报告题目：Optimal two-dimensional reinsurance strategies with dependent risks

报告人：Jun Cai, University of Waterloo , Canada

（加拿大滑铁卢大学统计与精算系终身教授）

报告时间：3月30日下午4：00

报告地点：学术会堂706

摘要：

Assume an insurer has two lines of business. The losses in the two lines of business are dependent random variables. Each of the two lines of business adopts a reinsurance strategy. Thus, an admissible reinsurance policy for the insurer is a two-dimensional random vector. In this talk, I will present some results on the optimal two-dimensional reinsurance strategies under different optimization criteria and discuss the effect of the dependence structure of the losses on the optimal two-dimensional reinsurance strategies.

[编辑]：孙颖