（线上）
报告人：陈志平（西安交通大学）
时 间：5月21日下午3:00
地 点：腾讯会议ID：120 314 390 无密码（线上）
内容摘要:
In this talk, we consider the robust optimal reinsurance-investment strategy selection problem with price jumps and correlated claims for an ambiguity-averse insurer (AAI). The correlated claims mean that future claims are correlated with historical claims, which is measured by an extrapolative bias. In our model, the AAI transfers part of the risk due to insurance claims via reinsurance and investing the surplus in a financial market consisting of a risk-free asset and a risky asset whose price is described by a jump-diffusion model. Under the criterion of maximizing the expected utility of terminal wealth, we obtain closed-form solutions for the robust optimal reinsurance-investment strategy and the corresponding value function by using the stochastic dynamic programming approach. Furthermore, we examine the relationship among the optimal reinsurance-investment strategies of the AAI under three typical cases. A series of numerical experiments are carried out to illustrate how the robust optimal reinsurance-investment strategy varies with model parameters, and result analyses reveal some interesting phenomena and provide useful guidance for reinsurance and investment in reality.
个人简介：
陈志平，西安交通大学数学与统计学院教授、博士生导师。长期从事随机规划理论及其应用、分布式鲁棒优化、金融风险度量、保险精算与投资分析等领域的研究，在SIAM Journal on Optimization、Journal of Optimization Theory and Applications、European Journal of Operational Research、Journal of Banking ＆ Finance、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics等运筹学、经济与金融期刊发表SCI（SSCI）检索论文60余篇。所主持的国家自然科学基金面上项目在结题项目绩效评估中被评为特优。由于其在运用先进的运筹学方法解决复杂金融决策问题中的突出贡献，应邀撰写综述性论文，并作为全书第一章在国际著名出版公司Springer的 “International Series in Operations Research and Management Science”系列专著中的《Optimal Financial Decision Making under Uncertainty》刊出。现为《OR Spectrum》编委、《工程数学学报》编委、编辑部主任。现任中国运筹学会常务理事，中国运筹学会金融工程与金融风险管理分会副理事长，中国优选法统筹法与经济数学研究会量化金融与保险分会常务理事，中国管理科学与工程学会金融计量与风险管理研究会常务理事。担任西安交通大学西安数学与数学技术研究院副院长、国家天元数学西北中心副主任。
联系人: 王文元
