海洋之神含590的网址

当前位置 : 首页 > 学术报告 学术报告

海洋之神含590的网址:厦门大学王文元副教授学术报告

海洋之神含590的网址:信息来源: 发布日期: 2021-11-03浏览次数:

报告题目:Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

报告时间:20211111日下午15:00-16:00

报告地点:腾讯会议 ID:914 562 161

报告摘要:In this talk, we consider a mean-variance investment-reinsurance problem under a new stochastic volatility model, namely the 4/2 stochastic volatility model. Solving this problem requires a deep understanding of a class of parabolic partial differential equations (PPDEs). By the parametrix method and the integral transform method, we derive explicit solutions to the PPDEs in several special cases. Through the Lie symmetry analysis, we obtain a four-parameter family of the 4/2 stochastic volatility models such that the corresponding PPDEs have closed-form solutions. The efficient strategy and the efficient frontier of the mean-variance problem are represented by using the closed-form solutions to PPDEs. (Joint work with Dmitry Muravey@Lomonosov State University, Yang Shen@ University of New South Wales, and Yan Zeng@ Sun Yat-sen University)

主讲人简介:王文元,男,博士,厦门大学数学科学学院副教授、硕士生导师。于2017年入选福建省新世纪优秀人才支持计划。主要研究方向有保险金融数学、随机控制与优化、概率论与随机过程。目前主要研究兴趣有马氏可加过程下的最优控制问题和基于机器学习的随机控制问题。近年来以第一或通讯作者身份在保险精算领域杂志IME/SAJ/EAJ,随机控制领域杂志SICON/JOTA,理论与应用概率杂志JTP/AAP/JAP/Extremes等上发表学术论文30余篇。主持国家自然科学基金青年或面上项目3项。


海洋之神含590的网址(北安)有限公司