报告人:孟 辉（中央财经大学）

时  间:2018年 11月13 日  19:00--20:00

地  点:理科楼 LD402

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。

学院联系人:张志民，刘朝林

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