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291期讲座

(2026年9月23日)

讲座主题（一）：Aging by Design:Deriving Mortality Models from Reliability Theory

摘要：The Cairns-Blake-Dowd (CBD) model is a workhorse mortality model in actuarialscience. Despite its seminal role in actuarial applications, its logit-linear-in-age structurerests on statistical assumption rather than biological mechanism. Using reliability theoryof aging, this paper provides the first mechanistic derivation of the CBD class of mortalitymodels. Specifically, its defining structure emerges as an exact mathematical consequenceof a natural aging process in which an organism’s biological subsystems fail through aself-amplifying cascade. We then progressively enrich the reliability parameter structureto derive a new hierarchy of mortality models, where cohort heterogeneity in mortalityis attributed to initial frailty and aging intensity. Calibrated on national mortality data,the reliability-based models consistently outperform their actuarial counterparts at everystructural level of the hierarchy. We also demonstrate the practical value of groundingmortality models in an interpretable biological aging process.

报告人：XiaobaiZhu

XiaobaiZhu is an Assistant Professor of Actuarial Science in the Department ofFinance at the Chinese University of Hong Kong. He is an Associate of the Society of Actuaries (ASA). He received his PhD in Actuarial Science from the University of Waterloo in 2019 and worked as an Assistant Professor at Southwestern University ofFinance and Economics from 2020-2022.Xiaobai’sresearch interests include stochastic mortality modeling and hybrid pension design.

讲座主题（二）：Robust and Time-Inconsistent Problems in Optimal Annuitization and Asset Allocation

摘要：We study two optimal annuitization and asset allocation problems. First, we determine optimal investment and annuitization strategies for an individual maximizing expected wealth at death when the annuity provider may default, allowing for ambiguity in the risky asset’s drift, the mortality hazard rate, and the default hazard rate. We formulate robust optimization problems before and after default, using the post-default value function for the pre-default problem, and compare a single-stage robust control formulation with this two-stage formulation. Using stochastic control, we characterize the value functions as classical solutions of their HJB equations. Second, we study two continuous-time, time-inconsistent mean-variance problems in which the individual buys life annuities and invests in a risky asset. Annuity purchases are either limited to a bounded continuous rate or allowed in arbitrary amounts, the latter yielding a singular control problem. We derive time-consistent equilibrium strategies by solving extended HJB systems and discuss parameter effects on these strategies.

报告人：梁晓青

梁晓青，河北工业大学理学院应用统计系教授。目前主要研究最优再保险投资、养老金设计和优化、最优年金保险及寿险模型中的投资消费问题等。曾先后访问加拿大西蒙菲莎大学统计精算系，美国密歇根大学数学系，南方科技大学数学系，香港理工大学数学系等。主持完成国家自然科学基金及河北省自然科学基金项目多项。在保险精算及优化控制领域主要期刊Insurance Mathematics and Economic, ASTIN Bulletin, SIAM Journal on Financial Mathematics, SIAM Journal on Control and Optimization, Journal of Optimization Theory and Applications等发表多篇学术论文。

讲座时间：2026年9月23日（周三） 下午15:00-17:00

报告地点：沙河校区 学院13号楼209

邀 请 人：刘敬真

（撰稿：刘敬真；审稿：王庆焕；编辑： 薛丽娜；审核：马冰）