報告題目：Stopped Random Processes and Applications to Actuarial Science
報 告 人：香港大學楊海亮教授
報告時間：2019年5月21日10:00-11:00
報告地點：數學樓一樓第一報告廳
報告摘要：
We consider a random process stopped by a random variable and investigate the properties of the stopped process and its running maximum (or running minimum). A special case, exponential stopping of Brownian motion, is well known and many results are available. In some cases, such as Erlang stopping of Brownian motion, exponential stopping of jump diffusion and geometric stopping of random walk, we are able to obtain closed form expression for the joint distribution for the stopped process and its running maximum. The motivation of our study is from some actuarial science problems. In particular, we will apply the results to 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.
報告人簡介：
楊海亮，香港大學統計與精算系教授，華東師範大學“紫江講座教授”，博士生導師，國際著名學者，長期從事數理金融、精算學和應用概率論的研究，至今已在相關領域發表高水平科研論文200餘篇，現為英國精算師協會名譽會員、瑞士精算師協會通信會員、國際統計協會會員，擔任多個重要國際期刊主編或副主編，包括Insurance: Mathematics and Economics，North American Actuarial Journal，Stochastics，Journal of Industrial and Management Optimization等，兼任Springer Actuarial series、Encyclopedia of Quantitative Finance等叢書的編輯。
