报告题目：Optimal investment strategy for an insurer with partial information
报 告 人：钱林义（华东师范大学 教授）
报告时间：2021年6月10日 下午14:00开始
报告地点：腾讯会议线上报告
会议链接：//meeting.tencent.com/s/S2PRxnNb7bxA
会议 ID：210 457 443
报告摘要：This paper considers an optimal investment strategy for an insurer with partial information, where the drift terms of the capital and insurance markets are unobservable. By employing Bayesian method and filtering theory, we change the optimization problem with partial information into one with complete information. Furthermore, by using dynamic programming principle, we obtain the explicit expression of the optimal investment strategy to maximize the utility of terminal wealth. Moreover, we derive the optimal investment strategies and value functions with complete information and one of the capital and insurance markets being observed, and compare the results under different cases. Finally, numerical examples are presented to illustrate our results.
报告人简介：钱林义，华东师范大学统计学院教授、博士生导师，中国准精算师，上海市曙光学者，中国工业与应用数学学会金融数学与工程和精算保险分会精算保险青年专业委员会主任。已在Bernoulli、Insurance：Mathematics and Economics 等国际顶级刊物发表论文20多篇，专著1本，主持国家课题2项，省部级课题6项，作为子课题负责人参与2项国家社科重大项目，获上海市自然科学奖三等奖、瑞士再保险精算科学奖三等奖、第十一届全国统计科研优秀成果奖二等奖、上海市优秀博士论文奖等奖项。
