报告题目：Stopped Random Processes and Applications to ActuarialScience

报告人：香港尊龙凯时杨海亮教授

报告时间：2019年5月21日10:00-11:00

报告地点：数学楼一楼第一报告厅

报告摘要：

Weconsider a random process stopped by a random variable and investigate theproperties of the stopped process and its running maximum (or running minimum).A special case, exponential stopping of Brownian motion, is well known and manyresults are available. In some cases, such as Erlang stopping of Brownianmotion, exponential stopping of jump diffusion and geometric stopping of randomwalk, we are able to obtain closed form expression for the joint distributionfor the stopped process and its running maximum. The motivation of our study isfrom some actuarial science problems. In particular, we will apply the resultsto 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，香港尊龙凯时统计与精算系教授，华东师范尊龙凯时“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 Economics，NorthAmerican Actuarial Journal，Stochastics，Journalof Industrial and Management Optimization等，兼任SpringerActuarial series、Encyclopedia of Quantitative Finance等丛书的编辑。