【 SUIBE思源金融讲坛——学术报告第60期 】:具有或不具有相依结构风险模型的若干优化问题

pubdate:2019-09-03views:358

题目:Some Optimization Problems For The Risk Models With Or Without Dependence Structure

报告人:梁志彬 南京师范大学数学科学学院

时间201994日上午9:00 -10:30

地点:博萃楼317会议室


报告摘要:This presentation introduces some recent research work on the optimization problems for the risk models with or without dependence structure. We study the optimal reinsurance strategy in a risk model with m(2) dependent classes of insurance business, where the claim number processes are correlated through a common shock component or thinning structure. Under the criterion of maximizing the expected utility or minimizing the probability of drawdown, the closed-form expressions for the optimal results are derived for the compound Poisson risk model and (or) for the Brownian motion risk model; We also consider the optimal portfolio problems, where the two risky asset price processes or the risky asset price process and aggregate claim process are correlated through a common shock. Within the mean-variance framework, using the technique of stochastic control theory and the corresponding (extended) Hamilton-Jacobi-Bellman equation, the closed-form expressions of the optimal strategies and value function are obtained. Recently, under the criterion of minimizing the probability of drawdown or minimizing the probability of absolute ruin, some other optimization problems with combined mean-variance premium principle and general reinsurance form are discussed, and some explicit optimal results are given as well.


报告人简介:梁志彬,南京师范大学数学科学学院教授,博士生导师。主要研究方向:风险管理与精算,数理金融与定价,随机最优风险控制。近年来发表和完成第一作者或者通讯作者学术论文30 余篇,其中被SCI 收录19 篇(包括JCR 检索一区2 篇),SSCI 收录15 篇(包括JCR 检索二区7 篇,即,在国际精算界公认的顶级精算杂志《InsuranceMathematics and Economics》和《Scandinavian Actuarial Journal》发表的7 篇)。主持和完成国家自然科学基金项目2 项;主持教育部项目1 项;主持江苏省自然科学基金面上项目1 项;主持江苏省普通高校自然科学研究计划资助项目1项。以主要参与人参与国家自然科学基金项目多项,以及国家社科基金重点项目1 项。


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