Dear all,
I am pleased to announce the next seminar in the LUISS math seminars series.
Speaker: Katia Colaneri, Università di Roma Tor Vergata.
Title: Some Optimisation Problems in Insurance with a Terminal Distribution Constraint.
Abstract: We study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time T follows a certain target distribution.
First, we allow the insurance company to pay dividends and seek to maximise the expected discounted dividend payments or to minimise the ruin probability under the terminal distribution constraint that the surplus is
Gaussian with given mean and variance. Here, we find explicit expressions for the optimal strategies in both cases, when the dividend strategy is updated at discrete points in time and continuously in time.
Second, we let the insurance company buy a reinsurance contract for a pool of insured or a branch of business. In this setting we only allow for piecewise constant reinsurance strategies producing a normally distributed
terminal surplus, whose mean and variance lead, e.g. to a given Value-at-Risk at some confidence level alpha. We investigate the question which admissible reinsurance strategy produces a smaller ruin probability, if the ruin-checks are due at discrete deterministic
points in time.
This presentation is based on an joint work with Julia Eisenberg (TU Vienna) and Benedetta Salterini (Univ. of Firenze)
The seminar will take place on Thursday, 15 December at 12:00 PM in Room A202 - viale Romania 32, Roma.
You can also attend the seminar online, at the link:
https://luiss.webex.com/luiss/j.php?MTID=md2a2fee18ee7ce119c87b0babc7754c2
User: w_guest@luiss.it
Password: iXqHekc0W7Q
Best regards,
Alessandro Calvia
Alessandro Calvia
Assistant Professor
Dipartimento di Economia e Finanza
Luiss
Libera Università Internazionale
degli Studi Sociali Guido Carli
Viale Romania, 32 – 00197 Roma
T +39 0685225907
https://luiss.webex.com/meet/acalvia