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题目:The expected discounted penalty function: from infinite time to finite time

2017/07/05 00:00 科研秘书 点击:[]

报告人:李栓明(墨尔本大学商学院精算中心)


时间:2017.07.10 (星期一) 10:00--11:00


地点:理科楼LD201


摘要:In this paper we study the finite-time expected discounted penalty functions and their decompositions in the classical risk model perturbed by diffusion. We first give the solution to a class of second order partial integro-differential equation (PIDE) with certain boundary conditions. We show thatthe finite-time expected discounted penalty functions and their decompositions can be expressed in terms of the corresponding quantities under theinfinite-time horizon. We then find explicit expressions for the finite timeruin probabilities and its decompositions: the finite-time ruin probability dueto oscillations and the finite-time ruin probability caused by a claim. Numerical examples are given when claims follow an exponential distribution.


报告人简介:李栓明 (Shuanming Li),墨尔本大学商学院精算中心副教授,博士生导师,墨尔本大学精算研究生教育与南开-墨尔本联合双硕士项目的负责人(Director of Master of Actuarial Science). 在精算,概率,统计,应用数学,运筹学,随机过程等刊物上发表论文50余篇。是50多国际期刊的审稿人, 美国数学评论的特约评论员。从2005至今,在墨尔本大学精算中心教授本科及研究生若干门,包括风险理论1,风险理论2,寿险数学1,寿险数学2,精算入门,随机过程在金融与保险中的应用,精算论文写作等;指导荣誉本科生与硕士20 余名,指导博士7名。


学院联系人:张志民

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