勷勤数学•专家报告

题      目：Time-consistent Open-loop Solutions for Linear Quadratic Stackelberg Differential Games and Its Application in Pension Management

报  告  人：赵慧  副教授  (邀请人：杨舟)

                                   天津大学

时      间：8月15日  11：00-12：00

地     点：数科院401

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。作为项目负责人，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。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。曾获第十八届天津市社会科学优秀成果奖三等奖，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。

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 the policy holders as an application. Applying the general sufficient condition, we obtain equilibrium strategies for the pension manager and the policy holders.

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