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甬江數學講壇(2019年第31講)

發布日期:2019-07-20 作者:數學與統計學院 文章來源:  責任編輯: 瀏覽量:

報告題目: Valuation of Risk-Based Premium of PBGC報 告 人:錢林義(華東師范大學,教授)

報告時間:2019年7月22日(星期一),15:30—16:30

報告地點:龍賽理科樓,數學與統計學院116

報告摘要:In this paper, we mainly focus on valuation of risk-based premium of private pension plan with termination provided by the Pension Benefit Guaranty Corporation(PBGC). In practical problems, the jump diffusion model is more practical and reasonable. Taking account of this situation, we consider the jump diffusion model and obtain a closed-form pricing formula for this risk-based premium. Through numerical simulations, we analyze the impact of these variables on the premium and show the trend of premium changes.

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