题目：Optimal Post-Retirement Planning for Couples with Dependent Mortality

　　报告人：曾燕，中山大学岭南学院，副教授

　　时间：2018年4月20日(周五)15:30~17:30

　　地点：经管院B228

　　报告摘要：This paper proposes a multi-period consumption and portfolio choice model for retired couples with dependent mortality rates. The analysis indicates that the correlation in mortality rates of spouses affects optimal retirement decisions. We find that retired couples who consider mortality dependence in their financial planning achieve a higher utility than those who ignore the dependence. In particular, retired couples who take into account mortality correlation optimally adopt a more risky investment strategy and have a smoother utility trajectory. Moreover, the demand for annuities will be substantially lower if they ignore dependence in mortality rates. Using the optimal level suggested by our model as a benchmark, we show that the prevalence of ignorance and indifference about mortality dependency observed in reality is one important factor that explains the annuity puzzle.

　　报告人简介：曾燕, 中山大学岭南学院副教授、博士生导师。其主要从事金融工程、风险管理、保险精算与金融经济学等领域的研究，曾在香港大学、加拿大滑铁卢大学、美国麻省理工学院(MIT)访问，是广东省杰青、霍英东教育基金项目获得者、广东省高校“千百十工程”校级培养对象;主持了国家自科面上项目等10余项课题，其中省部级以上10项，参与了国家自然科学基金项目、教育部哲学社会科学研究重大课题攻关项目、广东省自然科学基金研究团队项目等多项课题;在本领域著名期刊《Insurance: Mathematics and Economics》、《Journal of Economic Dynamics and Control》、《Annals of Operations Research》、《IEEE Systems Journal》、《Journal of Optimization Theory and Applications》、《管理科学学报》等上发表学术论文60余篇，其中SCI/SSCI收录30余篇;研究成果获得广东省哲学社科优秀成果一等奖(省级)、第七届高等学校科学研究优秀成果三等奖(部级)、中国人保部社会保障论坛征文三等奖(部级)等;学术兼职包括中国运筹学会金融工程与金融风险管理分会副秘书长、Quantitative Finance and Economics编委等。