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Felix-Klein-Kolloquium | Vortrag »Suboptimal Controls in Some Insurance-Inspired Problems«
14. November 2023, 17:15 - 18:30
We consider an insurance company modelling its surplus process by a Brownian motion with drift. In the first part of the talk, our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some constant. Numerical and theoretical considerations lead us to the conclusion that the optimal strategy must be of a non-trivial barrier type. Our approach estimates the distance between the performance function corresponding to a non-optimal (but easy-to-handle) strategy to the value function. In the second part, we look at several optimisation settings for an insurance company under the constraint that the terminal surplus at a deterministic and finite time T follows a normal distribution with given mean and variance. We show when one can find explicit expressions for the optimal strategies and the corresponding value functions. In addition, the cases when the optimal strategy is not identified, will be discussed and illustrated by examples.
Referentin: Prof. Dr. Julia Eisenberg, TU Wien
Der Vortrag findet um 17.15 Uhr im Raum 210 des Mathematik-Gebäudes 48 statt.