Dear all,
you're invited to the seminar that will take place, in hybrid mode, at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca. More details: • Speaker: Katia Colaneri (email: katia.colaneri@uniroma2.it mailto:katia.colaneri@uniroma2.it) Title: Some Optimisation Problems in Insurance with a Terminal Distribution Constraint
Abstract: In this paper, 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 normal distribution with a given mean and a given variance. In both cases, the surplus of the insurance company is assumed to follow a Brownian motion with drift. 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. 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. We only allow for piecewise constant reinsurance strategies producing a normally distributed terminal surplus, whose mean and variance lead to a given Value at Risk or Expected Shortfall at some confidence level α. 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 a joint work with Julia Eisenberg (TU Vienna) and Benedetta Salterini (University of Firenze)
Seminar venue: University of Milano-Bicocca Department of Statistics and Quantitative Methods Aula Seminari 4026, 4th floor, Building U7 January 25th, 4:30 pm Webex Link :
https://unimib.webex.com/unimib/j.php?MTID=m40cd4bb0d7bb8035ca68f3821f453b33 https://unimib.webex.com/unimib/j.php?MTID=m40cd4bb0d7bb8035ca68f3821f453b33
Join by meeting number Meeting number (access code): 2743 983 3965 Meeting password: c2uJfPBVe83 (22853728 from phones)
Best regards, Valeria