报告1

报告人：Prof. Kam C. Yuen (香港大学统计与精算系教授)

题 目：Some problems in a discrete semi-Markov risk model

摘 要：

This talk discusses some problems for a discrete semi-Markov risk model, which assumes individual claims are in influenced by a Markov chain with finite state space. Our semi-Markov risk model is similar to the one studied in Reinhard and Snoussi (2001, 2002) without the restriction imposed on the distributions of the claims. In particular, the model of study embraces several existing risk models such as the compound binomial model (with time-correlated claims) and the compound Markov binomial model (with time-correlated claims). Recursive formulae with initial values for computing survival probabilities and the discounted free penalty functions with randomized dividends are derived in the two-state model.

报告2

报告人：陈密 博士（福建师范大学数学与计算机科学学院助理教授）

题 目：Optimal dividends and reinsurance with capital injection under thinning dependence

摘 要：

In this talk, we adopt the variance premium principle to investigate the problem of optimal dividends and reinsurance in a diffusion approximation risk model with thinning-dependence structure introduced by Wang and Yuen (2005). We first study the optimal problem without capital injection. We then consider the incorporation of forced capital injection into the model whenever the reserve level drops below zero. We finally turn to the general problem in which capital injection is allowed but not compulsory. For the three optimal problems, we apply the technique of stochastic control theory to obtain closed-form expressions for the optimal strategies and the corresponding value functions for two classes of insurance business with thinning dependence. Under the assumption of non-cheap reinsurance, we obtain results that are quite different from those in Zhou and Yuen (2012) for both bounded and unbounded dividend rates.

时间：2016年5月25日 星期三 上午10:00—12:00

地点：学术会堂南楼506 （中国精算研究院会议室）

欢迎各位老师同学参加

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