报告题目：Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model

报告时间：4月19日早上10:30-12:00

报告地点：理科楼407

Abstract：

 In this paper, we consider the optimal dividend payment strategy for an insurance company that has two collaborating business lines. The surpluses of the business lines are modeled by diffusion processes. The collaboration between the two business lines permits that money can be transferred from one line to another with or without proportional transaction costs, while money must be transferred from one line to another to help both business lines keep running before simultaneous ruin of the two lines eventually occurs.

个人简介：

古嘉雯博士毕业于香港大学数学系获金融数学哲学博士学位。现受聘于南方科技大学数学系任助理教授。主要研究方向为最优资产配置、量化交易、信用风险建模及其衍生品定价等。