讲座题目：Life-cycle planning model with rational inattention
主 持 人： 袁雨
讲座时间： 12月24日 15:00-16:00
讲座地点：临江楼A106-107会议室
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报告摘要：In this study, we investigate the information-based dynamic strategic decision makings in consumption, investment and life insurance purchase for a household with two consecutive generations. A continuous-time model featuring the time-varying information-processing ability of the economic agent is considered. Specifically, we consider the situation where the decision makers cannot observe the states perfectly due to the impact of rational inattention, and they can only observe a noisy signal containing imperfect information about the states. The economic agent can dynamically change the information channel capacity of the private information to adjust the estimation accuracy. Closed-form solutions for value functions and optimal rules are obtained for before and after the death of the wage earner by adopting dynamic programming principle coupled with Hamilton-Jacobi-Bellman (HJB) equations. Finally, numerical studies are provided to illustrate the economic implications of the solutions.
专家信息：王宁，FRM，现任教于澳大利亚国立大学金融，精算与统计研究学院。2020年12月获华东师范大学统计学博士学位，2021年2月获澳大利亚麦考瑞大学精算学博士学位。研究兴趣主要为随机最优控制在金融与保险中的应用，包括最优再保险设计，最优投资组合，生命周期模型，随机微分博弈，模型不确定性，气候风险等。目前在精算，运筹与数量金融领域知名期刊IME，SAJ，NAAJ，EJOR，ANOR，QF等发表论文二十余篇，是二十本SCI/SSCI期刊的匿名审稿人。
管理工程学院
2025年12月22
