数学大讲堂

Insurance risk control and optimization:a short review and some recent progress

Abstract

In this talk, a brief review will be given for the insurance risk theory. Some recent results on optimal control of reinsurance, investment and dividend  with various objectives will be presented. Different approaches to solve the optimality problems will be discussed and optimal strategies are analyzed.Specifically, some mean-variance optimal control problems are to be discussed in some detail.


个人简介:

郭军义博士,南开大学数学科学学院教授,院长。主要从事随机过程及其在金融保险中的应用领域的研究。早期研究领域主要为多指标马氏过程和测度值马氏过程。近年来的研究兴趣主要为保险风险理论中的最优随机控制问题,包括最优再保险,最优投资和最优分红策略等领域的研究。现为中国数学会副理事长,天津数学会理事长以及Insurance:Mathematics and Economics等期刊的编委,应用概率统计杂志副主编等。