龙马奋进 · 校庆70周年学术系列讲座

精算论坛第161期讲座 —姚定俊、赵霞、赵慧、周杰明、张楠(6月14日)

教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第161期讲座

(2019年6月14日)

一．报告人：姚定俊

  南京财经大学金融学院教授，副院长，南京财经大学“青年拔尖人才”，江苏省“333工程”第三层次中青年学术带头人。2010年博士毕业于华东师范大学金融与统计学院，多次访问滑铁卢大学、香港大学和新南威尔士大学，主要从事保险精算、金融风险管理等方面研究。主持国家自然科学基金、国家社科基金重大项目子课题，教育部人文社科基金等4项省部级以上项目，在《ASTIN Bulletin》 《European Journal of Operational Research》 《中国科学》等期刊上发表学术论文30余篇。  

报告时间：2019年6月14日（周五）下午14:00—14:40

报告题目：Optimal dividend and reinsurance problems forthe risk model with common shock dependence            

报告摘要:

This paper discusses the optimal dividend and reinsuranceproblems when an insurance company has two lines of business with common shockdependence. Suppose that the insurance company can purchase proportionalreinsurance to reduce ruin probability and pay dividends to keep competitive.The expected premium principle is applied in pricing. The goal is to find out theoptimal strategies for maximizing the expected cumulative discounted dividends.By using the stochastic control techniques, we solve the problems in both casesof positively correlated and negatively correlated models, respectively. Theclosed-form solutions of the optimal strategies and associated value functionsare presented.

二．报告人：赵霞

   赵霞，女，理学博士，应用经济学博士后，教授。1994年毕业于曲阜师范大学获理学学士学位；1998年毕业于浙江大学获理学硕士学位；2002年毕业于山东大学获理学博士学位；2004-2006于中国人民大学应用经济学博士后流动站工作。2005-2006、2008-2009访问美国北卡罗来纳大学数学与统计系；2013-2014访问加拿大滑铁卢大学统计与精算系。1998-2007年工作于山东财经大学，2017年5月进入上海对外经贸大学工作至今。研究兴趣为风险管理与精算、金融统计。主持国家自然科学基金面上项目2项、教育部人文社科项目2项、其他省部级项目3项。在国内外重要学术期刊发表学术论文40余篇, 5项研究成果曾获得省部级奖励。  

报告时间：2019年6月14日（周五）下午14:40—15:20

报告题目：Multi-objective portfolio strategy with heterogeneous risk aversion          

报告摘要:

Considering the existence of different riskattitude from investors, this paper studies multi-objective portfolio strategybased on the mean-variance-CVaR criterion with heterogeneous risk aversion. Wefirst adjust the kurtosis coefficient asclusterfeature to cluster assets and then use CVaR with different confidence levels tomeasure the tail-risks of different asset groups. Based on the idea ofprogressive optimization, we propose two kinds of multi-objective optimizationmodels in consideration of expected return, variance and CVaR with differentconfidence level. Through simulation and empirical study, we analyze theability of risk control, the robustness of out-of-performance and thedifference of accumulated return resulted from risk attitude under differentoptimization models. The results show that the proposed models can bettercontrol risk and give investors personalized investment advice in comparisonwith the traditional mean-variance-CVaR model，and the second proposed model loosening the weightconstraints performs best.  

三．报告人：赵慧

   赵慧，天津大学数学学院副教授，现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员，主持国家自然科学基金青年项目和面上项目各一项，在精算领域重要期刊《Insurance:Mathematics and Economics》和《Applied Mathematics andComputation》、《Journal of Computational and AppliedMathematics》等数学期刊发表论文20余篇，天津市131创新型人才培养工程第三层次人选，国家精品在线开放课程《概率论与数理统计》主要参与人。  

报告时间：2019年6月14日（周五）下午15:30—16:10

报告题目：Optimal investment and benefit payment strategy under loss aversion fortarget benefit pension plans          

报告摘要: In this paper, we considerthe optimal investment and benefit payment strategy for a target benefit plan(TBP), where the plan members are loss averse with an S-shaped utility overbenefit relative to a time-varying target benefit level. The pension paymentsare dependent on the financial situation of the plan, with risk sharing betweendifferent generations. The pension fund is invested in both a risk-free assetand multiple risky assets.  Using the martingale method, we derive theoptimal investment strategy and optimal benefit payment policy, explicitly,which minimizes the interim utility of the benefit risk in terms of deviatingfrom the benefit target. Finally, some numerical examples and sensitivityanalyses are provided to show the effects of market parameters on the optimalstrategies. We also compare the optimal benefit payment policy for loss-averseparticipants with that of constant relative risk averse (CRRA) participants bynumerical results. We find that the TBP model  for loss-averseparticipants is effective in providing a stable and sustainable pension accountfor participants.

四．报告人：周杰明

   周杰明，副教授，湖南师范大学数学与统计学院，统计与金融数学系副系主任，湖南师范大学“世承人才计划”青年优秀人才。主持1项国家自然科学基金青年项目，参与6项国家自然科学基金项目。一直从事保险风险理论中的破产问题和随机控制问题研究，先后在Insurance: Mathematics and Economics, Journal of Computational andApplied Mathematics，Mathematical Methods of OperationsResearch，Statistics & Probability Letters，Acta Mathematica Scientia等国内外期刊发表 SCI/SSCI 收录论文 10多篇。担任过European Journal of OperationResearch，Insurance: Mathematics and Economics，Scandinavian Actuarial Journal, Journal of Economic and DynamicControl，Science China Mathematics等期刊的匿名审稿专家。  

报告时间：2019年6月14日（周五）下午16:10—16:50

报告题目：Somestochastic control problems with penalty in actuarial

报告摘要:

In this topic, we first introduce somestochastic control problems with penalty in actuarial. There are a variety ofpenalties under different optimization objectives. We will share some research experiences in this area,and introduce some recentthoughts.

五．报告人：张楠

   张楠，华东师范大学经济与管理学部统计学院讲师（晨晖学者）。2010年7月于曲阜师范大学数学科学学院获理学学士学位。南开大学数学学院与墨尔本大学精算中心联合培养双学位硕士，于2012年12月和2013年6月分别获得墨尔本大学精算学硕士学位和南开大学应用数学理学硕士学位。2013年7月至2017年8月获墨尔本大学商务与经济学专业哲学博士学位，主要从事保险精算、金融数学、随机微分博弈等领域的研究，现已在IME、JCAM等保险精算领域的权威期刊公开发表论文7篇.  

报告时间：2019年6月14日（周五）下午16:50—17:30

报告题目：Stochastic differential reinsurance games withcapital injections        

报告摘要: This paperinvestigates a class of reinsurance game problems between two insurancecompanies under the framework of non-zero-sum stochastic differential games.Both insurers can purchase proportional reinsurance contracts from reinsurancemarkets and have the option of conducting capital injections. We assume thereinsurance premium is calculated under the generalized variance premium principle.The objective of each insurer is to maximize the expected value thatsynthesizes the discounted utility of his surplus relative to a referencepoint, the penalties caused by his own capital injection interventions, and thegains brought by capital injections of his competitor. We prove theverification theorem and derive explicit expressions of the Nash equilibriumstrategy by solving the corresponding quasi-variational inequalities. Numericalexamples are also conducted to illustrate our results.

报告地点：学术会堂南楼506（中国精算研究院会议室）  

欢迎各位老师和同学积极参加！