报告1：Mean-variance problem for insurers with default risk
报告人：赵慧副教授（天津大学）
This paper consider an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer can purchase proportional reinsurance or acquire new insurance business and invest in a financial market consisting of a risk-free asset, a stock and a defaultable bond. We first derive the optimal reinsurance-investment strategies for the post-default case and the pre-default case, respectively in the precommitment formulation. Then we consider the mean-variance problem wihout precommitment and obtain optimal time-consistent investment-reinsurance strategies from a game theoretic perspective. In particular, the correlation between insurance risk model and financial market is considered and brief results under the excess-of-loss reinsurance are provided for the mean-variance problem without precommitment. Finally, we provide numerical examples to illustrate the effects of model parameters on optimal strategies and value functions.
报告2：Fluctuations of Omega-killed spectrally negative Levy processes
报告人：李波博士（南开大学）
In this paper we solve the exit problems for a (reflected) spectrally negative Levy process exponentially killed with killing intensity depending on the present state of the process. We analyze respective resolvents. All identities are given in terms of new generalizations of scale functions. Particular cases concern ω(x)=q when we derive classical exit problems andω(x)=q 1_((a,b)) (x) producing Laplace transforms of occupation times of intervals until first passage times. Our results can be also applied to find bankruptcy probability in so-called Omega model where bankruptcy occurs at rate ω(x) when the surplus Levy process process is at level x<0 . finally, we apply derived results for getting some exit identities for a spectrally positive self-similar markov processes. the main idea of all proofs relies on classical fluctuation identities for levy process, the markov property and some basic properties of a poisson process.
报告时间：2016.11.22 (周二) 上午10：30-12：00
报告地点：中央财经大学中国精算研究院会议室
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