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必发bf88唯一官方、所2019年系列学术活动(第63场):杨海亮教授 香港大学

发表于: 2019-05-17   点击: 

报告题目:Stopped Random Processes and Applications to Actuarial Science

人:香港大学杨海亮教授

报告时间:201952110:00-11:00

报告地点:数学楼一楼第一报告厅

报告摘要:

We consider a random process stopped by a random variable and investigate the properties of the stopped process and its running maximum (or running minimum). A special case, exponential stopping of Brownian motion, is well known and many results are available. In some cases, such as Erlang stopping of Brownian motion, exponential stopping of jump diffusion and geometric stopping of random walk, we are able to obtain closed form expression for the joint distribution for the stopped process and its running maximum. The motivation of our study is from some actuarial science problems. In particular, we will apply the results to valuing Guaranteed Minimum Death Benefits in various deferred annuities. This talk is based on joint papers with Hans U. Gerber and Elias S.W. Shiu.

报告人简介:

杨海亮,香港大学统计与精算系教授,华东师范大学紫江讲座教授,博士生导师,国际著名学者,长期从事数理金融、精算学和应用概率论的研究,至今已在相关领域发表高水平科研论文200余篇,现为英国精算师协会名誉会员、瑞士精算师协会通信会员、国际统计协会会员,担任多个重要国际期刊主编或副主编,包括Insurance: Mathematics and EconomicsNorth American Actuarial JournalStochasticsJournal of Industrial and Management Optimization等,兼任Springer Actuarial seriesEncyclopedia of Quantitative Finance等丛书的编辑。