应gg999策略手机白菜的邀请,加拿大滑铁卢大学统计与精算科学系Bin Li 教授将于近期访问我院,来访期间为师生做以下学术报告:
题目:Some Applications of Differential Equations in Actuarial Science
时间:2016年9月14日上午10:30 - 11:30(星期三)
地点:理科楼407
摘要:
In this talk, we will discuss a few recent problems in actuarial science including drawdown risk minimization, robust reinsurance strategy, and minimizing ruin probability under ambiguity. The analysis of related Hamilton-Jacobi-Bellman (HJB) equations play a fundamental role in these stochastic control problems. We will see that some of these HJB equations have closed-form solutions, but many others have to be studied in terms of viscosity solution.
报告人简介:
Professor Bin Li’s research interests are in the fields of actuarial science, applied probability, mathematical finance, and partial differential equations. His current research is to study Path-Dependent Measures of Risks (PDMOR) such as drawdowns, occupation times and Parisian times. They are natural measures to assess some financial risks like crash and depression. Due to the path dependency, it is shown that PDMOR are more reliable measures of risks than classical measures constructed solely by exit times. Furthermore, he is recently generalizing PDMOR to capture and penalize the severity, duration and frequency of extreme risks.
欢迎感兴趣的师生参加!