报告题目: Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
时 间：2021年11月15日（星期一）上午09：00
地 点：腾讯会议（ID：156955751）
主 办：数学与统计学院、福建省分析数学及应用重点实验室
参加对象：统计系老师与学生
报告摘要：In this paper, we determine a robust reinsurance contract from joint interests of the insurer and reinsurer under the framework of Stackelberg differential game. More specifically, the reinsurer is the leader of the game and decides on an optimal reinsurance premium to charge, while the insurer is the follower of the game and chooses an optimal proportional reinsurance to purchase. In order to defend the large shocks of wealth process, a loss-dependent premium principle is applied to the insurer. Meanwhile, we incorporate model uncertainty into the reinsurer's controlled surplus due to the asymmetric information. Under the time-consistent mean-variance criterion, we derive the robust reinsurance contract explicitly by solving the coupled extended Hamilton-Jacobi-Bellman systems. It is interesting to prove that the optimal premium control for the reinsurer is determined by a time-adjusted variance principle. In addition, we find that the reinsurer would like to raise the reinsurance price to guard against the model uncertainty, which consequently decreases the insurer's reinsurance demand. Finally, further analyses are provided to show the necessity of considering the model uncertainty; otherwise, the reinsurance company will suffer a great loss of utility.
报告人简介：梁志彬，女，博士，南京师范大学数学科学学院教授，博士生导师。主要研究方向：风险管理与精算，数理金融与定价，随机最优风险控制。目前感兴趣的研究领域是：金融市场不确定环境下的鲁棒优化与博弈；以及机器学习下金融随机最优控制等问题的探讨。
近年来发表和完成第一作者或者通讯作者学术论文40余篇，其中包括IME, SAJ, AMO等SCI或SSCI收录期刊论文30余篇。主持和完成国家自然科学基金项目3项, 省部级项目2项。08年以来，应邀访问过英国London Imperial College的Tanaka商学院；美国University of Michigan的数学系（前后三年半）；加拿大Concordia University的数学与统计系；美国北卡州立大学数学系；以及多次访问香港大学的统计与精算系。自2007年以来，一直担任美国《数学评论》评论员；同时，担任国家自然科学基金委员会数理科学部的网上通讯评议专家，以及教育部学位中心网上通讯评议专家。南京师范大学第四批“百名青年领军人才”培养人选；江苏省“青蓝工程”优秀中青年骨干教师。