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Presented By: Department of Mathematics

Financial/Actuarial Mathematics

Some optimization problems for the risk model with dependence structure

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)

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