金融工程研究中心学术报告：Time-consistent open-loop solutions for linear quadratic stackelberg differential games and its application in pension management

报 告 人： 赵慧 天津大学数学学院副教授 报告时间： 2024年4月12日18：30 报告地点：腾讯会议： 949-805-812   报告摘要：This paper formulates a general time-inconsistent linear quadratic mean-field Stackelberg differential game. We define the equilibrium strategies for the follower and the leader, which are two open-loop controls. The sufficient conditions for equilibrium controls are derived via two flows of forward-backward stochastic differential equations. Finally, we consider a stackelberg game between a pension manager and policy holders as an application. Applying the general sufficient condition, we obtain explicit equilibrium strategies for the pension manager and policy holders.   报告人简介：天津大学数学学院副教授，现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员、中国优选法统筹法与经济数学研究会量化金融与保险分会理事，中国现场统计研究会风险管理与精算分会理事,天津市工业与应用数学学会理事。主持3项国家自然科学基金项目和1项天津市自然科学基金面上项目。曾获第十八届天津市社会科学优秀成果奖三等奖。在金融和精算领域期刊《European Journal of Operational Research》、《Insurance: Mathematics and Economics》、《Quantitative Finance》、《Scandinavian Actuarial Journal》、《Astin Bulletin》等发表论文30余篇。入选天津市131创新型人才培养工程第三层次人选和天津大学北洋学者。