题目：Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework
时间：2022.10.17（周一） 19:00
地点：腾讯会议：198-676-508
报告人：杨 鹏 副教授（西安财经大学）
主持人：张 琰 副教授
报告摘要
We investigate the reinsurance contract and investment strategy problem between an insurer and a reinsurer under the continuous-time framework. For the reinsurance contract design, the joint interests of the insurer and the reinsurer are considered. That is, the insurer determines the claim risk sharing strategy, and the reinsurer determines the reinsurance price. The insurer and the reinsurer can invest in the common risk-free asset and different risky assets to increase their respective wealths. The competition between the insurer and the reinsurer is quantified through the relative performance. Both the insurer and the reinsurer aim at maximizing the expected value of the terminal pay-off while minimizing its variance. By using the stochastic optimal control technique, we derive analytically the optimal time-consistent investment strategy and obtain the optimal reinsurance contract. Finally, the influences of model parameters on the optimal reinsurance contract and time-consistent investment strategy are examined through numerical experiments.
报告人简介
杨鹏 副教授
杨鹏，博士，副教授，主要研究领域为再保险、投资组合、健康保险等。他主持教育部人文社科基金1项、陕西省教育厅科研项目1项、校级教科研项目多项，参与省部级以上教科研项目10余项，入选校级“首届卓越教师”计划，两次被评为校级优秀教师。近年来，他以第一作者在Insurance: Mathematics and Economics、Scandinavian Actuarial Journal、Journal of Computational and Applied Mathematics、IMA Journal of Management Mathematics、Applied Stochastic Models in Business and Industry、Communications in Statistics–Theory and Methods、应用数学学报、系统科学与数学、应用概率统计等国内外著名期刊发表论文50余篇，并担任国内外多个期刊的匿名审稿人。
图文 | 湛彩华
编辑 | 顾哲喻 湛彩华
初审 | 顾哲瑜
复审 | 张 浩
终审 | 徐昶斌
