报告题目：Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle

报 告 人：梁志彬教授 (南京师范大学)

报告时间：2019年11月12日(周二) 10:30-11:30

报告地点：知新楼B-1238

报告摘要：

In this talk, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer’s surplus process reaches some fixed fraction of its maximum value to date. We assume that the reinsurance premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We derive closed-form expressions of the optimal reinsurance strategy and the corresponding minimum probability of drawdown. Then, under the variance premium principle, we show that the safe level can never be reached before drawdown under the optimally controlled surplus process. Finally, we present some numerical examples to show the impact of model parameters on the optimal results.

报告人简介：

梁志彬，女，博士，南京师范大学数学科学学院教授，博士生导师。主要研究方向：风险管理与精算，数理金融与定价，随机最优风险控制。担任国家自然科学基金委员会数理科学部的通讯评议专家，以及教育部学位中心网上通讯评议专家。

邀请人：史敬涛教授

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