勷勤数学•专家报告

题      目：Optimal preventive strategies in insurance risk models

报  告  人： 李婧超 副教授  (邀请人：杨舟)

                                          深圳大学

时      间： 3月27日  10：00-11:00

地     点：数科院西楼二楼会议室

报告人简介:

       李婧超，先后于澳大利亚墨尔本大学获得学士、荣誉学士及博士学位。现任深圳大学数学科学学院副教授，硕士生导师，澳大利亚精算师协会精算师，深圳市海外高层次人才，深圳市后备级高层次人才。主要从事保险精算及风险理论的研究。主持多项科研项目包括国家自然科学基金项目、广东省面上项目，主持四项精算及巨灾相关教研项目。在IME、JMAA、AAP等高水平学术期刊上发表论文十多篇。

摘      要：

       Prevention plans as proactive risk management tools can provide new approach for insurance company to manage its risk. The prevention strategies have been studies along with other traditional risk control tools, such as reinsurance. This combination of risk management tools enables insurance companies to better monitor business conditions and effectively manage capital. First, optimal prevention strategy and optimal reinsurance have also been considered for Mean-Variance objective of surplus process under the classical risk model. We have obtained the closed form for optimal reinsurance level and semi-closed form for optimal prevention strategies for three form of prevention strategies. Then, the optimal risk management has been investigated under minimising ruin probability objective for the dependent-structure risk model. Some numerical examples have been performed to examine the effects of reinsurance and preventive strategies on survival probability and mean-variance objective, respectively. We have found that the joint influence of prevention plans gives the best objective function under Mean-Variance criteria.

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