报告题目：

Optimal dividend, capital injection and excess-of-loss reinsurance strategies for insurer with a terminal value at the time of bankruptcy

报告人：姚定俊

主办单位：统计学院

时 间：2017年11月17日下午15:00-16:00

地 点：科技楼二楼北会议室

Abstract：In this paper, we assume that an insurance company can control dividend, capital injection and excess-of-loss reinsurance strategies dynamically. Transaction costs are incurred by these business activities: Reinsurance is “non-cheap”, dividend is taxed, reinvestment generates proportional and fixed costs. An arbitrary terminal value of the bankruptcy is considered. Under the objective of maximizing the company’s value, we present the optimal strategies and analyze the effects of transaction costs and terminal value. The results show that capital injection maybe profitable if transaction costs and terminal value are relatively low, dividends should be paid under the barrier strategy, less reinsurance is bought when the surplus increases.

报告人简介：南京财经大学金融学院保险系主任、教授，主要从事保险精算、金融风险管理与资产定价等方面的研究。2010年6月毕业于华东师范大学金融与统计学院。主持国家面上、国家青年、人文社科青年等多项科研项目，在ASTIN Bulletin (SCI, SSCI，国际精算师协会会刊)、European Journal of Operational Research (SCI, SSCI，欧洲运筹学会会刊)、中国科学等优秀期刊上发表多篇学术论文。曾先后7次访问滑铁卢大学、香港大学和新南威尔士大学，获江苏省“333工程”第三层次中青年学术带头人、南京财经大学“青年拔尖人才”等多项荣誉称号。