报告人: 周 明（中央财经大学）

日  期: 2019年12月22日

时  间: 13:00

地  点: 理科楼 LD202

摘  要: Assume that several reinsurers participate in a reinsurance treaty for some loss, and these reinsurers adopt a kind of combined premium principle(the expected premium principle, variance premium principle and exponential premium principle as special cases). Based on the Lundberg exponent, we study the minimal probability of ruin with the Cramer-Lundberg jump risk model. Among the class of plausible reinsurance treaties, we derive the optimal multiple reinsurance strategy with nontrivial curved structures, which are different of conventional  reinsurance strategy such as proportional and excess of loss reinsurance strategies, etc. Finally, the corresponding numerical and sensitive analysis are given under some two-dimensional reinsurance spaces.  

报告人简介：周明，研究员，博导，北美准精算师（ASA），中国精算师协会正会员。曾在加拿大滑铁卢大学做博士后1年，美国德克萨斯大学达拉斯分校做访问学者1年，先后多次访问香港大学、香港理工大学等。目前主要研究方向为资产负债管理、风险分析与决策。在《Quantitative Finance》《Insurance: Mathematics and Economics》《Astin Bulletin》《中国科学》等国内外知名期刊发表学术论文30余篇，主持国家、省部级等各类项目10余项。

公司联系人: 张志民

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