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195期讲座

(2021年12月23日 下午2:00-4:00)

讲座主题一：Optimal Asset Allocation, Consumption and Retirement Time with the Variation in Habitual Persistence

摘要： In this paper, we study the individual’s optimal asset allocation, consumption and retirement time under habitual persistence. To depict the phenomenon that the individual feels equally satisfied with a lower habitual level and is more reluctant to change the habitual level after retirement, we assume that both the level and the sensitivity of the habitual consumption decline at the time of retirement. We establish the concise form of the habitual evolutions, and obtain the optimal retirement time and consumption policy based on martingale and duality methods. The optimal consumption experiences a sharp decline at retirement, but the excess consumption raises because of the reduced sensitivity of the habitual level. This result is consistent with the evidence observed in the “retirement consumption puzzle”. Particularly, the optimal retirement and consumption policies are balanced between the wealth effect and the habitual effect. Larger wealth increases consumption, and larger growth inertia (sensitivity) of the habitual level decreases consumption and brings forward the retirement time.

报告人：何林

中国人民大学财政金融学院 教授，博士生导师，研究领域为保险精算和养老金管理。在Insurance: Mathematics and Economics, Scandinavian Actuarial Journal,《管理科学学报》等精算和管理学权威期刊发表论文20余篇，承担多项国家和省部级科研项目，出版专著2部。

讲座主题二：Optimal management of DB pension fund with the possibilities of both underfunded and overfunded cases

摘要： This work investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow the geometric Brownian motion while the contribution rate is determined by the spread method of fund amortization. The pension manager invests in the financial market with three assets: cash, bond and stock. Regardless of the initial status of the plan, we suppose that the pension fund may become underfunded or overfunded in the planning horizon. The optimization goal of the manager is to maximize the expected utility in the overfunded region minus the weighted solvency risk in the underfunded region. By introducing an auxiliary process and related equivalent optimization problems and using the martingale method, the optimal wealth process, optimal portfolio and efficient frontier are obtained under four cases (high tolerance towards solvency risk, low tolerance towards solvency risk, extreme risk aversion, and no solution). Moreover, we also obtain the probabilities that the optimal terminal wealth falls in the overfunded and underfunded regions. At last, we present numerical analyses to illustrate the manager's economic behaviors.

报告人：关国卉

中国人民大学统计学院副教授，应用统计科学研究中心研究员。主要研究领域包括最优再保险，最优资产配置和养老金管理等。在Insurance: Mathematics and Economics、Scandinavian Actuarial Journal、Journal of Computational and Applied Mathematics、数理统计与管理等期刊发表多篇论文，主持国家自科青年项目，博士后基金面上一等资助等。

讲座时间：2021年12月23日（周四）下午2:00-4:00

报告地点：腾讯会议（会议ID：327 402 518）

邀 请 人：伍慧玲

欢迎各位老师和同学积极参加！