主题: Optimal dividend strategy for ageneral diffusion process with time-inconsistent preferences and penalty costfor ruin
类型: 学术报告
主办方:
报告人: 曾燕博士(中山大学)
日期: 2017年12月14日10:00-11:00
地点: 知新楼B-1238
内容:

报 告 人:曾燕博士(中山大学)

报告题目:Optimal dividend strategy for ageneral diffusion process with time-inconsistent preferences and penalty costfor ruin

报告时间:20171214日上午10:00-11:00

报告地点:知新楼B-1238

 

报告摘要:

This paper considers the optimal dividendstrategy for a company whose surplus follows a general diffusion process. Thecompany's manager, who has time inconsistent preferences, seeks the optimaldividend strategy and is subjected to a penalty cost when the company goesbankruptcy. We tackle the optimization problem by assuming that the manager istime-consistent, naive or sophisticated, and we obtain analytical solutions,respectively. Our results show that the sophisticated manager tends to pay outdividends earlier than the naive manager, who in turn tends to pay outdividends earlier than the time-consistent manager, and that managers with ahigher level of time inconsistency tend to pay out dividends earlier; incontrasts, the penalty cost leads to delay in dividend payments. Finally, weprovide several examples to illustrate our results. (Coauthors: Shumin Chen,Zhongfei Li)

 

报告人简介:

曾燕, 男,中山大学岭南学院副教授、博士生导师。其主要从事金融工程、风险管理、保险精算与金融经济学等领域的研究,曾在香港大学、加拿大滑铁卢大学、美国麻省理工学院(MIT)访问,是广东省杰青、霍英东教育基金项目获得者、广东省高校千百十工程校级培养对象;主持了国家自科面上项目等10余项课题,其中省部级以上10项,参与了国家自然科学基金项目、教育部哲学社会科学研究重大课题攻关项目、广东省自然科学基金研究团队项目等多项课题;在本领域著名期刊《Insurance: Mathematics and Economics》、《Journalof Economic Dynamics and Control》、《Annals of OperationsResearch》、《IEEE Systems Journal》、《Journal of Optimization Theory and Applications》、《管理科学学报》等上发表学术论文50余篇,其中SCI/SSCI收录30余篇;研究成果获得广东省哲学社科优秀成果一等奖(省级)、第七届高等学校科学研究优秀成果三等奖(部级)、中国人保部社会保障论坛征文三等奖(部级)等;学术兼职包括中国运筹学会金融工程与金融风险管理分会副秘书长、Quantitative Finance and Economics编委等。

 

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