报告时间：7月25日下午1:00-2:00
报告地点：统计楼103
报告人：Zhuo Jin, The University of Melbourne, Australia
报告题目：Dividend Optimization under Liability Constraints
Abstract：We will consider asset and liability management of insurance companies in several cases. The insurer is risk averse and aims to maximize the expected total dis-counted value of the utility of dividends paid out under the liability management constraint. Using dynamic programming principle, the value function is the solution of a second-order nonlinear Hamilton-Jacobi-Bellman equation. The explicit solution of the value function is derived and the corresponding optimal liability ratio and dividend payment strategies are obtained in some special cases.