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报告人：山东大学陈增敬教授报告时间：2023年7月17日下午16:00-17:30报告地点：腾讯会议613-412-158报告摘要：As laser chaos has been proven to be a robust tool to solve the multi-armed bandit (MAB) problem, in this report, we investigate the problem of multiuser dynamic channel assignment using laser chaos in cognitive radio networks with finite channels and users. A novel dynamic channel assignment algorithm with laser chaos series for multiple users, named parallel processing learning with laser chaos (PPL-LC) algorithm, is proposed to
报告人：山东大学陈增敬教授报告时间：2023年7月17日下午14:30-16:00报告地点：腾讯会议613-412-158报告摘要：Normal distribution occupies a ”central” position in probability theory. The classical central limit theorem indicates that a group of random variables will uniformly converge to normal distributions under certain conditions. A natural question is whether normal distribution still occupies a ”central” position in quantum theory. To answer this question, this report investigates the central limit theorem for three-state quantum wal
报告人：山东大学陈增敬教授报告时间：2023年7月17日下午16:00-17:30报告地点：腾讯会议613-412-158报告摘要：In the security market, there are two pieces of advice that often affect the decisions of stock investors. One is dont put all your eggs in one basket, the other is dont put your eggs in too many baskets. Therefore, an open question is how many baskets should eggs be put in? Although there are much literature trying to solve this problem, there is no satisfactory conclusion due to many different views on the exact criterion betwee
报告人：山东大学陈增敬教授报告时间：2023年7月16日下午14:30-16:00报告地点：腾讯会议613-412-158报告摘要：In this talk, we study the asymptotic behavior of dynamic coherent risk measures in general settings regardless of specific representations of the risk measures. In particular, we develop three different types laws of large numbers (LLN) for the average values of portfolios. These LLNs capture the limiting behavior of time-consistent dynamic coherent risk measures under appropriate conditions. Our results apply to general probabil
报告人：山东大学陈增敬教授报告时间：2023年7月16日上午10:00-11:00报告地点：腾讯会议613-412-158报告摘要：The myopic strategy is one of the most important strategies when studying bandit problems. In 2018, Nouiehed and Ross put forward a conjecture about Feldman’s bandit problem (J. Appl. Prob. (2018) 55, 318–324). They proposed that for Bernoulli twoarmed bandit problems, the myopic strategy stochastically maximizes the number of wins. In this paper we consider the two-armed bandit problem with more general distributions and utility
Speaker:Prof. Min Dai, Hong Kong Polytechnic UniversityTime: July 18 (Tuesday), 2023, 15:00-16:30Venue:览秀楼205Abstract:An investor receives utility bursts from realizing gains and losses at the individual-stock level (Barberis and Xiong, 2009, 2012; Ingersoll and Jin, 2013) and dynamically allocates his mental budget between risky and risk-free assets at the trading-account level. Using savings, he reduces his stockholdings and is more willing to realize losses. Using leverage, he increases his s
报告人：上海交通大学，林一青副教授时 间：2023年7月11日，星期二 9:30-10:30地 点：览秀楼 105报告厅报告摘要：我们将介绍包含均值反射的G-布朗运动驱动的系数平方增长型的倒向随机微分方程，并给出一些金融应用。在报告中，我们将讨论上述方程的存在唯一性以及相应的解的表示和估计。通过不动点原理和theta-方法，我们可以将方程的适定性问题从终端有界的情形扩展到无界的情形。本报告基于与顾子昊和徐坤的共同研究。个人简介：林一青，上海交通大学数学科学学院副教授。2013年在法国雷恩一大和中国山东大学获博士学位，之后在奥地利维也纳大学和法国巴黎综合理工学院工作，2018年加入上海交通大学。主要研究方向是非线性随机分析和不完备市场上的效用最大化问题。
报 告人：Harry Zheng教授时 间：2023年7月11星期二 15：00 --16:30 地 点：览秀楼105室报告摘要:We present a continuous-time portfolio selection problem faced by an agent with S-shaped preference who maximizes the utilities derived from the portfolios periodic performance over an infinite horizon. The periodic reward structure creates subtle incentive distortion. In some cases, local risk aversion is induced which discourages the agent from risk taking in the extreme bad states of the world. In some other cases, eventual ruin
报告题目:Multifactor market sentiment risk index报告人：夏厚芹，长安基金管理有限公司，专户投资部副总监, 投资经理报告时间：2023年6月16日（周五）下午16:30点-17:30点报告地点：腾讯会议：877-662-173报告摘要：There are a number of measures of market risk preference today. The most famous is the Fear Index (VIX), which is inverted from option trading prices to measure market sentiment. This is the implied volatility of the SP 500 index for the next 30 days, but this is the market sentiment indicator for US stocks.In A-shares, there are many indicators to observe mark
主 讲 人：University of Illinois at Urbana-Champaign 冯润桓教授报告时间：2023年6月26日（星期一）上午10：00—11：00报告地点：览秀楼105报告摘要: 从古罗马的丧葬协会到当代区块链技术，去中心化保险的理念始终贯彻着人类各地区文明对风险管控不断创新的各种组织形式。我们将系统梳理来自欧美的P2P保险、中东地区的Takaful（回教保险）、发源于中国的网络互助和借助区块链技术产生的DeFi保险等类保险业态的发展历史和运营模式，来解析去中心化保险的基本精算原理，并提出针对以上去中心化保险的统一理论分析框架。主讲人简介：冯润桓博士，现为美国伊利诺伊大学厄巴纳香槟分校终身教授，State Farm 保险集团讲席教授，精算专业主任、预测分析与风险管理专业创始主任，伊利诺伊州立大学系统创新合作研究所金融保险方向主管。北美精算协会高级精算师、注册企业风险分析师。其主要研究领域为风险理论、投连险、养老规划、金融保险科技创新。现担任北美精算师协会科研决策委员会委员、曾担任北美精算师协会教育与科研组理事会主席。曾为伊利诺伊州议会人事与养老金委员会议员合
报告题目：Stochastic differential game between an insurer and a reinsurer under thinning dependence structure报告人：梁志彬，南京师范大学教授、博士生导师报告时间：2023年6月19日（周一）下午2:00-3:00报告地点：#腾讯会议：332-737-027报告摘要：This talk investigates a non-zero-sum stochastic differential investment and reinsurance game between an insurer and a reinsurer. It is assumed that the insurer can purchase proportional reinsurance and the claim businesses between the insurer and the reinsurer are dependent through thinning dependence structure. Be
报告题目：Distorted Mix Method for Constructing Copulas with Tail Dependence报告人：杨静平教授、博士生导师，报告时间：2023年6月19日（周一）下午2:00-3:00报告地点：#腾讯会议：332-737-027报告摘要：We willintroduce a method for constructing copula functions by combining the ideas of distortion and convex sum, named Distorted Mix Method. The method mixes different copulas with distorted margins to construct new copula functions, and it enables us to model the dependence structure of risks by handling central and tail parts separately. By applying th
报告人：陈增敬 教授 山东大学报告时间：2023.06.12(周一) 10:00-11:30报告地点：金融工程研究中心105报告厅报告摘要：For the Bernoulli bandit problem, Nouiehed and Ross proposed a conjecture thatthe strategy ofalways playing the arm with a higher probability of being the bestarm, stochastically maximizes the number of wins. In this talk, we consider thetwo-armed bandit problem with more general distributions and a utility function.We confirm this conjecture by proving a stronger result: if the agent playing thebandit has a utility function,
主讲 人：Stevens Institute of Technology, 崔振嵛副教授报告时间：2023年6月7日（星期三）上午10：00—11：00报告地点：腾讯会议：725-560-567报告摘要: In this talk, I discuss three recent research streams of mine: continuous-time Markov chain (CTMC) approximation, Delta family method, and diffusion operator integral (DOI) method. I choose the common topic of stochastic control to illustrate the three methods, although they have much wider applications in contextual areßas. In particular, I shall discuss three alternative methods to solve stoc
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