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报告题目:Optimal entry decision of unemployment insurance under partial information

报告专家:马敬堂教授(西南财经大学

报告时间:2023年5月19日(周五)14:00

报告地点:经管楼A927

主办单位:十大现金买球公司

Abstract: This talk focuses on the study of the optimal time for the individual to join an unemployment insurance scheme which is intended to protect workers against the consequences of job loss and to encourage the unemployed workers to find a new job as early as possible. The wage dynamic is described by a geometric Brownian motion model under drift uncertainty and the problem is a kind of two-dimensional degenerate optimal stopping problems which is hard to analyze. The optimal time of decision for the workers is given by the first time at which the wage process hits the free boundary which therefore plays a key role in solving the problem. This paper analyzes the monotonicity and continuity of the free boundary and derives a nonlinear integral equation for it. For a particular case the closed-form formula of free boundary is obtained and for the general case the free boundary is solved by the numerical solution of the nonlinear integral equation. The key in the analysis is to convert the degenerate problem into the non-degenerate one using the probability approach.  (This is joint work with Jie Xing and Wensheng Yang).

摘要:报告讲述关于失业保险计划最佳决策时间的研究。该失业保险计划旨在保护员工免受失业的影响,并鼓励失业员工尽早找到新工作。工资动态过程由漂移不确定性下的几何布朗运动模型描述,并且该问题可转化为一类二维退化最优停止问题。最佳决策时间是由工资过程第一次到达自由边界的时间给出的,由此自由边界在解决问题中起着关键作用。本文分析了自由边界的单调性和连续性,导出了它的非线性积分方程。对于特定情况,得到了自由边界的封闭解,对于一般情况,通过非线性积分方程的数值计算来求解自由边界。

个人简介:马敬堂,西南财经大学数学学院教授、博士生导师、院长,教育部新世纪优秀人才。现任教育部大学数学课程教学指导委员会工作委员,中国计算数学学会理事,四川省数学会常务理事,中国运筹学会金融工程与金融风险管理分会副理事长,East Asian Journal on Applied Mathematics编委。主要研究方向为:计算数学、金融数学(期权定价模型、最优投资算法、随机控制计算、HJB方程数值解)。在SIAM Journal on Control and Optimization, European Journal of Operational Research, Insurance: Mathematics and Economics等期刊发表论文。

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