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与随机控制相关的一些问题的研究

 报告题目:与随机控制相关的一些问题的研究

 报告人简介:田琳琳 东华大学统计系讲师,师从南开大学郭军义教授。主要从事保险与随机控制问题以及有关HJB方程的数值计算。

 报告时间:11月20日 14:30-15:30

 报告地点:红瓦楼 723室

 报告摘要:we consider the optimal dividend problem of the renewal risk model  with phase-type distributed interclaim times and exponentially dis-  tributed claim sizes. Assume that the phases of the interclaim times can  be observed. We study the optimal dividend under the 2–order and the  n–order (n ≥ 3)separately. In the case of 2–order phase-type distributed  interclaim times, we show that the optimal dividend policy is the  optimal phase-wise barrier strategy. As a byproduct, we find that in  this case, the phase with higher barrier is the phase with the higher  intensity to the next claim. In the case of n-order (n ≥ 3) phase-type  distributed interclaim times, an iteration algorithm is presented to  show that the optimal phase-wise barrier strategy is optimal among all  dividend policies. We also find a similar conclusion like in the case of  2–order, the phase with the highest barrier is the phase with the  highest intensity to the next claim. 

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