报告人：陈密副教授

                福建师范大学

报告题目：Optimal dividends and reinsurance with capital injection under thinning dependence

报告时间：2016年8月22日上午10:00开始

报告地点：数理大楼661

报告摘要：In this talk, we adopt the variance premium principle to investigate the problem of optimal dividends and reinsurance in a diffusion approximation risk model with thinning-dependence structure introduced by Wang and Yuen (2005). We first study the optimal problem without capital injection. We then consider the incorporation of forced capital injection into the model whenever the reserve level drops below zero. We finally turn to the general problem in which capital injection is allowed but not compulsory. For the three optimal problems, we apply the technique of stochastic control theory to obtain closed-form expressions for the optimal strategies and the corresponding value functions for two classes of insurance business with thinning dependence. Under the assumption of non-cheap reinsurance, we obtain results that are quite different from those in Zhou and Yuen (2012) for both bounded and unbounded dividend rates.

学院联系人:王文元副教授

报告人简介: 陈密，男，博士，福建师范大学数学与计算机科学学院副教授。2013年博士毕业于南开大学概率论与数理统计专业，2015-2016年在香港大学统计精算系从事博士后研究工作。主要从事随机过程在金融保险中的应用方面的研究，在Insurance: Mathematics and Economics、Journal of Applied Probability等国内外期刊上发表论文十多篇，主持数学天元基金、福建省自然科学基金等多个科研项目。