Actuarial finance, random walk in random environment, super Brownian motion

精算金融、随机环境中的随机游走、超布朗运动

• 批准号: RGPIN-2017-05706
• 负责人: Salisbury, Thomas
• 金额: $ 2.7万
• 依托单位: York University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2020
• 资助国家: 加拿大
• 起止时间: 2020-01-01 至 2021-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=711768
• 关键词: Actuarial; finance; random; walk; environment

The applicant's area of study is probability theory. His research program will address three quite distinct topics. The most applied topic is in actuarial finance, namely mathematical questions arising from the optimal design and management of retirement income products. The research program includes two projects in this area. One concerns the behaviour and design of Tontines. These are alternatives to annuities, when mortality rates are uncertain or stochastic. They hedge individuals' idiosyncratic longevity risk (the risk that they will live longer than others), but leave them exposed to systematic longevity risk (the risk that the entire population will live longer than anticipated). Tontines should therefore be cheaper and less risky to provide than annuities, and one is interested in understanding the tradeoff of purchasers' cost versus risk, the optimal way to design such products, and the factors that affect how they benefit individuals. A second project in this area will study how individuals should consume from a retirement nest egg, once they have access to information about their biological age (which may differ from their chronological age). Genetic testing will soon make this kind of information widely available, so it is important to explore its consequence for retirement planning (as well as its consequences for the pricing and risk management of annuities). A completely separate topic is the study of random walk in random environment. This fits into the general field of studying random motion through disordered systems (for example, the percolation of water through an aquifer). The classical work in this area assumes ellipticity or uniform ellipticity, ie that the walker can always move in any direction. Recently there has been interest in models where this condition is relaxed, and some (randomly varying) directions are prohibited. This leads to percolation questions, and to barriers or traps that have a different character than in previous work. In dimension 2 one would like to show recurrence for balanced but asymmetric models. In dimension 3, the percolation questions to resolve will involve random surfaces. The third major topic (also completely separate) concerns the behaviour and properties of X-harmonic functions of super Brownian motion. Superprocesses are a widely studied class of infinite-dimensional stochastic processes, taking values in the set of probability measures on Euclidean space. One way they arise is via limits of population genetics models. X-harmonic functions allow one to adjust the laws which describe the stochastic process (a martingale change of measure), and to study how new information causes those laws to be revised (conditioning the process). The theory of such functions is fragmentary and poorly understood. For example, there is a recurrence that arises naturally in this context, for which we know very little about either existence or uniqueness.

申请人的研究领域是概率论。他的研究计划将涉及三个截然不同的主题。 应用最广泛的主题是精算金融，即退休收入产品的最佳设计和管理所产生的数学问题。该研究计划包括该领域的两个项目。一个是关于Tontines的行为和设计。当死亡率不确定或随机时，这些是年金的替代品。它们对冲了个人的特殊长寿风险（他们比其他人活得更长的风险），但使他们面临系统性长寿风险（整个人口比预期寿命更长的风险）。因此，与年金相比，Tontines应该更便宜，风险更小，人们有兴趣了解购买者的成本与风险之间的权衡，设计此类产品的最佳方式以及影响个人受益的因素。这一领域的第二个项目将研究个人一旦获得有关其生物年龄（可能与实际年龄不同）的信息，应如何从退休储蓄中消费。基因检测将很快使这类信息广泛可用，因此探索其对退休计划的影响（以及其对年金定价和风险管理的影响）非常重要。 一个完全独立的主题是研究随机环境中的随机游动。这符合研究无序系统中随机运动的一般领域（例如，水通过含水层的渗透）。在这方面的经典工作假设椭圆或均匀椭圆，即步行者可以随时向任何方向移动。最近有兴趣在模型中，这个条件是放松的，一些（随机变化的）方向是禁止的。这导致渗流问题，并有一个不同的字符比以前的工作障碍或陷阱。在维度2中，人们希望展示平衡但非对称模型的递归。在三维空间中，要解决的渗流问题将涉及随机表面。 第三个主要议题（也是完全独立的）涉及超布朗运动的X-调和函数的行为和性质。超过程是一类被广泛研究的无穷维随机过程，取值于欧氏空间上的概率测度集合。它们产生的一种方式是通过群体遗传学模型的限制。X调和函数允许人们调整描述随机过程的定律（测度的鞅变化），并研究新信息如何导致这些定律被修改（调节过程）。这种功能的理论是零碎的，也很难理解。例如，有一个递归在这种情况下自然出现，我们对它的存在性或唯一性知之甚少。