报告1

报告题目：Optimal dividend and risk control policies in the presence of a fixed transaction cost

报告人：李鹏博士
内容简介：In this paper, we consider a large insurance company whose cumulative cash flow process is described by a drifted Brownian motion. The preference of the insurer is to maximize his/her firm’s value, that is the expected present value of the dividend payments up to the ruin time. In the business process, the insurer has the option to draw up a dividend payment policy and purchase proportional reinsurance at a point in time. In view of some typical practical expenses(e.g., consultant commission), it is assumed that a fixed transaction cost occurs at the beginning of a reinsurance commitment, once made, is irreversible. This leads to a mixed stochastic control problem of optimal stopping time and singular control. For this mixed problem, we derive closedform solutions for the optimal time to purchase reinsurance, the optimal retained risk proportion, the optimal dividend barrier, and the value function. The optimal solution shows that reinsurance is valueless to the insurer when the fixed cost is larger than a threshold, and comes into play when the fixed cost is less than this threshold. We also perform some numerical calculations to assess the impacts of fixed costs on the value function and the optimal policies.

报告时间：11月27日16:00-17:00

报告地点：我院213报告厅

报告人简介：李鹏博士，南京财经大学金融学院教师，毕业于中央财经大学中国精算研究院，获经济学搏士。研究方向：保险精算与金融风险。 曾在美国伊利诺伊大学香槟分校访问一年，主持教育部课题一项，发表SCI，SSCI检索论文多篇。

报告2

报告题目：ROBUST PORTFOLIO SELECTION FOR INDIVIDUALS: MINIMIZING THE PROBABILITY OF LIFETIME RUIN

报告人：刘兵博士
内容简介：Robust portfolio selection has become a popular problem in recent years. In this talk, we study the optimal investment problem for an individual who carries a constant consumption rate but worries about the model ambiguity of the financial market. Instead of using a conventional value function such as the utility of terminal wealth maximization, here, we focus on the purpose of risk control and seek to minimize the probability of lifetime ruin. This study is motivated by the work of Bayraktar and Zhang(2015), except that we use a standardized penalty for ambiguity aversion. The reason for taking a standardized penalty is to convert the penalty to units of the value function, which makes the difference meaningful in the definition of the value function. The advantage of taking a standardized penalty is that the closedform solutions to both the robust investment policy and the value function can be obtained. More interestingly, we use the \Ambiguity Derived Ratio" to characterize the existence of model ambiguity which significantly affects the optimal investment policy. Finally, several numerical examples are given to illustrate our results.

报告时间：11月27日17:00-18:00

报告地点：我院213报告厅

报告人简介： 刘兵博士，南京财经大学金融学院教师，毕业于中央财经大学中国精算研究院，获经济学博士学位。研究方向：保险精算与金融风险。 发表SCI，SSCI检索论文多篇。