学术报告

报告题目：Optimal reinsurance under heterogeneous beliefs      

报告人：孟辉  (中央财经大学研究员、博士生导师)

报告时间：6月19号下午2:30

报告地点：数统院302        

                             数学与统计学院       

 2019.06.19    

报告摘要：This paper studies the optimal reinsurance strategy under heterogeneousbeliefs which allow the insured and the insurer having different beliefsabout the distribution of the underlying loss because of asymmetric information.In order to avoid moral hazard, the reinsurance strategy feasible setsatisfies the condition that the losses to be assumed by both theinsurer and the reinsurer increase with the losses themselves. We use the dynamicprogramming method to study the maximum terminal wealth expected utilityunder the Cramer-Lundberg model. When the likelihood ratio functionsatisfies some conditions, the strategy set is transformed from infinitedimension space to finite dimension space. Then, the optimal reinsurancestrategy is obtained. Furthermore, an analytical expression of the valuefunction is derived. Finally, the optimal reinsurance strategy is givenunder special cases of the expected value premium.               

报告人简介：孟辉，中央财经大学研究员、博士生导师，主持多项国家自然科学基金面上项目以及学校创新团队项目。研究兴趣为金融数学、保险精算以及随机优化等。在SIAM Journal on Control Optimization, Astin Bulletin, Insurance:Mathematics and Economics等期刊发表多篇论文。