数学与统计学院学术报告[2020]116号

(高水平大学建设系列报告469号)

报告题目: A class of non-zero-sum stochastic differential investment and reinsurance games subject to ambiguous correlations

报告人： 胡锋  教授  （曲阜师范大学）

报告时间：2020年11月27日（星期五）10：30-11：30

报告地点： 腾讯会议 会议号：856112858

报告内容：In this talk, we study the economic implications of ambiguous correlation in a non-zero-sum stochastic differential investment and reinsurance game between two insurance companies. Each insurance company's surplus process consists of a proportional reinsurance protection and an investment in risky and risk-free assets. Each insurance company is assumed to maximize his utility of the difference between his terminal surplus and that of his competitor.

The surplus process of each insurance company is modeled by a mixed regime-switching Cram\'{e}r-Lundberg diffusion approximation process, i.e. the coefficients of the diffusion risk processes are modulated by a continuous-time Markov chain and an independent market-index process. Correlation between the two surplus processes, independent of the risky asset process, is allowed. The general framework of Nash equilibrium for the coupled optimization problem is established. The optimal reinsurance/investment, and the resulting value processes of the insurance companies are obtained in closed forms, together with sound economic interpretations, for the case of an exponential utility function.

报告人简历：胡锋，博士毕业于山东大学，曲阜师范大学统计学院教授。主要研究方向非线性期望、倒向随机微分方程和金融风险度量，在Stochastics、Comptes Rendus Mathematique、Science China Mathematics、Journal of Mathematical Analysis and Applications、 Statistics、Applied Stochastic Models in Business and Industry、International Journal of Financial Engineering等国际知名期刊发表学术论文三十余篇；已主持国家和省部级科研教学项目7项；现为中国工业与应用数学学会--金融数学与工程和精算保险专业委员会青年委员，美国Mathmatical Reviews评论员等。

欢迎感兴趣的师生参加！

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　　　　　　　　　　　　　　　　　　　　　　　　  2020年11月20日