报  告 人：马敬堂 西南财经大学

报告时间：2021.11.20(周六) 10:00-11:00

报告地点：腾讯会议号：608 864 626

报告摘要：

The paper investigates the optimal reinsurance-investment strategies with assumption that the insurer can purchase proportional reinsurance contracts and invest its wealth in the financial market consisting of one risk-free asset and one risky asset whose price process obeys the rough Heston model, and then formulates a utility maximization problem with minimum guarantee under S-shaped utility. This paper uses concavification technique and semi-martingale approximation to cast the utility maximization problem in the classical stochastic control framework, then the dual method combining with Monte carlo simulation is applied to approximate the optimal strategies and the value function.

(This is joint work with Dengsheng Chen and Zhengyang Lu).

个人简介：

马敬堂，西南财经大学经济数学学院院长、教授、博士生导师。2012年入选教育部新世纪优秀人才计划。现任教育部大学数学课程教学指导委员会工作委员，中国计算数学学会理事，四川省数学会常务理事，中国运筹学会金融工程与金融风险管理分会副理事长，East Asian Journal on Applied Mathematics编委。

主要研究方向为：计算数学（分数阶微分方程数值解、偏微分方程自适应移动网格方法、HJB方程数值解）；金融数学（期权定价模型和方法、最优投资问题算法、随机控制与优化计算）。在SIAM Journal on Control and Optimization, European Journal of Operational Research等期刊发表论文。