报告(一)

报告题目: Optimal reinsurance control under continuous time models

报告人: 孟辉(中央财经大学)

摘要: Based on a class of premium principle (including exponential premium principle, expected value premium principle and variance premium principle, etc.), we consider some optimal reinsurance problems to minimize the probability of ruin and to maximize the expected utility under a diffusion process and jump risk process. The optimal reinsurance strategy with nontrivial structure, different from proportional reinsurance strategy and excess of loss reinsurance strategy, etc., is given. Then the optimal value function is obtained also. Finally, we provide some numerical analysis.

报告时间: 11月19日 14:30-15:30

报告地点: 伟德bv1946官网报告厅

报告人简介: 孟辉，中央财经大学研究员，博士生导师。中央财经大学“龙马学者”，主持多项国家自然科学基金及学校创新团队项目。研究兴趣为金融数学、保险精算以及随机控制等。在SIAM Journal on Control Optimization, Astin Bulletin, Insurance: Mathematics and Economics等期刊上发表论文二十余篇。

报告(二)

报告题目: Time-consistent mean-variance portfolio selection: a log-return model

报告人: 陈平(澳大利亚墨尔本大学)

摘要: This paper investigates a continuous-time mean-variance portfolio selection problem based on a log-return model. The financial market is composed of one risk-free asset and multiple risky assets whose prices are modelled by geometric Brownian motions. We derive a sufficient condition for an open-loop strategy via the forward backward stochastic differential equation (FBSDE) framework. The equilibrium strategy is derived by solving a system of FBSDEs. To illustrate our result, we consider a special case where the interest rate is given by the Vasicek model. We also derive the close-loop equilibrium strategy through the dynamic programming approach. A comparison between the open-loop and close-loop strategies are conducted.

报告时间: 11月19日 15:30-16:30

报告地点: 伟德bv1946官网报告厅

报告人简介: 陈平，澳大利亚墨尔本大学经济系高级讲师，香港大学哲学博士。研究领域包投资策略优化，养老金管理，精算风险理论等。在Insurance: Mathematics and Economics, Journal of industrial and management optimization, Economic Modelling, Operation research letters, Journal of optimization theory and application, Applied Mathematical Finance, Frontiers of Mathematics in China等国内外知名期刊发表过多篇学术论文。

报告(三)

报告题目：The general draw-down times for spectrally negative Levy processes

报告人：Xiaowen ZHOU (Concordia University)

摘要: A draw-down time for a stochastic process is a downward first passage time that depends on the running maximum of the process. In this talk, for spectrally negative Levy processes we find expressions of several joint Laplace transforms involving general draw-down times. The results are expressed in terms of scale functions. Applications in risk models will be discussed. This talk is based on joint work with Florin Avram, Bo Li and Nhat Linh Vu.

报告时间: 11月19日 16:30-17:30

报告地点: 伟德bv1946官网报告厅

报告人简介: Full Professor, Department of Mathematics and Statistics, Concordia University. Ph.D. in Statistics, University of California at Berkeley, May 1999. 研究方向为测度值随机过程，种群基因模型和Levy过程及其在风险理论的应用。先后在 Annals of Probability, Probability and Related Fields, Journal od Differential Equations, Canadian Journal of Mathematics, Theoretical Population Biology, Annales de L’Institut Henri Poincare (B) Probabilites et Statistiques, Bernoulli, Advances in Applied Probability, Stochastic Processes and their Applications, Electronic Journal (Communication) of Probability, Journal of Theoretical Probability 等国际顶级概率刊物发表论文50余篇。