南开保险精算大讲堂是南开保险与精算研究院主办的系列讲座，旨在搭建保险精算领域学术交流平台、推动相关领域的研究与合作。讲座主题涵盖保险精算、风险管理、随机过程、大数据等多个领域，欢迎校内外师生积极参加！

本期南开保险精算大讲堂活动安排如下：

讲座题目

Inter-temporal DC Pension Management

主讲人：李博晗

李博晗，苏州大学优秀青年学者（讲师），南开大学博士，师从郭军义教授，香港中文大学博士后，研究兴趣包括随机控制、保险精算、金融工程与平均场博弈等。论文发表在International journal of control、RAIRO Operations research等国际期刊。

讲座时间

2025年5月12日（周一）

9：30

讲座地点

金融学院 434

Abstract: The ongoing transition from defined benefit (DB) pension plans to defined contribution (DC) plans in many countrieshas brought into great emphasis the optimal investment problem in DC plans, among the risk management of occupational retirement plans. Existing research largely neglects the impacts of inter-temporal reward for DC pension fund managers who earn management fees proportional to assets under management both during the interim period and at the plan maturity. This article aims to resolve this long-standing investment problem, namely, the DC pension management with constant contributions from fund holders from the perspective of a manager seeking to maximize the expectation of generic running and terminal utilities of the management fees collected. With the aim of the Dynamic Programming Principle, the problem is associated with a singular, fully non-linear HJB equation. One of our contributions is to develop a rigorous mathematical analysis that establishes the existence of its classical solution by transforming the problem into a non-canonical variational inequality problem which is then solved in a tailored Sobolev space. In addition, another contribution is to introduce anefficient numerical scheme to compute the optimal trading strategy and the value function. Our simulation studies reveal that the policy of charging a substantial terminal-only management fee alone can now be replaced by another scheme of charging a small amount of management fee over the interim period together with a fee at plan maturity. It not only maintains the manager's satisfaction but also notably reduces the total management fees borne by the clients.                            

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