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Dividend Management with Liability Constraints for Insurance Companies

编辑:wfy 时间:2018年10月25日 访问次数:682

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 Insurance Companies

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

时间:1030 下午16:00-17:00

地点:逸夫工商楼2009

摘要:We will consider asset and liability management of insurance companies in a num-ber of scenarios. The insurer is risk averse and aims to maximize the expected total discounted value of the utility of dividends paid out under the liability man-agement constraint. Using dynamic programming principle, the value function is the solution of a second-order nonlinear Hamilton-Jacobi-Bellman equation. The explicit solution of the value function is derived and the corresponding optimal liability ratio and dividend payment strategies are obtained in some special cases. Numerical methods will be introduced as an alternative where analytic solutions are not available.


联系人:赖俊 laijun6@zju.edu.cn