时 间：2026年3月17 日（周二）15：00 – 16：00
地 点：普陀校区理科大楼A1714室
报告人：Tim Boonen University of Hong Kong副教授
主持人：李丹萍 华东师范大学教授
摘 要：
In this talk, we consider an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii) (proportional) reinsurance coverage, and (iii) capital injection (from one line into the other). The manager seeks an optimal dividend, reinsurance, and capital injection strategy to maximize the expected weighted sum of the total dividend payments until the first ruin. We completely solve this problem and obtain the value function and optimal strategies in closed form. We show that the optimal dividend strategy is a threshold strategy, and the more important line always has a lower threshold to pay dividends. The optimal proportion of risk ceded to the reinsurer is decreasing with respect to the aggregate reserve level for each line, and capital injection is only used to prevent the ruin of a business line. This talk concludes with numerical examples to illustrate the impact of model parameters on the optimal strategies.
报告人简介：
Tim Boonen is a tenured associate professor in actuarial science at the University of Hong Kong. He is the 2022 recipient of the SOA Actuarial Science Early Career Research Award. Before joining the University of Hong Kong in 2023, he worked as an assistant and associate professor at the University of Amsterdam from 2013 until 2023, and he received his Ph.D. from Tilburg University. His expertise includes mathematical finance, risk-sharing, contract theory, capital allocation, and (applications of) game theory in insurance economics. He is an editorial board member of the European Actuarial Journal, Annals of Actuarial Science, ASTIN Bulletin, Asia-Pacific Journal of Risk and Insurance, and Probability in the Engineering and Informational Sciences.