1. 10月8号（周一）
报告时间：10月8日上午10:00-11:00
报告地点：中北理科大楼A1716
报告人： Yang Shen（加拿大 York University）
Title: Retirement planning with ambiguous investment and mortality risks
Abstract: In this talk, we discuss the strategic retirement planning problem for a wage earner facing stochastic lifetime. The wage earner aims to decide on the optimal portfolio choice, consumption and insurance buying rules over the pre-retirement phase, but meanwhile she concerns about the uncertainty of financial and mortality models. In order to address the concern, the wage earner considers the optimal decisions under the worst-case scenario selected from a set of plausible alternative models. We find that the investment ambiguity and mortality ambiguity have substantially different impacts on the optimal decisions. Specifically, though the worst-case investment scenario depends only on the financial environment, the design of the worst-case mortality scenario is determined by the intricate interplays between the wage earner's personal profile (e.g., health status, income dynamics, risk aversion, etc.) and the evolution of the financial market. What is more, the study of mortality ambiguity is also closely related to the value of life expectancy which can be positive and negative in general. Such a complicated theoretical structure underlying the risk of mortality ambiguity can sometimes even overturn the direction of its impacts on the optimal decisions. Our paper highlights the importance as well as the complexity for modeling ambiguity aversion in optimal retirement studies, which desires more serious and critical treatments from the community of actuarial professionals.
2.院系报告（10月10日）
题 目：Testing the presence of significant covariates through conditional marginal regression
报告人：唐炎林 副教授
主持人：张日权 教授
时 间：2018年10月10日13:00-13:30
地 点：中北校区理科大楼A1716
题 目：Uniform projection designs
报告人：王亚平 助理教授
主持人：张日权 教授
时 间：2018年10月10日13:30-14:00
地 点：中北校区理科大楼A1716
题 目：Reinsurance premium principles based on weighted loss functions
报告人：王莹 助理教授
主持人：张日权 教授
时 间：2018年10月10日14:10-14:40
地 点：中北校区理科大楼A1716
题 目：Stochastic differential investment and reinsurance games with nonlinear risk Processes and VaR constraints
报告人：张楠 晨晖学者
主持人：张日权 教授
时 间：2018年10月10日14:40-15:10
地 点：中北校区理科大楼A1716
3.10月11号（周四）
报告时间：10月11日14:00-15:00
报告地点：闵行法商南楼135会议室
报告题目：Optimal Subsampling Algorithm for Big Data Generalized Linear Models
报告人：Mingyao Ai（Peking University）
Abstract：To fast approximate the maximum likelihood estimator with massive data, Wang et al. (JASA, 2017) proposed an optimal subsampling method under the A-optimality criterion (OSMAC) for in logistic regression. This paper extends the scope of the OSMAC framework to include generalized linear models with canonical link functions. The consistency and asymptotic normality of the estimator from a general subsampling algorithm are established, and optimal subsampling probabilities under the A- and L-optimality criteria are derived. Furthermore, using Frobenius norm matrix concentration inequality, finite sample properties of the subsample estimator based on optimal subsampling probabilities are derived. Since the optimal subsampling probabilities depend on the full data estimate, an adaptive two-step algorithm is developed. Asymptotic normality and optimality of the estimator from this adaptive algorithm are established.
The proposed methods are illustrated and evaluated through numerical experiments on simulated and real datasets.
报告人简介：艾明要，男，2003年在南开大学取得博士学位，之后来北京大学数学科学学院工作至今。2007年8月至2009年1月，美国佐治亚理工学院访问学者。现为北京大学数学科学学院统计学教研室主任、教授、博士生导师,兼任中国现场统计研究会常务理事，中国现场统计研究会试验设计分会理事长、高维数据统计分会副理事长、空间统计分会秘书长，国际统计期刊《Statistica Sinica》、《Journal of Statistical Planning and Inference》、《Statistics and Probability Letters》、《STAT》副主编，国内数学期刊 《系统科学与数学》编委。主要从事试验设计与分析、计算机试验、大数据分析和应用统计的教学和研究工作，在Ann Statist、JASA、Biometrika、Technometrics、Statist Sinica等国内外顶尖期刊发表学术论文六十余篇，主持完成国家自然科学基金面上项目5项、重点项目子课题1项，参与完成国家科技部973课题2项。