FAM-ily  

Financial and Actuarial Mathematics  
TU Wien, Austria  

 
2009-03-17  PDF  MS-Word

Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Prof. Dr. Hanspeter Schmidli

Universität Köln
http://www.mi.uni-koeln.de/~schmidli/

On Optimal Dividends and Capital Injections in Risk Theory

Consider a risk process {Xt}, which can either be a classical risk model or a diffusion approximation. The investors can choose the accumulated dividend process {Dt} and/or the accumulated capital injection process {Zt}. These two processes should be increasing cadlag processes. The goal is to find the optimal strategy maximising the discounted expected value of the dividends minus the penalised expected discounted value of the injections.
We give the corresponding Hamilton–Jacobi–Bellman equation, from which the value function and the optimal strategy can be calculated.

Short CV: Hanspeter Schmidli holds the chair of Stochastics/Actuarial Mathematics at the University of Cologne. He studied at ETH Zurich and had positions in Edinburgh, Aarhus and Copenhagen. He was the head of the Laboratory of Actuarial Mathematics at the University of Copenhagen. His research interests include risk theory, stochastic optimization as well as securitisation of insurance products. He is associated editor of the journals "Blätter der DGVFM" and "Stochastic Models".

Termin: Dienstag, 17. März 2009, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8–10
Freihaus, Turm A (grüner Bereich), 2. Stock,
Freihaus Hörsaal 5

Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Dkfm. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen

Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien

o.Univ.-Prof. Dr. Walter Schachermayer
Institut für Mathematik, Universität Wien

Univ.-Prof. Dr. Damir Filipović
Vienna Institute of Finance