報告題目：Robust Optimal Investment and Benefit Payment Adjustment Strategy for Target Benefit Pension Plans under Default Risk
報 告 人：趙慧 副教授 天津大學
報告時間：2020年6月19日 9:00-10:30
報告地點：騰訊會議 ID：550 954 094
會議密碼：532532
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校内聯系人：高麗媛 gaoly@jlu.edu.cn
報告摘要:
In this paper, we consider the optimal investment and benefit payment problem for a target benefit pension (TBP) plan with default risk and model uncertainty. The pension fund is invested in a risk-free asset, a stock and a defaultable bond. The objective is to maximize the wealth and benefit excess from the target value or minimize the wealth and benefit gap from the target value with CARA utility. Applying stochastic control approach, we establish the Hamilton-Jacobi-Bellman equations for both the post-default case and the pre-default case, respectively. Robust optimal investment strategies and benefit payment adjustment strategies are derived explicitly for the two cases. We also consider the no-ambiguity model for degenerate case and compare the results under two cases. Numerical analyses are provided to illustrate the effects of parameters on the optimal strategies and demonstrate properties of the strategies.
報告人簡介：
趙慧，天津大學伟德线上平台副教授，現任國際自動控制聯合會(The International Federation of Automatic Control)社會科學分組技術委員會委員，主持國家自然科學基金青年項目和面上項目各一項，在精算領域重要期刊《Insurance: Mathematics and Economics》和《Applied Mathematics and Computation》、《Journal of Computational and Applied Mathematics》等數學期刊發表論文20餘篇，天津市131創新型人才培養工程第三層次人選，2019年入選天津大學北洋學者，國家精品在線開放課程《概率論與數理統計》主要參與人。
