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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
报告题目: Optimization Methods for AI with Applications and More报告人: Prof Jianming Shi School of management, Tokyo University of Science 报告时间: 2023.04.02Sunday, 16:00-17:00报告地点: 览秀楼105学术报告厅报告人简介: 施建明, 东京理科大学管理学院商业经济系教授，日本工程院外籍院士，我校数学科学学院1982届校友，研究领域为数值优化理论及其在大数据分析及机器学习中的应用。
报告人：Dr. Fraser Daly Associate Professor Heriot-Watt University时 间：2023年3月30 星期四19：00 -- 20:00 地 点：腾讯会议：499-258-340报告摘要:Let $Y=X_1+\cdots+X_N$ be a sum of a random number of random variables, where the random variable $N$ is independent of the $X_j$. Such random sums arise in many applications, including in the areas of financial risk, hypothesis testing and physics. Classically, the $X_j$ are assumed to be independent, in which case central limit theorems and other distributional approximation r
报告题目：Credibility theory under the least squared relative lossfunction报告嘉宾：张艺赢，助理教授，南方科技大学数学系报告时间：2023年3月24日（周五）上午10：00-11：00报告地点：腾讯会议538-779-644嘉宾简介：张艺赢，南方科技大学数学系助理教授，博士生导师。2018年9月获得香港大学精算学博士学位，后赴鲁汶大学和阿姆斯特丹大学学术访问，2019.1-2021.8在南开大学统计与数据科学学院工作，任助理教授，2021年8月加入南方科技大学数学系，任助理教授。主要研究方向为风险管理与保险精算、应用概率与统计及可靠性理论，目前共发表SCI/SSCI/EI论文60余篇，研究成果主要发表在保险精算四大顶级期刊Insurance: Mathematics and Economics、ASTIN Bulletin、North American Actuarial Journal、Scandinavian Actuarial Journal，运筹学与管理科学领域权威期刊European Journal of Ope
报告人：Dangxing Chen, Assistant Professor, Duke Kunshan University报告时间: 2022年12月20日（周二）下午3:00-4:00报告会场：腾旭会议 773-6902-9240Abstract:For many years, machine learning methods have been used in a wide range of fields, including computer vision and natural language processing. Even though machine learning methods significantly improve model performance over traditional methods, their black-box structure makes it difficult for researchers to interpret the results. For highly regulated sectors, such as the
报告主题：The Optimal Payoff for a Yaari Investor主讲人：布鲁塞尔自由大学Steven Vanduffel 教授时间：2022年12月2日（星期五）下午16:30--17:30地点：腾讯会议957-854-494.报告摘要：Yaaris dual theory of choice under risk is the natural counterpart of expected utility theory. While optimal payoff choice for an expected utility maximizer is well studied in the literature, less is known about the optimal payofffor a Yaari investor. We perform a fairly general analysis and derive optimal payoffs in a variety of relevant cases. Specifically, we prov
题目：Weak equilibriums for time-inconsistent stopping control problems报告人：梁宗霞，清华大学数学科学系，教授时间：2022.12.02(周五) 9:30-10:30地点：腾讯会议：161-814-539摘要：We consider time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). Wepropose concepts of weak equilibriums on the time-inconsistent stopping control problems under general multi-dimensional controlled diffusion model. We show that an admissible pair $(\hat{u},C)$ of contr
报告题目：Systemic risk measures based on tail risk projections主讲人：以色列本古里安大学Tomer Shushi博士时间：2022年11月17日（星期四）下午19:00--20:00地点：腾讯会议461-190-583报告摘要：Systemic risks have been proved to be extremely harmful to the Financial system, with a potential for a catastrophic failure occurring when risks are mutually dependent. In practice, risk managers that focus on the possibility of a crisis are confronted with not only one risk but rather a system of risks (such as several business lines). So the world of ris
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