Title<\/strong>: Principal-Agent problem in insurance: from discrete-to continuous-time<\/p>\n Abstract:<\/b> 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.<\/p>\n A recorded video of the conference is here<\/a>;\u00a0 the slides can be downloaded here<\/a><\/p>\n Venue<\/strong>: Online via Google Meet here<\/a><\/p>\n A brief biography of the speaker<\/span><\/span><\/strong>: Nicol\u00e1s Hern\u00e1ndez 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 Universit\u00e9 Paris-Dauphine and Universidad de Chile. His research areas of interest are Contract theory, stochastic control, mathematical finance, probability, optimization, game theory.<\/p>\n Coordinators<\/strong>: Fabi\u00e1n Flores-Baz\u00e1n (Universidad de Concepci\u00f3n) and Abderrahim Hantoute (CMM)<\/p>\n","protected":false},"excerpt":{"rendered":" Speaker: Doctor Nicol\u00e1s Hern\u00e1ndez Center for Mathematical Modeling (CMM), Universidad de Chile, Santiago, Chile Date:\u00a0 October 07,\u00a0 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. … Continue reading Principal-Agent problem in insurance: from discrete- to continuous-time<\/span>