教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第280期讲座

(2026年4月18日)

报告题目1：Bayesian Adaptive Portfolio Optimization for DC Pension Plans

报告摘要：This paper investigates an optimally defined contribution (DC) pension fund problem with partial information. The fund manager invests his wealth in a financial market consisting of a risk-free asset, a stock, and an index bond. He aims to maximize the expected utility of the terminal wealth minus the minimum guarantee. The drift terms of the stock and the index bond are represented by unobservable random variables and the market price of risk follows a prior probability distribution. Using the Bayesian approach and filtering theory, we first transform the original unobservable optimization problem into one with full information. After that, we introduce an auxiliary process to convert the full information problem into an equivalent unconstrained self-financing optimization problem. We then solve the problem and obtain an explicit expression for the optimal investment strategy by using themartingale approach. To compare the results, we also derive the optimal investment strategy for the DC pension model under constant relative risk aversion (CRRA) utility in which the financial market is fully observable.

嘉宾简介

郭军义，南开大学数学科学学院教授，博士生导师，现主要从事随机过程及其在金融保险中的应用领域的研究，同时也从事分支过程及相关应用研究。合作出版“现代保险风险理论”等专著3部，发表论文100余篇。主持国家自科基金以及中俄交流项目等多项，参与欧盟FP7玛丽•居里项目、973项目和自科重点项目等。获中国数学力学物理学高新技术交叉研究学会焦善庆MMPH研究奖，天津市第八届教学成果奖，天津市以及南开大学优博指导教师等。曾任中国数学会副理事长，天津数学会理事长，中国概率统计学会副理事长等。现为中国交叉科学学会副理事长，中国概率统计学会常务理事，IME编委等

报告题目2：Equilibria forTime-inconsistentRegular-singularControlProblems

报告摘要：We first introduce equilibria for time-inconsistent regular control problems, then propose equilibrium framework of the singular control problem and solve non-exponential discount time-inconsistent singular control problems. Finally, we also design the equilibrium framework of time-inconsistent regular-singular controlproblem, and select open key problems with time-inconsistent characteristics at early stages of this new field.

嘉宾简介

梁宗霞，清华大学数学科学系长聘教授,博士生导师.主要从事金融数学,精算科学,概率论与随机分析,随机控制与优化等理论方面的研究.发表学术论文九十余篇,其中大部论文发表在这些领域的国际顶级学术期刊或一流学术期刊：Mathematical Finance, The Annals of Applied Probability, Finance and Stochastics, SIAM Journal on Control and Optimization, Mathematics of Operations Research, SIAM Journal on Financial Mathematics, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, North American Actuarial Journal, ASTIN Bulletin, Stochastic Processes and their Applications, European Journal of Operational Research 上,取得了系列具有重要影响力的原创性基础理论研究成果.

报告题目3：巨灾风险的精算统计模型与应用

报告摘要:巨灾损失数据的统计建模是进行巨灾风险管理的重要基础。我们探讨了PowerBurr分布的统计性质，包括其在特定参数取值下的特殊分布形态以及参数空间边界处的极限分布情况，进而拓展形成了PowerBurr分布族的概念，并对分布族中各分布的尾部性质进行了分析。在此基础上，将PowerBurr分布族的尺度参数与形状参数同解释变量相联系，构建了回归模型，并给出了参数估计与模型检验的方法。常用的Lomax回归可视为该回归模型的一个特例。最后，将基于PowerBurr分布族的回归模型应用于中国地震损失数据，并与其他厚尾分布的回归模型进行了对比分析，结果表明，新模型在提升预测精度方面具有明显优势，为巨灾损失数据的建模提供了一种新的工具。

嘉宾简介

孟生旺，中国人民大学二级教授，吴玉章讲席教授，博士生导师。兼任中国统计学会副会长，中国现场统计研究会风险管理与精算分会理事长。研究方向为精算统计模型、巨灾风险管理。主持了国家社会科学基金重大项目、重点项目和国家自然科学基金面上项目。国家一流课程负责人，多次获得省部级教学科研奖励，获中国人民大学大华杰出教学贡献奖。主要著作包括《金融数学》《风险模型》和《非寿险精算学》等。

报告题目4：AsymptoticDiversificationRatio on Value-at-Risk

报告摘要：This talk introduces our recent results on portfolio Value-at-Risk by focusing on asymptotic diversification ratio (Zhu, Li, Yang, Xie and Sun (2023,MF)；Cheng, Sun, Xie and Yang (2025)).

(a) Consider the asymptotic subadditivity andsuperadditivityproperties of Value-at-Risk for multiple risks whose copula admits a stable tail dependence function. We prove that asymptoticsubadditivity of Value-at-Risk holds when individual risks are smaller than regularly varying random variables with index -1 under the tail concave order. Asymptotic diversification ratios for regularly varying and log regularly varying margins with specific copula structures are obtained. Empirical analysis on financial data is provided for highlighting our results.

(b) Consider the asymptotic generalized diversification ratio (GDR) on Value-at-Risk under a framework of general aggregation risk functions. The general aggregation risk functions include wide risk functions in finance and insurance. By applying the copula method, the influences of the marginal uncertainty and the dependence structure are discussed. We provide bounds on the asymptotic GDR under a copula with tail dependence and marginal distributions belonging to the generalized regular varying family. Empirical analyses on risk-based capital and vehicle insurance highlight applications of our results.

嘉宾简介

杨静平，北京大学数学科学学院教授， 博士生导师， 国家二级教授。研究兴趣有金融和保险中的风险相依性、风险度量、信用风险管理以及资产支持证券等。在金融数学期刊Mathematical Finance, Finance and Stochastics、SIAM Journal on Financial Mathematics、Journal of Computational Finance、精算学期刊Insurance：Mathematics and Economics、ASTIN Bulletin、Scandinavian Actuarial Journal、North American Actuarial Journal以及概率论期刊Bernoulli等发表了多篇学术论文。主持完成了中国国债发行策略的随机模拟模型、国债收益率曲线的拟合、信贷资产证券化以及含权债估值模型等金融行业的课题。完成《寿险精算基础》和《非寿险精算学》等教材。获2023年国家级教学成果二等奖（2/7）。

讲座时间：2026年4月18日（周六）上午8:30-12:30

报告地点：学院南路校区主教201教室

邀 请 人：池义春