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发布时间:2024-06-24文章来源: 浏览次数:

报告题目Optimal investment strategies and intergenerational risk sharing for target benefit pension plans under habit formation

报告摘要This paper investigates a stochastic model of a continuous-time target benefit pension system with habit formation, where members' contributions are predetermined and pension payments depend on the financial condition of the system. Moreover, risk sharing among different generations is considered and we incorporate the habitual benefit payment process into the plan trustee’s objective. Concretely, the plan trustee aims to minimize the deviation between actual payments and habitual payments, which can minimize the combined benefit risk (i.e., deviation from the habitual target) and intergenerational transfers effectively. Furthermore, the pension fund is allowed to invest in a risk-free asset and a risky asset. By employing the martingale method, we derive the optimal investment strategy and the benefit adjustment strategy explicitly. Finally, numerical analysis is provided to illustrate the effects of model parameters on the optimal strategies.

报告时间:2024年7月5日 16:30:00-17:30



赵慧,天津大学数学学院教授,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、中国优选法统筹法与经济数学研究会量化金融与保险分会理事,中国现场统计研究会风险管理与精算分会理事,天津市工业与应用数学学会理事。作为项目负责人,主持3项国家自然科学基金项目和1项天津市自然科学基金面上项目。在金融和精算领域期刊《European Journal of Operational Research》、《Insurance: Mathematics and Economics》、《Quantitative Finance》、《Scandinavian Actuarial Journal》、《Astin Bulletin》等发表论文30余篇。曾获第十八届天津市社会科学优秀成果奖三等奖,入选天津市131创新型人才培养工程第三层次人选和天津大学北洋学者。

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