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朱金霞: Singular dividend optimization for a linear diffusion model with time-inconsistent preferences

时间:2019-12-24来源:

报告时间2019年12月27日(星期五)16:00

报告地点:翡翠科教楼B座1710

:朱金霞 高级讲师、博士生导师

工作单位:新南威尔士大学风险和精算学院

举办单位:数学学院

报告人简介

朱金霞,2008年获香港大学精算学博士学位,现供职于澳大利亚新南威尔士大学(UNSW Sydney) 风险和精算学院,现职高级讲师,博士生导师。研究领域包括随机最优控制在精算 和金融中的应用, 资产分配,和风险理论,研究成果主要发表在应用概率和精算领域的国际顶级期刊上,包括Stochastic Processes and their Applications, European Journal of Operation Research, Advances in Applied Probability, Journal of Applied ProbabilityInsurance: Mathematics and Economics等。

报告简介

With the advancement of behavioral economics, the of exponential discounting for decision making in neoclassical economics has been questioned since it cannot provide a realistic way to explain certain decision-making behavior. The purpose of this talk is to investigate strategic decision making on dividend distribution policies of insurance companies when the management adopts a more realistic way for discounting, namely stochastic quasi-hyperbolic discounting. The use of this more realistic way for discounting is motivated by some recent developments in behavioral economics. A game theoretic approach is adopted to establish economic equilibrium results, namely subgame perfect Markov equilibrium strategies. It is shown that (1) under certain mild technical conditions, the barrier strategy with an optimal barrier, which is widely used in the traditional approach to optimal dividend problems, is a perfect Markov equilibrium strategy, (2) the optimal barrier is lower than the barrier of an optimal strategy obtained from the respective time-consistent optimal dividend problem, and (3) the solution based on the barrier strategy does not exist in some situations.

*This is based on a joint paper with Prof. Tak Kuen Siu and Prof. Hailiang Yang.



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