应数学与统计学院邀请，国际著名的金融优化专家、意大利Bergamo大学Giorgio Consigli教授将于2014年6月30日到7月12日访问我校，并做如下学术讲座。
题目：Optimal Individual Retirement Planning with Life Insurance Contracts
时间：2014年7月8日，15:00—17:00
地点：理科楼202
讲座内容：Individual asset-liability management (ALM) models provide an ideal framework for the solution of long term financial planning problems explicitly addressing the key issue of individuals' optimal retirement strategies. We present an asset-liability model based on a decision universe including life insurance products and analyse retirement policies within a dynamic problem formulation. The adoption of a multistage stochastic programming (MSP) framework allows the joint treatment of a long term retirement horizon, a realistic investment universe and a dedicated financial model within a large scale optimization problem, whose solution leads to an individual optimal strategy over the entire working life. A scenario tree process for fixed-income and equity markets is considered to capture the uncertainty underlying the decision problem. Individuals' strategies with respect to a desired income stream over the retirement period, are assumed to be based on three asset classes: pension funds, unit-linked products and variable annuities. We present a case-study based on three individuals with different time horizons and financial perspectives but common expectations on the desirable retirement income. The preferability of a diversified portfolio is also evaluated from an individual perspective.
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数学与统计学院
2014年7月4日