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教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第216期讲座

(2022年12月5日下午14:00-15:30)

讲座主题：Optimal dividend, reinsurance and premium control strategies for insurance company

摘要： This paper investigates the optimal dividend and claim risk control strategies for maximizing the value of insurance company. The previous literature usually assumes that the insurer can only control the amount of claims by purchasing reinsurance. This paper furthermore supposes that the insurer can simultaneously control the frequency of claims by adjusting the premium rate. With the help of stochastic control techniques, the optimization problem is solved. The joint optimal dividend, reinsurance and premium control strategies and associated value functions are obtained. To illustrate the results, some numerical examples and economic explanations are presented at the end.

报告人：姚定俊

南京财经大学金融学院教授，副院长，江苏社科优青，江苏省“333高层次人才培养工程”中青年学术带头人。研究兴趣包括金融风险管理，随机策略优化等。主持过国家级课题3项，在《ASTIN Bulletin》《Economic Modelling》《European Journal of Operational Research》《中国科学》等国内外知名期刊上发表学术论文40余篇。

讲座时间：2022年12月5日 下午14:00-15:30

报告地点：腾讯会议（会议ID：786-815-417）

邀请人：孟辉

欢迎各位老师和同学积极参加！