Speaker: Doctor Nicolás Hernández
Center for Mathematical Modeling (CMM), Universidad de Chile, Santiago, Chile
Date: October 07, 2020 at 10:00
Title: Principal-Agent problem in insurance: from discrete-to continuous-time
Abstract: In this talk we present a contracting problem between an insurance buyer and the seller, subject to prevention efforts in the form of self-insurance and self-protection. We start with a static formulation, corresponding to an optimization problem with variational inequality constraint, and extend the main properties of the optimal contract to the continuous-time formulation, corresponding to a stochastic control problem in weak form under non-singular measures.
Venue: Online via Google Meet here
A brief biography of the speaker: Nicolás Hernández is currently a Postdoctoral Researcher at the Center for Mathematical Modeling (CMM), at Universidad de Chile. He obtained his PhD in 2017, as a cotutelle between Université Paris-Dauphine and Universidad de Chile. His research areas of interest are Contract theory, stochastic control, mathematical finance, probability, optimization, game theory.
Coordinators: Fabián Flores-Bazán (Universidad de Concepción) and Abderrahim Hantoute (CMM)