报告题目：Robust Optimal Investment and Benefit Payment Adjustment Strategy for Target Benefit Pension Plans under Default Risk

报 告 人：赵慧 副教授 天津大学

报告时间：2020年6月19日 9:00-10:30

报告地点：腾讯会议 ID：550 954 094

会议密码：532532

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校内联系人：高丽媛  gaoly@jlu.edu.cn

报告摘要:

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.

报告人简介：

赵慧，天津大学澳门永利官网总站入口老网址副教授，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，主持国家自然科学基金青年项目和面上项目各一项，在精算领域重要期刊《Insurance: Mathematics and Economics》和《Applied Mathematics and Computation》、《Journal of Computational and Applied Mathematics》等数学期刊发表论文20余篇，天津市131创新型人才培养工程第三层次人选，2019年入选天津大学北洋学者，国家精品在线开放课程《概率论与数理统计》主要参与人。