数学与统计学院学术报告——朱金霞博士

　　应兰州大学数学与统计学院邀请，澳大利亚新南威尔士大学 Senior Lecturer 朱金霞博士将于2015年10月10日—2015年10月14日来我校进行学术访问并做系列学术报告。

　　报告题目：Dividend optimization in a regime-switching general diffusion model with capital injections*
　　时   间：2015年10月12日10:00
　　地   点：齐云楼911

Abstract：

We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both capital injections and dividend payments incur expenses.  The objective is to maximize the expectation of the total discounted dividends minus the total cost of capital injections. We prove that it is optimal to inject capitals only when the surplus tends to fall below zero and to pay out dividends at the maximal rate when the surplus is at or above the threshold dependent on the environment regime.

朱金霞博士简介：

Dr. Jinxia Zhu is a senior lecturer and the Postgraduate Coursework Coordinator in the School of Risk and Actuarial Studies, UNSW Business School at the University of New South Wales, Australia. She holds a PhD degree in Actuarial Science from the University of Hong Kong, and MSc and BA in Mathematics from Lanzhou University. Her main research interests lie in the areas of optimal control in insurance and finance, and risk theory. She has published in leading international journals in the fields of Actuarial Science and Applied Probability including ASTIN Bulletin, Insurance: Mathematics and Economics, Journal of Applied Probability, Scandinavian Actuarial Journal, and Stochastic Processes and their applications. She is also a reviewer for many of the top international journals in Actuarial Science and Applied Probability.