讲座主题：Optimalinvestment and reinsurance to reach a bequest goal for an insurer with randomaudit time

主讲人：徐林

讲座时间：2020.12.21 14:30-15:30

地点：综合楼644会议室

主讲人简介：

徐林，教授，博士生导师。主要从事随机控制理论及其在保险精算中的应用研究，发表SCI/SSCI论文20篇，主持国家自然科学基金项目2项，教育部人文社科项目2项，获安徽省科学奖三等奖1项。

讲座摘要：

In this talk, we investigate optimal investment andproportional reinsurance policies for an insurer who subject to random timesolvency regulation. The goal of the insurer is to maximize the probability ofreaching a bequest goal before the random regulation time arrives. We assumethat the insurer's surplus and the financial market are both modulated byexternal macro environment, which is specified by an external Markov chain. Bysolving an auxiliary control problem, together with the fixed point method, weprove the regularity of the value function. Explicit optimal polices areobtained when the premium is calculated by expectation principle. For more generalcases, the Markov chain approximation algorithm is used here to show some keyparameters, such as the intensity of regulation and macroeconomic conditions,on the optimal policies through numerical examples.