<北京大学数量经济与数理金融教育部重点实验室>学术报告——OPTIMAL INVESTMENT PROBLEM BETWEEN TWO INSURERS WITH VALUE-ADDED SERVICE
报告人：Prof. Ximin Rong (Tianjin University)
地点：Room 1560, Sciences Building No. 1
Abstract: Service has become an important factor that affects insurance holders’ purchase behaviors, competition and even the survival of insurers. This paper first introduces the service quality into the optimal investment problem between two competing insurers, one provides value-added service while the other does not. The surplus processes of the two insurers are assumed to follow classical Cram´er-Lundberg (C-L) model. Both the two insurers are allowed to invest in a risk-free asset and two different risky assets, respectively. Dynamic mean-variance criterion is considered in this paper. Each insurer wants to maximize the expectation of the difference between her terminal wealth and that of her competitor, and to minimize the variance of the difference between her terminal wealth and that of her competitor. By solving the corresponding extended Hamilton-Jacobi-Bellman (HJB) equations, we derive the equilibrium service and investment strategies and the corresponding equilibrium value functions. In addition, some special cases of our model are provided. Finally, the economic implications of our findings are illustrated. It is interesting to find that for the insurer with value-added service, the equilibrium value function in the case of providing value-added service is larger than that without value-added service under some given assumptions.
Bio: 荣喜民，天津大学数学学院教授，博士生导师，天津市现场统计学会副理事长，中国工程概率统计学会常务理事。主要从事金融数学、精算数学、风险管理等方面研究工作，在 IME、AMC、IMA JMM、JCAM、JMAA、JSSC、系统工程理论与实践等期刊发表相关论文近百篇。主持并参与多项国家自然科学基金和天津市自然科学基金项目。