报告人：周杰明（湖南师范大学）

时间：2023年12月13日 14:00-

腾讯会议ID：712 152 086  密码：123456

摘要：In this talk, we discuss the optimal investment and reinsurance problem for an insurer in different controlled risk models. Different from traditional expectation criteria, we focus on a type of probability criterion about drawdown and drawup. On the one hand, the optimization objective of maximizing the probability of drawup before drowdown is considered. On the other hand, the optimization objective of minimizing the penalized probability of drawdown before drawup is studied. By applying stochastic control theory and solving the corresponding boundary-value problem, the closed-form expressions of the optimal strategies and value functions are derived. Moreover, numerical examples are performed to illustrate the effects of model parameters on the optimal strategies. In addition, we verify the optimality of the strategies obtained from the dynamic programming principle by Euler method.

简介：周杰明，博士，副教授，硕士生导师，湖南省双碳研究院副经理、湖南师大统计与金融数学系系主任。湖南省统计学会副会长，中国双法研究会量化金融与保险分会副秘书长，中国现场统计研究会风险管理与精算分会理事。主持完成国自科青年基金、湖南省自科面上基金、青年基金各1项。目前主持湖南省研究生联合培养基地项目1项。已在Insurance: Mathematics and Economics, Optimization, Mathematical Methods of Operations Research,《数学物理学报》《应用概率统计》等国内外SCI/SSCI/CSCD收录期刊发表学术论文30多篇。研究方向：金融工程与风险管理、金融保险中的随机控制问题、金融统计与绿色金融。

邀请人：李曼曼

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