报告题目：Optimal Reinsurance-Investment Strategy Under Volatility Ambiguity: A G-Expectation Approach

报告时间：2026年6月10日14：00-15：00

报告地点：10号楼415会议室

报告人：周倩倩

报告摘要：

The G-expectation framework provides a useful tool for studying financial problems under volatility uncertainty. In this paper, we investigate the optimal reinsurance-investment problem for an insurer within a general framework that incorporates uncertainties in both insurance market volatility and financial market volatility, where the claim diffusion process and the risky asset process are both driven by G-Brownian motions. The insurer is allowed to purchase proportional reinsurance and invest in a financial market consisting of a risk-free asset and a risky asset. Our objective is to maximize the G-expected utility of terminal wealth. By employing stochastic control techniques within the G-expectation framework, we derive explicit expressions for the optimal strategies and the value function under exponential utility. Our analysis shows that financial market ambiguity significantly influences the optimal strategy. Numerical examples illustrate the impact of key parameters, and the results demonstrate that incorporating ambiguity leads to a marked improvement in the value function compared with the classical setting.

报告人简介：

周倩倩，天津理工大学数学科学学院副教授，南开大学数学科学学院博士。研究领域为次线性期望理论、随机最优控制理论及其在金融保险中的应用。在Stoch. Proc. Appl.，J Math. Anal. Appl.，Chinese Ann. Math., B，Stoch. Models，Theory Proba. Appl.，Probab. Math. Stat.，Chinese J Appl. Probab. Statist.等期刊发表论文十余篇。目前主持国家自然科学基金青年项目C类一项，参与国家自然科学基金面上项目一项。