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239期讲座

(12月21日)

讲座题目：Robust portfolio management for a guaranteed annuity with stochastic interest rate and longevity risk

讲座摘要：This paper studies a robust investment and longevity risk hedging problem for a guaranteed annuity agent who is concerned about interest rate risk and model ambiguity, where the interest rate and the force of mortality are described by affine models. Assuming that a risk-free asset, a stock, a bond and a mortality-linked security are available in the financial market, this paper considers the different degrees of ambiguity aversion of the agent towards the diffusion parts of the interest rate and the force of mortality, as well as the stock price. The management goal of the guaranteed annuity is to find the optimal investment strategy to keep the sustainability of the annuity account. This goal is achieved by maximizing the actuarial surplus of the annuity account, that is, the difference between the fund wealth and the total actuarial accrued liabilities. Using the stochastic dynamic programming method, explicit form of the optimal investment and longevity risk hedging strategies are derived by introducing an auxiliary optimal control problem. Furthermore, sensitivity analyses are presented to show the effects of model parameters on the optimal investment strategy and we find that the mortality-linked security is an effective instrument to hedge longevity risk.

报告人简介：王愫新，理学博士，天津财经大学金融学院副教授、博士生导师。入选天津市131创新型人才培养工程第三层次、天津市青年后备人才支持计划和天津财经大学青苗计划工程。研究方向为保险精算、风险管理。研究成果先后发表在《European Journal of Operational Research》、《Insurance: Mathematics and Economics》、《Applied Mathematics and Computation》、《Journal of Mathematical Analysis and Applications》、《系统工程学报》等国内外代表性期刊，出版专著1部，主持完成国家自然科学基金项目1项，参与国家级和省部级课题多项。

讲座时间：2023年12月21日（周四）下午14:00-15:00

报告地点：腾讯会议（会议ID：469-518-073）

邀请人：伍慧玲

欢迎各位老师和同学积极参加！