报告题目1：Valuing Equity-linked death benefits under trinomial tree model
报告嘉宾：Professor Hailiang Yang (Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong)
时间：2015年12月4日（周五）上午9:40-11:10
地点：管理学院第二会议室
摘要：
In this talk, I shall provide an overview on equity-linked insurance products and present a valuation method. The problem is motivated by the Guaranteed Minimum Death Benefits in various deferred annuities. The payment of the products depends on the price of a stock at that time and possibly also on the history of the stock price. Because each time-until-death distribution can be approximated by a combination of exponential distributions, the analysis is made for the case where the time until death is exponentially distributed. The time-until-death random variable is assumed to be independent of the stock price process. The logarithm of the index process can be a Brownian motion, a jump-diffusion process or a random walk. We are able to obtain closed-form formulas for the contingent call and put options, for lookback options, and for barrier options. (This talk is based on joint papers with Hans U. Gerber and Elias S.W. Shiu).
报告嘉宾简介：
Hailiang Yang received his undergraduate degree from Inner Mongolia university, PhD degree from University of Alberta and Master in Actuarial Science from University of Waterloo. He joined the University of Hong Kong in 1996 and is currently a Professor in the Department of Statistics and Actuarial Science. Hailiang Yang’s research is on actuarial science and mathematical finance. His research topics include ruin probability and related problems, optimal investment policies, option pricing. Recently, his research focuses on equity-linked insurance products. He has published over 100 peer-reviewed papers in actuarial science and related journals, and has worked with many leading figures in the field. He has supervised more than 20 research students, his graduate students are, in many cases, now well-known researchers in their own right. He is an associate editor of two actuarial science journals and three journals in applied mathematics and operation research. He has been invited as a plenary (keynote) speaker more than 10 times including at the Tenth International Congress of IME, which is the major actuarial science event worldwide, and he was the chairman or co-chair of the Scientific Committee for three IME congresses. He is an Associate of Society of Actuaries, and he was elected as an Honorary Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Swiss Association of Actuaries in 2014.
Homepage：http://www.saasweb.hku.hk/staff/hlyang/
报告题目2：Optimal investment strategy for a loss aversion DC pension plan member with inflation risk and guarantee
报告嘉宾：曾燕 副教授 (中山大学岭南学院)
时间：2015年12月4日（周五）上午11:10-12:10
地点：管理学院第二会议室
摘要：
This paper studies a continuous time portfolio selection problem of a defined contribution pension plan with a guarantee for a loss aversion member. The member is assumed to have a stochastic salary flow and be confronted with inflation risk, and the explicit expression of optimal investment strategy is derived. The numerical results show that, the reference point plays a significant role which determines her asset allocation and a “target-driven” strategy is adopted; the economic condition such as rich or poor leads to distinct behaviors and a member with more salary and high reference point is more susceptible to investment horizon and longevity risk. Longevity risk is studied by taking advantage of guarantee and we find that an increasing of longevity will lead her to increase the percentage of wealth invested in risky asset during her working life. In addition, the impact of correlation between risky assets on investment strategy is illustrated by some numerical examples.
报告嘉宾简介：
曾燕，中山大学岭南（大学）学院副教授，理学博士，应用经济学博士后，硕士生（金融专硕）导师，广东省自然科学杰出青年基金项目获得者，广东省高等学校“千百十人才培养工程”校级培养对象；2011年7月进入中山大学工作，2014年6月晋升为副教授；主要研究领域为：金融资产配置、风险管理、资产定价、保险精算、金融经济学；主持的项目包括广东省自然科学杰出青年基金项目、国家自然科学基金面上项目、国家自然科学基金青年项目、教育部社科、广东省社科等多项课题；在 Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics等期刊上接受发表论文近40篇，其中SCI/SSCI收录论文近20篇；获得过中华人民共和国教育部第七届高等学校科学研究优秀成果奖（政府奖、部级三等奖、已公示完）、广东省2012-2013年度哲学社会科学优秀成果一等奖（政府奖、省级一等奖、已公示完）、中国人力资源与社会保障部第五届中国社会保障论坛征文三等奖（政府奖、部级三等奖）、第十二、三届系统工程与风险管理国际年会优秀论文奖等奖项。
欢迎感兴趣的师生参加。
