报告题目：Optimal Investment and Consumption Strategies for Pooled Annuity with Partial Information
报告人：钱林义 教授（华东师范大学）
报告时间：2022年7月28日(周四) 下午 2：00--5:30
报告形式：线上， 腾讯会议号：183-953-216
密码：220728
报告摘要：This paper considers the optimal investment and consumption problem for the pooled annuity funds, in which both the financial market and mortality probability of participants in the pool are partially observable. We manage to achieve the explicit expressions for optimal consumption and investment strategies employing filtering techniques and Hamilton-Jacobi-Bellman (HJB) equation. What is more, we also discuss the models where both the instantaneous rate of return of financial market and mortality of plan members are observable and obtain the optimal investment strategies accordingly. In addition, we look into this optimization problem under different exit mechanism including infinite exit time for the plan members. Last, but not the least, we carry out numerical analysis demonstrating the impact of observability of information.
报告人简介：钱林义教授，上海市曙光学者，华东师范大学经济与管理学部统计学院院长助理，博士生导师，中国准精算师，中国工业与应用数学学会金融数学与工程和精算保险专委会精算保险青年委员会主任，中国现场统计研究会风险管理与精算分会常务理事，中国优选法统筹法与经济数学研究会量化金融与保险分会理事。研究方向为概率统计，保险精算。发表论文近50篇，其中30多篇论文被SCI、SSCI期刊检索，专著1本，主持国家课题3项，省部级课题6项；作为子课题负责人参与一项国家社科重大项目和一项国家自科重点项目。曾获上海瑞士再保险精算科学奖三等奖、第十一届全国统计科研优秀成果奖二等奖、上海市优秀博士论文奖、上海市自然科学奖三等奖等奖项。
