【数理金融论坛】具有资本注入切换机制扩散模型的最优股利分配控制
发布时间:2016-05-31 10:27:35

主题:具有资本注入切换机制扩散模型的最优股利分配控制
(Optimal dividend control for a class of regime-switching diffusion models with capital injections)


主讲人:澳大利亚新南威尔士大学 朱金霞教授
内容简介:这是关于最佳融资和股利分配问题的学术报告,研究了扩散盈余模型中限制股利分配率,并且具有外部环境制度的普遍结构,而环境制度通过马尔可夫过程进行建模,资金注入和股利分配都会产生费用,研究目标是将总体已分配股利减去总体资金注入成本最大化。我们证明了只有当盈余趋于负数时是注入资本的最佳时机,当盈余不低于这个基于环境制度的临界值时有最大的股利分配率。
主讲人简介:Dr. Jinxia Zhu is a senior lecturer and the Postgraduate Coursework Coordinator in the School of Risk and Actuarial Studies, UNSW Business School at the University of New South Wales, Australia. She holds a PhD degree in Actuarial Science from the University of Hong Kong, and MSc and BA in Mathematics from Lanzhou University. Her main research interests lie in the areas of optimal control in insurance and finance, and risk theory. She has published in leading international journals in the fields of Actuarial Science and Applied Probability including ASTIN Bulletin, Insurance: Mathematics and Economics, Journal of Applied Probability, Scandinavian Actuarial Journal, and Stochastic Processes and their applications. She is also a reviewer for many of the top international journals in Actuarial Science and Applied Probability.
时间:2016年6月3日(星期五)下午13:15,
地点:教师活动中心二楼主会场
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统计与数学学院
2016-05-30