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
Pricing Models for Data Assets: Investment-Consumption Framework under Ambiguity
主讲人：杨舟
杨舟，华南师范大学数学科学学院，教授，博士导师。主要从事金融数学和随机控制方面的研究，主要研究方向为：美式衍生产品定价、最优投资组合、最优停时问题、金融中的自由边界问题。部分研究成果发表于 MATH OPER RES、SIAM J CONTROL OPTIM、SIAM J FINANC MATH、SIAM J MATH ANAL、J DIFFER EQUATIONS等期刊。曾主持五项国家基金和多项省部级基金。
讲座时间
2025年6月5日（周四）
10：00
讲座地点
腾讯会议： 433-443-361
Abstract:Data assets refer to processed and mined data commodities based on practical needs. A reasonable pricing mechanism for data assets is crucial for fostering a prosperous data market and unlocking their inherent value. Unlike traditional assets, data assets typically do not generate direct cash flows for users. Instead, they provide information to support decision-making, thereby enabling users to achieve excess returns or utility. This characteristic makes it challenging to evaluate data assets' utility value from the buyer's perspective. Existing literature predominantly studies data asset pricing from the perspectives of data properties and costs. This paper, however, investigates the informational value of data assets from the buyer's standpoint, establishes a pricing model, and analyzes its properties. Based on the principle of indifference pricing, the price of a data asset is determined implicitly by the value functions of robust investment-consumption problems in two ambiguous markets. First, we simplify the value functions using existing theoretical results. Then, leveraging mathematical analysis tools and differential equation theory, we derive the general expressions and properties of the price under broad conditions. Subsequently, explicit pricing formulas are obtained under specific scenarios. Finally, numerical simulations are conducted to validate the theoretical findings.
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