报告人：赵慧（天津大学）

时  间：8月12日下午14:30

地  点：腾讯会议 ID：175 215 625（无密码）

内容摘要:

In this talk, we consider an optimal investment and benefit adjustment problem for a target benefit pension plan. The pension sponsor can adjust the benefit level to guarantee the stable operation of the plan. The pension is allowed to invest in a risk-free bond and a stock. The weighted product of the benefit outgo and pension wealth is considered in the objective function, which is taken in the form of Cobb-Douglas utility. Thus the plan takes both the benefit level and terminal wealth of the pension into account and then the benefit payment are dependent on the financial situation of the plan. By applying dynamic programming approach, we establish the corresponding Hamilton-Jacobi-Bellman equation and derive the optimal investment-benefit strategy and the value function explicitly. The verification theorem is presented and proved. Furthermore, the recursive utility is considered as an extension and we find that the elasticity of intertemporal substitution has a positive effect on the optimal benefit level. Finally, numerical examples are given and demonstrate that this pension scheme is sustainable and can provide stable and consecutive incremental benefit payment for future generations.

个人简介：

赵慧，天津大学数学学院副教授，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，在金融精算领域重要期刊《Insurance: Mathematics and Economics》、《Quantitative Finance》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。

联系人：王文元