Skip to Content

Search: {{$root.lsaSearchQuery.q}}, Page {{$root.page}}

Financial/Actuarial Mathematics

Some optimization problems for the risk model with dependence structure
Wednesday, February 22, 2017
2:00-3:00 PM
1866 East Hall Map
In this talk, I will give some kinds of risk model with dependence structure, and some criteria under which we discuss the optimization problems. Based on the technique of martingage theory or stochastic control theory and the corresponding (extended) Hamilton-Jacobi-Bellman equation, we investigate the existence and uniqueness of the optimal strategies, and derive the closed-form expressions of the optimal results.

Key words: Hamilton-Jacobi-Bellman equation; Dependence structure; Investment; Proportional reinsurance; Jump-diffusion processes. Speaker(s): Zhibin Liang (Nanjing Normal University)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics