报告题目：Mutual aid insurance with a three-state Markov chain
时 间：2024年11月5日（星期二）14：00
地 点：腾讯会议：867134421
主 办：数学与统计学院
参加对象：感兴趣的老师和学生
报告摘要：Mutual aid insurance is a collective type of insurance where the policyholders share the potential losses or risks that they may face. In this paper, we establish a mathematical structure for mutual aid insurance through a three-state (good, bad and death) process, which is driven by an inhomogeneous Markov chain. The objective of maximizing an individual’s lifetime utility is achieved by addressing a stochastic control problem that involves both mutual aid insurance and life insurance. We obtain the explicit expressions for optimal consumption, investment strategies, and life insurance premiums by employing the corresponding Hamilton-Jacobi-Bellman equation. In the end, we carry out a numerical analysis to show the significance of mutual aid insurance and demonstrate the optimal mutual aid insurance premium.
报告人简介：荣喜民，天津大学数学学院教授，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。主要从事金融数学、精算数学、风险管理等方面研究工作，在 Insurance: Mathematics and Economics 、Quantative Finance、Scandinavian Actuarial Journal、IMA Journal of Management Mathematics等期刊发表相关论文百余篇，其中 SCI 检索 50 余篇。主持及参与多项国家自然科学基金和天津市自然科学基金项目。