十大彩票预测 学术报告[2025] 129号

(高水平大学建设系列报告1231号)

报告题目： Efficient Pricing and Greeks Estimation for Variable Annuities under a Multivariate OUSV Model

报告人：张志民 教授（重庆大学）

报告时间：2025年11月22日下午14:00-15:00

报告地点：汇文楼2433

内容摘要：As the understanding of GMxB-related risks deepens, insurance companies are increasingly seeking efficient annuity risk management systems. This paper is the first to extend the Karhunen-Loève (KL) expansion method to the pricing and Greeks estimation of the GMxB variable annuities written on multiple sub-account funds, under the multivariate Ornstein-Uhlenbeck stochastic volatility model. Additionally, the simulation-based path-wise (PW) and likelihood ratio (LR) methods are generalized for efficient Greeks computation within the multi-asset annuity framework. Through asymptotic analysis, we address a theoretical gap in the original KL expansion sampling framework. Numerical experiments demonstrate that the proposed method achieves computational efficiency and robustness, providing a practical and reliable framework for the risk management of complex multi-asset variable annuities.

报告人简历：张志民，重庆大学教授、博士生导师，重庆市学术技术带头人，香港大学和墨尔本大学访问学者。目前担任中国工业与应用数学学会理事，中国双法研究会量化金融与保险分会常务理事、重庆市统计学会理事等。主要研究兴趣为保险精算、金融数学、统计学习、机器学习等。已发表高水平论文80余篇，其中在保险精算权威杂志IME、AB、SAJ发表论文20余篇。主持4项国家自然科学基金，多项省部级和横向课题。

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邀请人：李婧超

十大彩票预测

2025年11月20日