报告人：Professor Hailiang Yang，Department of Statistics and Actuarial Science，The University of Hong Kong，Hong Kong

报告时间：6月22日10:00-11:00

报告地点：Join Zoom Meeting https://hku.zoom.us/j/93781854743?pwd=dm9ZYmp5WGROUHA3WU1UWmFpUGhzdz09

      Meeting ID: 937 8185 4743 Password: 470091

报告摘要：This paper studies deep learning approaches to find optimal reinsurance and dividend strategies for insurance companies. Due to the randomness of the  financial ruin time to terminate the control processes, a Markov chain approximation-based iterative deep learning algorithm is developed to study this type of infinite-horizon optimal control problems. The optimal controls are approximated as deep neural networks in both cases of regular and singular types of dividend strategies. The framework of Markov chain approximation plays a key role in building the iterative equations and initialization of the algorithm. We implement this self-learning approach to approximate the optimal strategies and compare the learning results with existing analytical solutions. Satisfactory computation efficiency and accuracy are achieved as presented in numerical examples.

个人简介：Hailiang Yang, Ph.D., ASA, HonFIA,  received his PhD degree from University of Alberta and Master in Actuarial Science from University of Waterloo. He joined the University of Hong Kong in 1996 and is currently a Professor in the Department of Statistics and Actuarial Science. Hailiang Yang’s research is on actuarial science and mathematical finance. He has worked with many leading figures in the field. He has supervised more than 20 research students, his graduate students are, in many cases, now well-known researchers in their own right. He is an editor of Insurance; Mathematics and Economics and associate editor of five other journals. He is an Associate of Society of Actuaries, and he was elected as an Honorary Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Swiss Association of Actuaries in 2014. He is an elected member of the International Statistical Institute. He receive an Outstanding Researcher Award from The University of Hong Kong in 2013-2014.

邀请人：王过京