报告题目：On optimal reinsurance in the presence of premium budget constraint and reinsurer's risk limit
报告摘要：
In this
talk
,
I will present
two new optimal reinsurance models
in which
both
premium budget constraints and the reinsurer's risk limits are taken into account.
To be p
recise,
we assume that the reinsurance premium has an upper bound, and that the admissible ceded
loss functions have a pre-speci
fi
ed upper limit. Moreover,
we
assume that the reinsurance premium
principle is calculated by the expected value premium principle. Under the optimality
criteria of minimizing the VaR and
ES
of the insurer's total risk exposure, we derive the
explicit optimal reinsurance treaties, which are layer reinsurance treaties. A new appropriate
approach is developed to construct the optimal reinsurance treaties. Finally,
we provide a
numerical study based on real data and an example to illustrate the proposed models and results.
Our work provides a
novel generaliz
ation of
s
everal
known achievements in the literature.
This talk is based on a joint work with Wei Liu.
报告时间：2024年12月7日 16：00：00-17：00
报告地点： 腾讯会议： 106会议室
报告人简介： 胡亦钧，武汉大学数学与统计学院，教授, 博士生导师。1993年毕业于武汉大学数学系、获博士学位并留校任教。 主要从事金融风险度量、保险数学、概率极限理论等相关领域的研究。先后主持完成国家自然科学基金面上项目多项，在保险、金融、概率统计等领域的国内外专业刊物上发表论文60余篇。曾获湖北省自然科学奖二等奖（2003年），教育部“新世纪优秀人才支持计划”（2004年）的奖励和荣誉称号。曾先后应邀赴美国、加拿大和香港地区访问。
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