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校庆系列学术报告——OPTIMAL INVESTMENT PROBLEM BETWEEN TWO INSURERSWITH VALUE-ADDED SERVICE
2019-09-23 16:37   审核人:   (阅读:)

学术报告预告

报 告 题 目OPTIMAL INVESTMENT PROBLEM BETWEEN TWO INSURERSWITH VALUE-ADDED SERVICE

报 告 时 间201992414:00

报 告 地 点:阶梯教室102

  :荣喜民

      Service has become an important factor that affects insurance holders’ purchase behaviors, competition and even the survival of insurers. This paper first introduces the service quality into the optimal investment problem between two competing insurers, one provides value-added service while the other does not. The surplus processes of the two insurers are assumed to follow classical Cram´er-Lundberg (C-L) model. Both the two insurers are allowed to invest in a risk-free asset and two different risky assets, respectively. Dynamic mean-variance criterion is considered in this paper. Each insurer wants to maximize the expectation of the difference between her terminal wealth and that of her competitor, and to minimize the variance of the difference between her terminal wealth and that of her competitor. By solving the corresponding extended Hamilton-Jacobi-Bellman (HJB) equations, we derive the equilibrium service and investment strategies and the corresponding equilibrium value functions. In addition, some special cases of our model are provided. Finally, the economic implications of our findings are illustrated. It is interesting to find that for the insurer with value-added service, the equilibrium value function in the case of providing value-added service is larger than that without value-added service under some given assumptions.

报告人简 介:荣喜民教授,天津大学数学学院博士生导师,中国工程概率统计学会常务理事,中国高等教育学会理科教育专业委员会常务理事,天津市现场统计学会副理事长。曾获天津市教学成果一等奖,主持国家自然基金面上项目:基于相关性的保险人的投资与再保险的理论和方法研究,发表论文20余篇,其中SCI19篇。

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