地点：行健楼学术活动室665
Abstract：This work focuses on optimal portfolio problem of the insurance company. The insurer manages its financial risk through purchasing proportional reinsurance, and investing its wealth in the Levy financial market. We model risk process by Brownian motion with drift, and study the optimization problem of maximizing wealth-path dependent mean-variance utility under the controls of reinsurance and investment.Using stochastic control theory, we obtain explicit expressions for optimal polices and value function.