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报告时间: 3 Apr, 2024, 16:00-17:00报 告 人:金含清，牛津大学教授报告地点:览秀楼105学术报告厅报告摘要: We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment behavior of sophisticated consistent planners who seek (subgame perfect) intra-personal equilibrium strategies. We provide sufficient conditions under which an equilibrium strategy is a
报告时间: 3 Apr, 2024, 15:00-16:00报 告 人:Min Dai, Chair Professor, HK Polytechnic University报告地点:览秀楼105学术报告厅报告摘要: We develop a reinforcement learning method to learn an optimal trading strategy in the presence of transaction costs. Using a connection between singular control and a Dynkin game for portfolio choice with transaction costs, we learn the value function and optimal policy of an associated randomized Dynkin game, where a regularization term is incorporated to encourage exploration. We show
报告题目：Optimal ratcheting of dividends with capital injection报告人：福建师范大学数学与统计学院王文元教授报告时间：2024年3月30日下午3: 30 - 4: 30报告地点：苏州大学本部览秀楼105学术报告厅Abstract: In this talk, I shall introduce a recent work of mine, which investigates the optimal dividend problem with capital injection and ratcheting constraint with non-decreasing dividend payout rate. Capital injections are introduced in order to eliminate the possibility of bankruptcy. Under the Cram\er--Lundberg risk model, the problem is formulated as a two-d
报 告 人：张丽宏 教授，清华大学 经济管理学院报告时间：2024.03.11(周一) 9:30-10:30报告地点：金融中心105报告厅报告摘要：The widespread adoption of information technology has fundamentally transformed the way information is processed in the financial market. One such technological advancement is algorithm trading, which allows traders to develop sophisticated strategies based on historical price data. This raises important questions: Do these algorithm trading strategies contribute to market instability? When do they yield profits for differ
报 告 人：韦晓 中央财经大学，副教授报告时间：3月13日周三 18:30-19:30报告地点：#腾讯会议： 135-683-989报告摘要：We propose an efficient numerical method to calculate the Value-at-Risk for variable annuities under exponential L ́evy models. In the proposed approach, the prob bility density of the net liabilities is approximated using the theory of frames and Riesz bases. The key element of the numerical method is a new algorithm for calculating the integral of the exponential L ́evy process, approximated by a discrete sum whose expectat
报 告 人：孟辉 中央财经大学， 教授、博士生导师报告时间：3月12日18:30-19:30报告地点：#腾讯会议： 596-153-046报告摘要：In this work, we investigate the optimal per-claim reinsurance problem to minimize the insurers ruin probability. Inspired by the exponential upper bound of ruin probability in Cramér-Lundberg model, we take Lundberg exponent maximization as the value function. In the first part, we consider the optimal reinsurance problem under the combined upper moment premium principle. In the second part, we consider the optimal reinsu
报 告 人：夏笑女 博士 温州大学报告时间：2024.01.21(周日) 10:00-11:30报告地点：金融工程研究中心105报告摘要：In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we express the value function and the optimal state in terms of solutions to BSDEs on [0,T]. Then we study the long time limit of the value function and the optimal state by studying the convergence of the BSDEs as T goes to infinity. Moreover, we find that in a
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
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