Title:Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle

Keynote Speaker:Liang Zhibin

Abstract:

In this talk, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer’s surplus process reaches some fixed fraction of its maximum value to date. We assume that the reinsurance premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We derive closed-form expressions of the optimal reinsurance strategy and the corresponding minimum probability of drawdown. Then, under the variance premium principle, we show that the safe level can never be reached before drawdown under the optimally controlled surplus process. Finally, we present some numerical examples to show the impact of model parameters on the optimal results.

Brief Introduction to the Keynote Speaker:

Liang Zhibin (female), Ph.D., professor and doctoral supervisor at the School of Mathematical Sciences, Nanjing Normal University Main research orientation: risk management and actuarial science, mathematical finance and pricing and stochastic optimal risk control. Since 2008, she has been invited to visit the Tanaka Business School, London Imperial College in the UK; the Department of Mathematics, University of Michigan in the US (for three and half years one after another); the Department of Mathematics and Statistics, Concordia University in Canada; the Department of Mathematics, North Carolina State University in the US; and the Department of Statistics and Actuarial Science, University of Hong Kong. Since 2007, she has been a commentator for MathSciNet, an American journal; and meanwhile, has been serving as communication review expert at the Department of Mathematical Sciences of National Natural Science Foundation of China and online communication review expert at the Degrees Center of the Ministry of Education.

Inviter:

Shi Jingtao, Professor at the School of Mathematics

Time:

10:30-11:30, November 12 (Tuesday)

Location:

Lecture Hall 1238, Block B, Zhixin Building, Central Campus

Sponsored by: School of Mathematics, Shandong University