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05月27日16:00 关国卉:Robust optimal reinsurance and investment strategies for an AAI with multiple risks

讲座编号:jz-yjsb-2019-y032

讲座题目:Robust optimal reinsurance and investment strategies for an AAI with multiple risks

主讲 人:关国卉 中国人民大学统计学院博士后

讲座时间:20190527日(星期一)下午16:00

讲座地点:阜成路东区一号楼241(理学院会议室)

参加对象:理学院全体师生,全校对讲座感兴趣的师生

主办单位:研究生院

承办单位:理学院

主讲人简介:

关国卉,中国人民大学统计学院博士后,2016年博士毕业于清华大学数学科学系,统计学专业。研究方向为保?#31449;?#31639;、风险管理、养老金配置,迄今已发表SCI(SSCI)论文多篇。

主讲内容:

This paper studies the robust optimal reinsurance and investment problem for an ambiguity averse insurer (abbr. AAI). The AAI sells insurance contracts and has access to proportional reinsurance business. The AAI can invest in a financial market consisting of four assets: one risk-free asset, one bond, one inflation protected bond and one stock, and has different levels of ambiguity aversions towards the risks. The goal of the AAI is to seek the robust optimal reinsurance and investment strategies under the worst case scenario. Here, the nominal interest rate is characterized by the Vasicek model; the inflation index is introduced according to the Fisher's equation; and the stock price is driven by the Heston's stochastic volatility model. The explicit forms of the robust optimal strategies and value function are derived by introducing an auxiliary robust optimal control problem and stochastic dynamic programming method. In the end of this paper, a detailed sensitivity analysis is presented to show the effects of market parameters on the robust optimal reinsurance policy, the robust optimal investment strategy and the utility loss when ignoring ambiguity

 

 

来源:研究生院(党委研究生工作部) 发表日期:2019-05-21 阅读次数:
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