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 Long-term Management of a P&C Insurance Portfolio with Endogenous Risk Control
时间：2014年7月3日，15:00—17:00
地点：理科楼202
讲座内容：We consider a 10 year nonlinear multistage stochastic program for a portfolio manager facing stochastic liabilities from the property and casualty business and risk capital constraints compliant with an evolving regulatory framework. The investment universe includes liquid and illiquid asset classes. The optimization problem is formulated as an expected risk-adjusted portfolio return maximization with penalties associated with time-dependent exogenous goals set by the company. The ALM model captures the key elements of a real-world development and the risk capital constraints are studied under alternative assumptions on the risk factors correlation matrix. Numerical results are presented for different specifications of the dynamic optimization problem and under alternative correlation assumptions over the long term horizon with non-homogeneous decision stages.
 

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数学与统计学院
2014年7月1日