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257期讲座

(2024年12月26日)

讲座主题：GAN Stopping for Robust Surrendering

摘要：When the market situation is highly uncertain such as interest rate hikes and economic shocks generated by pandemic, ambiguity-averse policyholders make lapsing and surrendering decisions of insurance products subject to the worst market condition. A prudent insurance company has to consider capital reserve for surrendering under the worst-case scenarios. We propose a generative adversarial network (GAN) approach to determine the robust stopping rule for lapsing insurance products, especially for variable annuities.

报告人：Bowen Jia

Dr. Jia, Bowen is currently an Assistant Professor in Faculty of Finance at City University of Macau. He received his PhD degree from The Chinese University of Hong Kong. His major research interests are application of SOTA machine learning and deep learning methods in quantitative finance area. His research papers have been published in international journals, including: Journal of risk and insurance and Quantitative finance.

讲座时间：2024年12月26日（周四）

上午10:00-11:30

报告地点：沙河二教109

邀 请 人：王玲