报告地点：行健楼学术活动室526
邀请人：米辉副教授
摘要：This paper is concerned with a long standing optimal dividend payout problem in insurance subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasing over time. The surplus process is modelled by a drifted Brownian motion process and the aim is to find the optimal dividend ratcheting strategy to maximise the expectation of the total discounted dividend payouts until the ruin time. We propose a novel partial differential equation method to solve the problem and derive an optimal dividend ratcheting strategy, and thus solve the open problem completely. Economically, we find that if the surplus volatility is above an explicit threshold, then one should pay dividends at the maximum rate, regardless the surplus level. Otherwise, by contrast, the optimal dividend ratcheting strategy relays on the surplus level and one should only ratchet up the dividend payout rate when the surplus level touches the dividend ratcheting free boundary.
报告人简介：Zuoquan Xu (许左权)，香港理工大学应用数学系教授，从事金融数学、保险精算及随机控制理论等领域的研究工作，研究成果发表于AAP、SICON、IEEE TAC、MF、FS、MS、OR、MOR等著名国际学术期刊，多次受邀于著名国际会议及世界一流学府发表学术演讲。在加入香港理工大学之前，许博士曾任牛津大学数学研究所野村金融数学研究员，兼任Oxford-Man研究所通讯会员。许博士目前担任MOR, AIMS math, DF等国际期刊编委。许博士分别于南开大学、北京大学和香港中文大学获得学士、硕士及博士学位。
