报告题目：Variable Annuity Pricing with Limited Attention
时 间：2026年6月22日（星期一）10：00
地 点：科研楼18号楼1102
主 办：数学与统计学院
参加对象：感兴趣的老师和学生
报告摘要：We study the role of limited attention in the pricing of variable annuities. In contrast to the existing literature, which typically assumes continuous monitoring, we introduce an attention friction where policyholders observe their account only intermittently. At each decision date, observation occurs with an exogenous probability p, and surrender decisions are made only when observation takes place. We show that limited attention reduces the frequency of policyholder surrender behavior, which in turn lowers the fair insurance fee and helps reconcile the gap between standard model-implied fees and those observed in the market. Furthermore, by allowing the attention probability to vary with time, our model generates spike-shaped surrender patterns consistent with the market observation, highlighting limited attention as a potential mechanism behind this empirical feature.
报告人简介：李斌（Bin Li）是滑铁卢大学统计与精算学系教授。他的研究兴趣包括应用随机过程、模糊环境下的决策、最优保险合约设计、投资组合优化以及时间不一致随机控制。他已发表40余篇论文，其中多篇刊载于权威期刊，包括《Bernoulli》,《Insurance: Mathematics and Economics》, 《Journal of Economic Dynamics and Control》, 《Journal of Risk and Insurance》, 《Mathematical Finance》, 《SIAM Journal on Financial Mathematics》, 《Stochastic Processes and their Applications》。他的研究得到了加拿大精算师协会、加拿大自然科学与工程研究委员会以及北美精算师协会的支持。