讲座主题：Optimal investment and reinsurance to reach a bequest goal for an insurer with random audit time
主讲人：徐林
讲座时间：2020.12.21 14:30-15:30地点：综合楼644会议室
主讲人简介：徐林，教授，博士生导师。主要从事随机控制理论及其在保险精算中的应用研究，发表SCI/SSCI 论文20篇，主持国家自然科学基金项目2项，教育部人文社科项目2项，获安徽省科学奖三等奖1项。
讲座摘要：In this talk, we investigate optimal investment and
proportional reinsurance policies for an insurer who subject to random time
solvency regulation. The goal of the insurer is to maximize the probability of
reaching a bequest goal before the random regulation time arrives. We assume
that the insurer's surplus and the financial market are both modulated by
external macro environment, which is specified by an external Markov chain. By
solving an auxiliary control problem, together with the fixed point method, we
prove the regularity of the value function. Explicit optimal polices are
obtained when the premium is calculated by expectation principle. For more general
cases, the Markov chain approximation algorithm is used here to show some key
parameters, such as the intensity of regulation and macroeconomic conditions,
on the optimal policies through numerical examples.
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