江苏省应用数学（中国矿业大学）中心系列学术报告
报告时间：2026年5月16日（周六） 8:00-18:00
报告地点： 数学学院A321
报告人：梁志彬 教授 南京师范大学
报告题目1: Optimal timing of strategic bank closure under deposit insurance and capital requirements
摘 要: In this talk, we conduct a detailed study of the deposit insurance with the presence of liquidation cost and capital requirements in a finite time horizon. More specifically, the deposit insurance contract is modeled as a put option, and the insured bank has the right of choosing an optimal time to strategically close itself or terminate the contract during the valid period. To better align with reality, we incorporate penalty for early contract termination. Meanwhile, the bank will be liquidated by the regulator if the surplus of the bank is lower than the threshold. Based on the optimal stopping theory, we give the corresponding variational inequalities, two different kinds of boundaries are derived respectively, and the properties as well as the connection between them are also explored. Besides, we identify some interesting findings, such as, the insured bank always chooses to wait when the wealth is close to compensation threshold; If the regulator releases the capital requirement, banks will delay the closure time; Under the assumption of zero terminal penalty and adequate asset quality, the bank's stopping strategy is absorbed by the terminal horizon as time evolves toward maturity, effectively resulting in a wait-and-see approach until the contract expires naturally. Moreover, a leader-follower game framework is also proposed to describe the relationship between the insurer and insured bank, and further numerical analysis are given to show the impacts of some important parameters on the boundaries.
报告人简介：梁志彬，南京师范大学数学科学学院教授，博士生导师。主要研究方向：风险管理与精算，数理金融与定价，随机最优风险控制。目前感兴趣的研究领域是：金融保险市场不确定环境下的博弈与优化；去中心化最优风险共担决策；深度学习算法下的量化金融与随机最优控制。在EJOR，JEDC，IME，SAJ，AMO等数理金融与精算以及优化相关期刊发表学术论文70余篇，主持和完成国家自然科学基金项目4项，省部级基金项目及横向项目多项。08年以来，先后访问过英国London Imperial College的Tanaka商学院；美国University of Michigan的数学系（先后三年半）；加拿大Concordia University的数学与统计系；美国北卡州立大学数学系；以及多次访问香港大学的统计与精算系等。
报告人：孟辉 教授 中央财经大学
报告题目2: Optimal reinsurance design under the premium principle with a combined convex and percentile measure
摘 要: In the insurance field, reinsurance is an important tool for insurance companies to conduct risk sharing. We propose a class of premium principles combining convex and percentile functions, extending the generalized percentile premium principle. Based on this composite premium principle and the Cramér–Lundberg risk model, we study the maximization of the Lundberg exponent under reinsurance control, subject to the principle of indemnity and incentive compatibility constraints. Using an adjustment method, we derive an optimal reinsurance strategy with a piecewise structure and prove the existence and uniqueness of both the optimal reinsurance strategy and the maximum Lundberg exponent. When the convex functions are specified as linear, quadratic, exponential, and piecewise linear functions, we obtain more explicit structural forms of the optimal reinsurance strategy.
报告人简介：孟辉，中央财经大学保险学院/中国精算研究院 教授，博士生导师,中央财经大学“青年龙马学者”。研究方向包括保险精算、金融风险分析与决策等，主持多项国家自然科学基金面上项目和中央财经大学创新团队项目，在《SIAM Journal on Control Optimization》、《SIAM Journal on Financial Mathematics》、《European Journal of Operational Research》、《Economic Modelling》、《Insurance: Mathematics and Economics》、《ASTIN Bulletin》、《Scandinavian Actuarial Journal》、《中国科学：数学》等国内外重要期刊上发表四十余篇论文。
报告人：周明 教授 中国人民大学
报告题目3: Optimal consumption and investment in an incomplete market with hedgeable stochastic income
摘 要: This paper studies the optimal consumption and investment problem with stochastic income in an incomplete market. We formulate a general model in which the financial market is intrinsic incomplete and the income risk is correlated with the market risk. The economic agent exhibits a general class of utility functions with respect to consumption and terminal wealth. Applying the martingale duality techniques, the optimal consumption and investment strategies and optimal equivalent martingale measure (EMM) for such incomplete market setting are investigated. In addition, we define a class of hedgeable stochastic income whose volatility can be represented in terms of volatility rates matrix of risky assets. An important example is that the log return of stochastic income can be linearly expressed by the log return of risky assets in the financial market. We show that hedgeable stochastic income is the sufficient and necessary condition of a certain optimal EMM, and then the optimal consumption and investment policies can be explicitly obtained under hedgeable stochastic income. As an application, we present the optimal heterogeneous consumption and investment for an agent with CARA preference. At last, numerical studies are given to illustrate some economic implications of the results.（This is a joint work with my PhD student Hao Zhou and Professor Hui Meng.）
报告人简介：周明，中国人民大学教授，博士生导师，北美准精算师，中国精算师协会正会员。主要研究方向为量化风险管理与精算、金融与保险中的随机控制与优化。在国内外学术期刊发表论文50余篇，主持国家、省部级课题和企业委托课题共计10余项。
报告人：史紫月 助理研究员 南开大学
报告题目4: Performance-based variable premium scheme and reinsurance design
摘 要:In the literature, insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller’s risk attitude. Building on the work of Meyers (1980) and Chen et al. (2016), we propose a new performance-based variable premium scheme for reinsurance policies, where the premium depends on both the distribution of the ceded loss and the actual realized loss. Under this scheme, the insurer and the reinsurer face a random premium at the beginning of the policy period. Based on the realized loss, the premium is adjusted into either a “reward” or “penalty” scenario, resulting in a discount or surcharge at the end of the policy period. We characterize the optimal reinsurance policy from the insurer’s perspective under this new variable premium scheme. In addition, we formulate a Bowley optimization problem between the insurer and the monopoly reinsurer. Numerical examples demonstrate that, compared to the expected-value premium principle, the reinsurer prefers the variable premium scheme as it reduces the reinsurer’s total risk exposure.
报告人简介：史紫月，南开大学保险与精算研究院助理研究员，博士，主要从事最优再保险、保费设计与风险度量等方向的研究，成果发表于Insurance: Mathematics and Economics，ASTIN Bulletin等国际主流保险精算期刊。