Time: December 20, 2019 (Friday) 14:00
Place: room 306, SEM Building
Speaker: Professor Zeng Yan, Lingnan College of Sun Yat sen University and research center of financial engineering and risk management of Sun Yat sen University
Topic: Optimal post retirement planning For couples with dependent mortality
Abstract：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. (Coauthor with Baiyi Wu and Yijia Lin)
Personal profile: Zeng Yan, male, professor and doctoral supervisor of Lingnan College of Sun Yat sen University. He is mainly engaged in the research of financial engineering, risk management, actuarial science, digital Inclusive Finance and financial economics. He is the chief expert of major projects of national social science fund, young Pearl River scholar of Guangdong Province, outstanding young project winner of Natural Science Foundation of Guangdong Province, Huo Yingdong education fund project winner, and training object and system of "one hundred and ten project" in Colleges and universities of Guangdong Province He is the winner of the youth science and technology award of science and systems engineering, and the winner of the youth science and technology award of China decision science. He has presided over more than 10 subjects such as national self discipline projects, and published in the famous journals in this field, such as journal of economic dynamics and control, insurance: Mathematics and economics, annals of operations research, IEEE Systems Journal, Journal of economics Optimization Theory and More than 70 academic papers have been published in applications, Journal of management science, etc., of which 40 papers are included in SCI / SSCI; the research achievements have won the first prize of Guangdong Province excellent achievements in philosophy and Social Sciences (provincial level), the third prize of the seventh excellent scientific research achievements of Colleges and universities (ministerial level), and the third prize of social security forum of the Ministry of human security of China (ministerial level); academic part-time jobs include undergraduate of Guangdong Province He is the Secretary General of the Teaching Steering Committee of finance majors in Colleges and universities, the director of China Association for optimal law unified research and economic mathematics, the Secretary General of Quantitative Finance and insurance branch of China Association for optimal law and economic mathematics, the standing member of the youth working committee of China Association for optimal law, and the Standing Committee of financial engineering and financial risk management branch of China Operational Research Association Director, executive director of decision science branch of China Operational Research Association, editorial board member of Quantitative Finance and economics, etc.
