English
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
报 告 人：周倩倩，南京邮电大学理学院统计系讲师报告时间：2023年5月31日（周三）下午2:30-3:30报告地点：腾讯会议：237-207-507报告摘要：In this talk we consider the limit theorems with convergence rates in sublinear expectation space. We first concisely go through some basic concepts in the area of sublinear expectation space, such as the definitions of sublinear expectation, maximal distribution, G-normal distribution and so on. Then we preview some existed results that about the limit theorems in sublinear expectations. Finally, we introduce the re
报 告 人：张志民，重庆大学教授、博士生导师报告时间：2023年5月31日（周三）下午1:30-2:30报告地点：腾讯会议：237-207-507报告摘要：This paper deals with the valuation of variable annuities with guaranteed minimum maturity benefits under a regime-switching Levy model. In particular, we factor in two practical features of these products: 1) allows the policyholder to surrender at a set of predetermined tenor times before maturity with an offered surrender benefit; 2) contains a periodic fee structure as a proportion of the policyholders account, giv
报告时间：4月26日星期三晚上18:30-19:30报告地点：腾讯会议426-237-479报告摘要：Following recent studies ofsystemic riskin banking, finance, and insurance, we quantify systemic expected shortfall (SES) and marginal expected shortfall (MES) in a general context of quantitative risk management and link them to a confidence level. For this purpose, we consider a system comprising multiple individuals (sub-portfolios, lines of business, or entities) whose loss-profit variables are modeled by randomly weighted random variables s
报 告 人：王文元，男，厦门大学数学科学学院副教授、博士生导师报告时间：2023年4月21日（周五）下午3点-4点报告地点：#腾讯会议：877-662-173报告摘要：In this talk, De Finettis optimal dividend problem with capital injection under spectrally positive Markov additive models is studied. Based on dynamic programming principle, we first study an auxiliary singular control problem with a final payoff at an exponential random time. The double barrier strategy is shown to be optimal and the optimal barriers are characterized in analytical form using fluctuation identi
报 告 人：胡亦钧，武汉大学数学与统计学院，教授, 博士生导师报告时间：2023年4月21日（周五）下午2点-3点报告地点：腾讯会议：877-662-173报告摘要：In this talk, I will present a novel axiomatic framework of measuring the joint risk of a portfolio consisting of several financial positions. Precisely, from the liquidity shortfall aspect, we first construct a distortion-type risk measure to measure the joint risk of portfolios, which we refer to as multivariate distortion joint risk measure, representing the liquidity shortfall caused by the joint risk of portf
报告人：伍慧玲，中央财经大学中国精算研究院教授，博士生导师报告时间：4月12日星期三，上午10:00 – 11：00报告地点：腾讯会议：295-127-194报告摘要: 退休后最优投资决策经常采取目标定位模型. 然而, 传统的目标定位模型无法很好地控制下方风险, 即事件“在未来时刻购买年金提供的消费水平低于在退休时刻购买年金提供的消费水平”发生概率较高. 本文在传统的目标定位模型里引入安全第一准则, 大大降低了下方风险发生概率. 利用拉格朗日乘子法、动态规划方法和嵌入法得到了最优策略的半解析解. 通过数值算例对比分析了传统目标定位模型和本文模型的下方风险发生概率、终身累计消费均值和破产事件发生次数的性质.报告人简介伍慧玲，教授，博士生导师，主持多项国家自然科学基金项目和教育部人文社科项目以及1项中央财经大学创新团队项目，参与多项国家级自然科学基金面上项目、北京市哲学社会科学重点项目、教育部人文社科基地重大项目，以及国家社科基金重点项目。研究方向为最优投资组合、养老金管理，其研究成果发表在系统工程理论与实践，中国管理科学学报，管理评论，运筹与管理，Insurance: Mathemati
报告人：李津竹，南开大学数学科学学院教授，博士生导师报告时间：4月12日星期三，上午9:00 – 10：00报告地点：腾讯会议：295-127-194报告摘要: Consider a financial or insurance system with a finite number of individual risks described by real-valued random variables. We focus on two kinds of risk measures, referred to as the tail moment (TM) and tail central moment (TCM), which are defined as the conditional moment and conditional central moment of some individual risk in the event of system crisis. Asymptotic expressions are derived for the TM and TCM wit
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