### 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.

A recorded video of the conference is here; the slides can be downloaded here

**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)