勷勤数学•专家报告

题      目：On optimal reinsurance in the presence of premium budget constraint and reinsurer's risk limit

报  告  人：胡亦钧  教授  (邀请人：杨舟)

                                    武汉大学

时      间：11月22日  10：30-11：30

地     点：数科院西楼二楼会议室

报告人简介:

       胡亦钧，武汉大学数学与统计学院，教授, 博士生导师。1993年毕业于武汉大学数学系、获博士学位并留校任教。 主要从事金融风险度量、保险数学、概率极限理论等相关领域的研究。先后主持完成国家自然科学基金面上项目多项，在保险、金融、概率统计等领域的国内外专业刊物上发表论文60余篇。曾先后应邀访问美国Maryland大学、加拿大York大学、芬兰Helsinki大学、香港大学、香港科技大学、香港浸会大学。 曾获湖北省自然科学奖二等奖，教育部高校优秀骨干教师，教育部“新世纪优秀人才支持计划”的奖励和荣誉称号。

摘      要：

       In this talk, I will present two new optimal reinsurance models in which both premium budget constraints and the reinsurer's risk limits are taken into account. To be precise, we assume that the reinsurance premium has an upper bound, and that the admissible ceded loss functions have a pre-specified upper limit. Moreover, we assume that the reinsurance premium principle is calculated by the expected value premium principle. Under the optimality criteria of minimizing the VaR and ES of the insurer's total risk exposure, we derive the explicit optimal reinsurance treaties, which are layer reinsurance treaties. A new appropriate approach is developed to construct the optimal reinsurance treaties. Finally, we provide a numerical study based on real data and an example to illustrate the proposed models and results. Our work provides a novel generalization of several known achievements in the literature.    This talk is based on a joint work with Wei Liu.

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