报告题目：Optimal reinsurance under heterogeneous beliefs

报 告 人：孟辉研究员（中央财经大学）

报告时间：2019年6月19日 14:30

报告地点：数统院302学术报告厅

报告摘要：

This paper studies the optimal reinsurance strategy under heterogeneous beliefs which allow the insured and the insurer having different beliefs about the distribution of the under lying 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 dynamic programming method to study the maximum terminal wealth expected utility under the Cramer-Lundberg model. When the likelihood ratio function satisfies some conditions, the strategy set is transformed from infinite dimension space to finite dimension space. Then, the optimal reinsurance strategy is obtained. Furthermore, an analytical expression of the value function is derived. Finally, the optimal reinsurance strategy is given under 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。