报告人：卓小杨，南开大学

报告题目：Optimal Reinsurance-Investment Strategy under Risks of Interest Rate, Exchange Rate and Inflation

时间：12月15号（周五），上午10:00-11:00

地点：管研楼1518

摘要：
This talk aims at presenting an optimal reinsurance-investment problem for an insurer who can invest
in both domestic and foreign markets. We model domestic and foreign nominal interest rates as extended
Cox-Ingersoll-Ross (CIR) models. Here the insurer can purchase or short exchange rate futures, rolling
bonds, and treasury inflation protected securities to hedge the risks associated to his/her investment.
By applying the dynamic programming principle, we obtain the optimal reinsurance-investment strategy and
the corresponding value function in the closed-form. We also present a sensitive analysis of model parameters
on the optimal strategy and the value function. This is a joint work with C. Constantinescu (Liverpool University),
O. Menoukeu-Pamen (Liverpool University) and Chang Guo (Nankai University).