主题：Optimal Dividend, Investment, and Risk Control Strategies under a Dynamic Contagion Model
主讲人：孙中洋 曲阜师范大学
主持人：王国长 暨南大学
时间：2025年7月4日（周五）下午14:30-15:30
地点：暨南大学石牌校区经济学院（中惠楼）102室
摘要
This paper proposes a jump-diffusion model for risky assets, in which the jump component is governed by a multidimensional dynamic contagion process that captures contagion risks induced by both endogenous mechanisms and exogenous shocks. The insurer aims to maximize the expected discounted utility of dividends through the joint optimization of dividend distribution, policy issuance and surplus investment. The model also incorporates dependence between financial and insurance markets. Using the dynamic programming principle and the associated Hamilton–Jacobi–Bellman (HJB) equation, we prove the existence of optimal strategies under a logarithmic utility function. A verification theorem is established based on the ergodic property of the contagion process. Under a specific factor structure, explicit optimal strategies are derived. Numerical examples illustrate how the optimal strategies evolve with the contagion intensity.
主讲人简介
孙中洋，曲阜师范大学教授、博士生导师，山东省高等学校优秀青年创新团队负责人。研究方向包括精算数学、数理金融与随机最优控制。先后主持国家自然科学基金项目2项，山东省自然科学基金等省部级科研项目4项。在《SIAM Journal on Control and Optimization》《Scandinavian Actuarial Journal》《Applied Mathematics and Optimization》《Journal of Optimization Theory and Applications》等期刊发表论文20余篇，出版学术专著1部。
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校对|王国长
责编| 彭毅
初审| 姜云卢
终审发布| 何凌云
（来源：暨南大学经济学院微信公众号）
