报告人：赵慧 教授（南开大学）

时间：2026年4月18日 09:30-

地点：数统学院LD402

摘要： This paper investigates an optimal reinsurance-investment problem with model uncertainty, in which future claims are correlated with historical ones. The insurer is allowed to purchase proportional reinsurance and invest in a risk-free bond and a stock. The insurance and reinsurance premiums are all calculated according to a principle depending on historical claims. Furthermore, we assume that the insurer and the reinsurer have different extrapolation intensities. Besides, the insurer is ambiguous about the claim process and the stock's price process. The insurer aims to maximize the expected exponential utility of terminal wealth under model uncertainty. By applying the dynamic programming approach, we establish the corresponding Hamilton-Jacobi-Bellman (HJB) equation and derive the optimal reinsurance-investment strategy and value function by using the Jordan canonical form and the eigenvalue decomposition method. Finally, the numerical analysis is provided to illustrate our results. We find that the expectation of the insurer's optimal reinsurance strategy is no longer a monotonically increasing function, which is different from the results for the case where the insurer and the reinsurer have the same extrapolation intensity.

邀请人：张志民

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