Dividend Management with Liability Constraints for Insurance Companies

浙江大学数学科学学院九十周年院庆系列活动之九十二

题目：Dividend Management with Liability Constraints for InsuranceCompanies

报告人：Zhuo Jin(The University of Melbourne, Australia)

时间：10月30日 下午16:00-17:00

地点：逸夫工商楼200―9

摘要：We will consider asset and liability management of insurancecompanies in a num-ber of scenarios. The insurer is risk averse and aims tomaximize the expected total discounted value of the utility of dividends paidout under the liability man-agement constraint. Using dynamic programmingprinciple, the value function is the solution of a second-order nonlinearHamilton-Jacobi-Bellman equation. The explicit solution of the value functionis derived and the corresponding optimal liability ratio and dividend paymentstrategies are obtained in some special cases. Numerical methods will beintroduced as an alternative where analytic solutions are not available.

联系人：赖俊 laijun6@zju.edu.cn