报告题目：Optimal dividend problems with a probability criterion

报告人：郭先平教授，中山大学数学院

报告时间：2020年10月30日下午5:00-6:00

报告地点：数理楼362室

摘要：This talk is on a discrete time optimal dividend payout problem with a risk probability criterion. Different from the expected dividends in the existing literature, our emphasis is the probability that total dividends of the insurance company do not reach a given dividend goal before ruin. We aim to find an optimal dividend policy to minimize the probability. In this talk we will show the dividend model based on Markov decision processes, give suitable conditions for computing the value function and optimal policies, identify the property of the value function and the structure of optimal dividend policies, and demonstrate our main results with an example.

郭先平简介:中山大学数学院教授、博士生导师，现任中国概率统计学会理事，美国《Mathematical Reviews》和德国《Zentralblatt MATH》的评论员。国家杰出青年科学基金获得者，广东省珠江学者特聘教授 ，入选教育部“新世纪优秀人才支持计划”和教育部“优秀青年教师资助计划；已在国内外重要学术期刊上发表了大量高水平文章,主要成果已发表在国际权威刊物Ann. Appl. Probab.，IEEE Trans. Autom. Control，SIAM J. Optim.，SIAM J. Control Optima.，Math. Oper. Res.，J. Appl. Probab.，Automatica，Bernoulli，Acta Appl. Math.和《科学通报》等上，在部分可观察的MDPs和扰动分析，连续时间MDPs和随机对策，非平稳MDPs和排队系统的最优控制等方面的研究取得系列重要成果,得到国际上许多资深概率学者的高度评价。