香港大学杨海亮教授来我校讲学
发布时间:2015-03-13
香港大学杨海亮教授来我校讲学,并于3月13日下午在数学楼三楼报告厅作报
告“Valuing Equity-Linked Insurance Products”。
Abstract:
Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we
investigate the calculation of the expected discounted value of a payment at the time of
death. The payment depends on the price of a stock at that time and possibly also on
the history of the stock price. If the payment turns out to be the payoff of an option, we
call the contract for the payment a (life) contingent option. Because each time-until-
death distribution can be approximated by a combination of exponential distributions,
the analysis is made for the case where the time until death is exponentially distributed,
i.e., under the assumption of a constant force of mortality. The time-until-death random variable is assumed to be independent of the stock price process which
is a geometric Brownian motion or jump-diffusion.A substantial series of closed-
form formulas is obtained, for the contingent call and put options, for lookback options,
and for barrier options. (This talk is based on joint papers with Hans U. Gerber and Elias S. W. Shiu).
杨海亮,教授,现任香港大学统计与精算学系教授,从事精算和金融数学方面的研究与
教学。担任精算学主要杂志《Insurance: Mathematics and Economics》的编委等多项
社会兼职。他与多位精算和金融方面知名教授都有合作。合作者包括:精算学最知名的
Hans Gerber教授,金融学著名的Phelim Boyle 教授,在金融数学、随机控制、概率论
和系统科学中知名的Robert Elliott教授,中国科学院严加安院士等。杨海亮发表论文百余
篇,多次应邀在国际学术大会上作大会报告。他培养了多位博士及硕士研究生,其中一
些学生在英国、加拿大和香港的大学任教。