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：Conference Room 108 at Experiment Building at Haiyun Campus

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.