报告人：金卓(墨尔本大学精算中心高级讲师)

报告题目: Dividend Management with Liability Constraints for Insurance Companies

报告摘要：We will consider asset and liability management of insurance companies. The insurer is risk averse and aims to maximize the expected total discounted value of the utility of dividends paid out under the liability management constraint. Using dynamic programming principle, the value function is the solution of a second-order nonlinear Hamilton-Jacobi-Bellman equation. The explicit solution of the value function is derived and the corresponding optimal liability ratio and dividend payment strategies are obtained in some special cases. Numerical methods will be introduced as an alternative where analytic solutions are not available.

报告时间：2017年11月7日（星期二）下午4：30---5：30

报告地点：科技楼南楼602