首页

中央财经大学研究员、博士生导师孟辉教授应邀来公司做学术报告

发布人:日期:2019年06月19日 08:52浏览数:

        

学术报告

        

报告题目Optimal reinsurance under heterogeneous beliefs      

报告人:孟辉  (中央财经大学研究员、博士生导师)

报告时间:619号下午2:30

报告地点:yl23455永利302        

                             yl23455永利       

 2019.06.19    

      

     

报告摘要:This paper studies the optimal reinsurance strategy under heterogeneousbeliefs which allow the insured and the insurer having different beliefsabout the distribution of the underlying loss because of asymmetric information.In order to avoid moral hazard, the reinsurance strategy feasible setsatisfies the condition that the losses to be assumed by both theinsurer and the reinsurer increase with the losses themselves. We use the dynamicprogramming method to study the maximum terminal wealth expected utilityunder the Cramer-Lundberg model. When the likelihood ratio functionsatisfies some conditions, the strategy set is transformed from infinitedimension space to finite dimension space. Then, the optimal reinsurancestrategy is obtained. Furthermore, an analytical expression of the valuefunction is derived. Finally, the optimal reinsurance strategy is givenunder special cases of the expected value premium.               

     

      

报告人简介:孟辉,中央财经大学研究员、博士生导师,主持多项国家自然科学基金面上项目以及学校创新团队项目。研究兴趣为金融数学、保险精算以及随机优化等。在SIAM Journal on Control Optimization, Astin Bulletin, Insurance:Mathematics and Economics等期刊发表多篇论文。

        

       

         

    

上一条:中央财经大学保险学院、中国精算研究院郑苏晋教授应邀来公司做学术报告

下一条:中国科学院数学与系统科学研究院刘歆副研究员应邀来公司做学术报告

【关闭】 打印    收藏