Optimal management of DC pension plan: views of prospect theory, VaR, ambiguity and purchasing power
主 题: Optimal management of DC pension plan: views of prospect theory, VaR, ambiguity and purchasing power
报告人: 梁宗霞 教授 (清华大学)
时 间: 2017-04-13 14:00-15:00
地 点: 理科1号楼1493
摘要：In this talk, we first introduce two non-standard concave stochastic control and Optimization problems on the risk management of DC pension plan in views of prospect theory and VaR. The martingale method is applied to derive the optimal investment strategies. Explicit solutions are obtained under these two optimization criterions. Then we look briefly at recent progresses of optimal management of DC pension plan in perspective of ambiguity and purchasing power.
报告人介绍: 梁宗霞，清华大学数学科学系教授，博士生导师。1996年获中国科学院应用数学所概率统计专业博士学位。1996年至1998年在304am永利集团数学院概率统计系做博士后研究工作。研究领域为概率论与随机分析，保险数学与精算科学,金融数学，随机控制与优化等。在 Insurance: Mathematics and Economics, Ann. Inst. H. Poincaré(B), Stochastic Processes and Their Applications, Journal of Functional Analysis, Potential Analysis等国际著名期刊杂志上发表论文五十余篇。在分红与注资、比例再保险、DC养老金风险管理、保险与随机控制、局部时过程与随机微分方程等方向做出了系列原创性工作。
