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报告题目:Time-consistent investment and contribution adjustment strategies for a collective DC pension plan with stochastic salary under smooth ambiguity utility

报告时间:2022年11月21日  经管楼A927

报告简介:This paper studies the optimal investment and benefit adjustment problem for a collective DC (CDC) pension plan in an environment with parameter uncertainty. We propose a smooth ambiguity framework to model the pension trustee's preferences towards risk and ambiguity. Since the pension trustee is ambiguous about the risky assets, she/he decides to invest in a risk-free asset, a purely risky asset and an ambiguous risky asset whose return is uncertain. Furthermore, we take the stochastic salary into account. The objective is to maximize the expectation of the accumulated benefit payment and terminal wealth under a smooth ambiguity utility which is the double power form. The utility function makes the problem time-inconsistent and we establish the extended HJB equation via game theoretic formulation. The equilibrium strategy and equilibrium value function are derived under smooth ambiguity. Finally, sensitivity analysis of equilibrium strategy is provided to demonstrate the effects of model parameters on the equilibrium strategy.

 

个人简介: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、天津市工业与应用数学学会理事。作为项目负责人,主持3项国家自然科学基金项目(其中青年项目1项,面上项目2项),主持天津市自然科学基金面上项目1项。在《European Journal of Operational Research》、《Insurance: Mathematics and Economics》、《Quantitative Finance》、《Scandinavian Actuarial Journal》等金融精算领域重要期刊发表论文30余篇。入选天津市131创新型人才培养工程第三层次人选和天津大学北洋青年骨干教师、北洋学者。


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