龙马奋进 · 校庆70周年学术系列讲座
精算论坛讲座 第165期—张艺赢、彭幸春、陈律、张玲、赵正堂 (11月1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
精算论坛讲座 第165期
(2019年11月1日)
报告时间：11月1日下午13：:3--17:10
报告地点：学术会堂南楼506
报告题目一：Systemic risk:Conditional distortion risk measures
报告人：张艺赢
个人简介：
张艺赢，助理教授，南开大学统计与数据科学学院，于2018年在香港大学获得精算学方向哲学博士学位，2015年及2012年分别于兰州大学数学与统计学院分别获得理学硕士学位和学士学位。目前的研究方向主要集中在可靠性理论与统计(协同系统可靠性分析与优化)、风险管理(风险测度、系统风险、风险比较、资金分配)、保险精算（信度理论、最优再保险、个体风险模型）。已发表SCI/SSCI学术论文30余篇，其中包管理科学与工程领域知名期刊Naval ResearchLogistics, 保险精算领域知名期刊Insurance: Mathematics and Economics，ScandinavianActuarial Journal, ASTIN Bulletin。
报告摘要: In this talk, weintroduce the rich classes of conditional distortion (CoD) risk measures anddistortion risk contribution measures as measures of systemic risk and analyzetheir properties and representations. The classes include the well-knownconditional Value-at-Risk, conditional Expected Shortfall, and riskcontribution measures in terms of the VaR and ES as special cases. Sufficientconditions are presented for two random vectors to be ordered by the proposedCoD-risk measures and distortion risk contribution measures. These conditionsare expressed using the conventional stochastic dominance, increasing convex/concaveand dispersive orders of the marginals and canonical positive/negativestochastic dependence notions. Numerical examples are provided to illustrateour theoretical findings.
关键词：Systemicrisk; Conditional distortion risk measure; Stochastic orders; Dependence.
报告时间：2019年11月1日13：30-14：10
报告题目二：Mean-variance asset-liability management with partial informationand uncertain time horizon
报告人：彭幸春
个人简介：
彭幸春，副教授，武汉理工大学理学院，统计学系副系主任，中国工业与应用数学学会精算与保险青年专业委员会委员，美国《数学评论》评论员，湖北省现场统计研究会理事。主持1项国家自然科学基金青年项目和3项中央高校基金项目，参与3项国家自然科学基金项目。一直从事保险精算和金融数学的研究，先后在Insurance:Mathematics and Economics, Scandinavian Actuarial Journal, Journal ofComputational and Applied Mathematics，Communications in Statistics-Theory and Methods,Statistics & Probability Letters，Acta Mathematica Applicatae Scientia等国内外期刊发表 SCI/SSCI 收录论文 10多篇。担任过Scandinavian ActuarialJournal，Optimization，Science China Mathematics, Communications inStatistics-Theory and Methods等期刊的匿名审稿专家。
报告摘要:This paper studies amean-variance asset-liability management (ALM) problem with uncertain timehorizon and partial information. The asset-liability manager can invest in anincomplete financial market consisting of one riskless asset and n riskystocks. The stocks price process is described by a multidimensional diffusionprocess with random coefficients. The uncontrollable liability process ismodelled by a general diffusion process with hedgeable risks and unhedgeablerisks. The uncertainty of the time horizon is assumed to come from randomnessof financial assets and the liability and some other stochastic factors. Theasset-liability manager may get only partial information about the liability.We derive the efficient strategies and efficient frontiers in terms of thesolutions of two BSDEs under complete and partial information. The closed formexpressions of efficient strategies and efficient frontiers are obtained undersome special cases.
关键词：Asset,Liability, Uncertain time horizon, Partial information, BSDE
报告时间：2019年11月1日14：10-14：50
报告题目三：Stochastic Stackelbergdifferential reinsurance games under time-inconsistent mean-variance framework
报告人：陈律
个人简介：
陈律，助理教授，华东师范大学经管学部统计交叉科学研究院。一直从事精算理论中的再保险问题、风险控制问题以及金融计量问题研究，先后在Insurance: Mathematicsand Economics, Astin Bulletin等国内外精算期刊发表多篇文章。
报告摘要: This paperstudies optimal reinsurance in a continuous-time framework, in which an insurerand a reinsurer are two players of a stochastic Stackelberg differential game,i.e., a stochastic leader-follower differential game. Both the insurer and thereinsurer aim to maximize their respective mean-variance cost functionals. Toovercome the time-inconsistency issue in the game, we formulate theoptimization problem of each player as an embedded game and solve it via acorresponding extended Hamilton-Jacobi-Bellman equation. It is found that theStackelberg equilibrium can be achieved by the pair of a variance reinsurancepremium principle and a proportional reinsurance treaty, or that of an expectedvalue reinsurance premium principle and an excess-of-loss reinsurance treaty.The former optimal reinsurance policy is determined by a unique, model-freeStackelberg equilibrium; the latter one, though exists, may be non-unique andmodel-dependent, and depend on the tail behavior of the claim-size distributionto be more specific. Moreover, we consider the optimal structure when multiplereinsurers involved in a reinsurance chain as participants of the game.
关键词：StackelbergGame, Mean-variance, Reinsurance chain.
报告时间：2019年11月1日14：50-15：30
报告题目四：Equilibriuminvestment strategy for a defined contribution pension plan under stochasticinterest rate and stochastic volatility
报告人：张玲
个人简介：
张玲，副教授，广东金融学院保险学院，主要研究方向：金融投资决策、风险管理、养老金融，在国内外权威学术期刊Insurance：Mathematics and Economics、North American Journal of Economics and Finance、Applied stochastic models in business and industry、Journal of Computational and Applied Mathematics、运筹与管理等发表学术论文20余篇，主持国家自然科学基金青年项目、面上项目各一项，省部级研究项目7项，参与国家自然科学基金创新群体项目、杰出青年基金项目、面上项目等若干。广东省高等学校“千百十工程”培养对象，广东省人文社会科学重点研究基地“中山大学金融工程与风险管理研究中心”，广东省人文社会科学重点研究基地“广东区域金融政策研究中心”副主任，中国管理现代化研究会管理与决策科学专业委员会理事，中国管理科学与工程学会金融计量与风险管理研究会理事，广东省运筹学会理事。
报告摘要:
Thispaper aims to find the equilibrium investment strategy for a definedcontribution pension plan under the mean-variance criterion where both theinterest rate and volatility are stochastic in the financial market. Thefinancial market consists of a risk-free asset, a bond and a risky asset. Specifically, an affine model, which includes the Cox-Ingersoll-Ross model andthe Vasicek model as special cases, is used to characterize the stochasticdynamics of the interest rate, and the price process of the risky asset isdescribed by the Heston volatility model. Under the framework of Nashequilibrium, we first define the equilibrium strategy and the equilibrium valuefunction. Then, by solving an extended Hamilton-Jacobi-Bellman equation, weobtain both the equilibrium investment strategy and the correspondingequilibrium value function explicitly. Furthermore, the effects of thestochastic interest rate and the stochastic volatility on the equilibriuminvestment strategy and the equilibrium efficient frontier are analyzed. Somenumerical results and the economic meanings behind are also presented.
关键词：DCpension plan; Mean-variance criterion; Equilibrium strategy; Stochasticinterest rate; Heston stochastic volatility model; Stochastic optimization
报告时间：2019年11月1日15：50-16：30
报告题目五：强监管形势下我国寿险业发展趋势分析
报告人：赵正堂
个人简介：
赵正堂，男，1978年11月生，汉族，中共党员，厦门大学经济学院金融系副教授，青海民族大学兼职教授，经济学（金融学）博士，英国卡迪夫大学博士后，硕士生导师，全国保险专业学位研究生教育指导委员会委员，中国精算师资格厦门大学考试中心主任，已获国际寿险管理师（FLMI）资格证书。主讲课程：金融学、西方经济学、风险管理、（再）保险学、保险经营与管理、保险法律制度与监管政策等。已在《财政研究》、《厦门大学学报》（哲社版）、《法制晚报》等刊物上发表论文近30篇，出版专著2部，主持或曾主持省社科、省教育厅、中国保险学会、保监会等课题5项，近两年为银行、保险公司等开设各类讲座80多场次。
摘要：近三年来保险监管机构出台了一系列政策，凸显严监管或强监管的趋势，这一趋势对寿险经营带来了重大的影响，涵盖保险产品、保险中介、保险服务、对外开放等方面，在此基础上对寿险未来的发展趋势进行了初步分析。
关键词：保险监管;寿险业; 发展趋势
报告时间：2019年11月1日16：30-17：10
