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报 告 人：程雪 教授 北京大学报告时间：2024.01.18(周四) 14:00-15:30报告地点：金融工程研究中心105报告摘要：The paper addresses the problem of meta order execution from a broker-dealers point of view in Almgren-Chriss model under order fill uncertainty. A broker-dealer agency is authorized to execute an order of trading on clients behalf. The strategies that the agent is allowed to deploy is subject to a benchmark, referred to as the reservation strategy, regulated by the client. We formulate the brokers problem as a utility maximizat
报告人：Professor X. Sheldon Lin, University of Toronto报告时间：2023年12月14日（周四）下午15点-16点报告地点：腾讯会议321-818-561报告摘要：In the underwriting and pricing of non-life insurance products, it is essential for the insurer to utilize both policyholder information and claim history to ensure profitability and proper risk management. In this presentation, we present a flexible regression model with random effects, called the Mixed LRMoE, which leverages both policyholder information and their claim history to classify
Speaker:Prof. Jian-Guo Liu, Duke UniversityDate:Dec 8, Friday, 2023, 3:30PM-5:00PMVenue:本部览秀楼105学术报告厅Abstract:Among various rare events, effectively computing transition paths that connect metastable states in a stochastic model remains a crucial problem. In this talk, I will present a stochastic optimal control formulation for transition path problems in an infinite time horizon, specifically for Markov jump processes on Polish spaces. An unbounded terminal cost, applied at a prescribed stoppin
报 告 人：许左权 教授 香港理工大学报告时间：2023.12.06(周三) 10:30-11:30报告地点：金融工程研究中心105学术报告厅报告摘要：We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing the incentive compatibility constraint on indemnity functions. The reinsurance premium is calculated under an extended distortion premium principle, in which the distortion function i
报 告 人：金含清 教授 牛津大学报告时间：2023.12.06(周三) 09:30-10:30报告地点：金融工程研究中心105学术报告厅报告摘要：We study a continuous time dynamic optimal stopping problem with a flow of preferences, which can be in non-expectation form and can depend on both the current time and state of the system in general. We will define a solution to the problem by the rationality of the agent, and compare it with other solutions appeared in literature.个人主页：https://www.maths.ox.ac.uk/people/hanqing.jin
报 告 人：孟江华，凯美瑞德（苏州）信息科技股份有限公司CTO报告时间：2023年12月7日 下午17：00-18：00报告地点：本部览秀楼105学术报告厅报告摘要：伦敦同业拆借利率（LIBOR）是国际金融市场最重要的基准参考利率，曾在全球逾百万亿美元金融市场中有着巨大的影响力。2008年金融危机后，随着Libor利率操纵案的爆发，全球金融市场开始了Libor利率替换的进程，截至2023年6月底，Libor利率已经被SOFR、SONIA、ESTR等新基准利率所替代。为避免步Libor的后尘，更有效的防范人为利率操控，新基准利率引入了基于隔夜利率的Look back、Backward shift、Last reset等新的利率计算规则。本次报告将介绍Libor这一全球重要基准利率的替换过程，分析基准替换对市场的影响，并讲解新基准利率引入的几种新的利率计算规则的设计思想和详细算法。报告人简介：孟江华，凯美瑞德（苏州）信息科技股份公司CTO。1999年毕业于清华大学精密仪器系，获学士学位；2006年毕业于清华大学计算机系，获博士学位。主要从事金融市场投资交易及风险管理系统研发工作，聚焦于投资
报告人：Professor Zhuo Jin, Department of Actuarial Studies and Business Analytics, Macquarie University, Sydney, Australia报告地点：金融工程研究中心105学术报告厅报告时间：2023年12月18日 下午16：00—17:00点报告摘要: For cyber risk management, a cluster-based method is developed to investigate the risk of cyber-attacks in the continental United States. The proposed analysis considers geographical information on cyber incidents for clustering. By clustering state-based observations, the frequency and severity of cyber losses demonstrat
报 告 人：谢杰华 南昌工程学院 教授报告时间： 2023年12月1日（周五） 18：30-19：30报告地点：#腾讯会议：104 462 053报告摘要：The copula function is one of the most important theoretical tools to model the dependency, which can describe the dependence structure between random variables flexibly, and thus has been widely applied in the areas of insurance, finance and risk management. In the talk, we will present our recent progresses in the copula theory and its applications on Value-at-Risk for multiple risks.报告人简介：谢杰华，教授、北京大学博士、江西省首批“千人计划”领军
主讲人：江南大学陈文婷教授时间：2023年12月1日（星期五）上午10:30--11:30地点：览秀楼105学术报告厅报告摘要：In this talk, the pricing of foreign exchange options is considered under a modified Heston–Cox– Ingersoll–Ross hybrid model. This modified model reserves all the characteristics of the Heston–Cox–Ingersoll–Ross model and also additionally assumes regime switching in the key parameters of the volatility as well as the domestic and foreign interest rates. Even though complicated, we have derived a closed-form pricing formula for fore
报 告 人：任艳霞，北京大学数学学院，北京大学统计科学中心教授, 博士生导师报告时间：2023年11月10日（周五）上午10:00-11:00报告地点：金融工程研究中心105学术报告厅报告摘要：We review some known results on stationary measures for critical or subcritical Galton-Watson Processes. Then we consider continuous-state branching processes which become extinct almost surely. First, we tackle the problem of describing the stationary measures on (0,∞) for such CB processes. We give a representation of the stationary measure in terms of scale functions of related Levy processes. The
报告人：Song-Ping Zhu教授时 间：2023年12月1日（星期五）15：30 --17:00 地 点：览秀楼105室报告摘要:With Evergrandes recent bankruptcy protection application in the US, my research in the area of pricing Parisian and Parasian options over the past 10 years may help more companies to understand how to properly manage a bankruptcy protection application with the aid of down-and--out Parasian options.With only one character difference between the two words ``Parisian and ``Parasian, pricing an American-style Parasian option is dr
报 告 人：Seva Shneer 报告时间：2023年10月25号 18:30 - 19:30 报告地点：#腾讯会议：966-254-484报告摘要：The current reinsurance market is extremely concentrated. The interconnections among reinsurers can be intertwined due to retrocession (i.e., reinsurance on reinsurance), causing reinsurance spirals. In this paper, we aim at a quantitative understanding of the role of retrocession in the health of reinsurers. To this end, we construct a static insurance–reinsurance network in which insurers purchase reinsurance and reins
报 告 人：Dimitrios G. Konstantinides 报告时间：2023年11月3号 15:30 - 17:00 报告地点：览秀楼105学术报告厅报告摘要：Consider an insurer with d lines of business and the freedom to make risk-free and risky investments. The investment portfolio price process is described as a general càdlàg process. It is assumed that the claim sizes from different lines of business and their common inter-arrival times form a sequence of independent and identically distributed (i.i.d.) random pairs, each pair obeying a particular dependence str
报 告 人：杨舟 教授 华南师范大学报告时间：2023.10.23(周一) 13:30-14:30报告地点：金融工程研究中心105学术报告厅报告摘要：In this paper, we study the optimization problem of an economic agent who chooses the best time for retirement as well as consumption and investment in the presence of a mandatory retirement date. Moreover, the agent faces the borrowing constraint which is constrained in the ability to borrow against future income during working. By utilizing the dual-martingale method for the borrowing constraint, we derive a dual two-pe
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