报告地点：行健楼学术活动室526
邀请人：梁志彬教授
摘要：We study an optimal investment-reinsurance problem for an insurer (she) under theCramer-Lundberg model with monotone mean-variance (MMV) criterion. At any time, the insurercan purchase reinsurance or acquire new business and invest in a security market consisting of arisk-free asset and multiple risky assets whose excess return rate and volatility rate are allowed tobe random. The trading strategy is subject to a general convex cone constraint, encompassingno-shorting constraint as a special case. The optimal investment-reinsurance strategy and optimalvalue for the MMV problem are deduced by solving certain backward stochastic differentialequations with jumps. In the literature, it is known that models with MMV criterion andmean-variance criterion lead to the same optimal strategy and optimal value when the wealthprocess is continuous. Our result shows that the conclusion remains true even if the wealth processhas compensated Poisson jumps and the market coefficients are random. This is a joint work withXiaomin Shi (Shandong University of Finance and Economics).
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。
