数学与统计学院学术报告[2021] 051号

(高水平大学建设系列报551 号)

报告题目: Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

报告人： 陈密 副教授（福建师范大学）

报告时间：2021年06月09日14：30 – 15：30am

报告地点： 腾讯会议 830 123 902

报告内容：In this talk, we introduce the problem of optimal reinsurance and dividends under the risk model with thinning dependence structure. The optimization criterion is to maximize the expected accumulated discounted dividends paid until ruin. To enhance the practical relevance of the optimal dividend and reinsurance problem, non-cheap reinsurance is considered and transaction costs and taxes are imposed on dividends. These realistic features convert our optimization problem into a mixed classical-impulse control problem. Using the method of quasi-variational inequalities, closed-form expressions for the value function associated with the optimal dividend and reinsurance strategy are derived. In addition, some numerical examples are presented to illustrate the optimality results.

报告人简历：陈密，福建师范大学数学与信息学院副教授，硕士生导师，统计学系副主任。2013年博士毕业于南开大学，2015-2016年在香港大学统计精算系从事博士后研究工作。主要从事随机过程在金融保险中的应用方面的研究，在Scandinavian Actuarial Journal、 Insurance: Mathematics and Economics、Journal of Applied Probability、Journal of Industrial and Management Optimization、Communications in Statistics - Theory and Methods、Journal of Computational and Applied Mathematics等国内外期刊上发表论文二十多篇，主持国家自然科学基金青年基金、数学天元基金、福建省自然科学基金等多个科研项目。

数学与统计学院

   　　　　　　　　　　　　　　　　　2021年06月09日