报 告 人：梁志斌  南京师范大学教授

报告时间：2025.11.28(周五) 9:30-10:30

报告地点：腾讯会议：292-667-491

报告摘要：In this work, we conduct a detailed study of the deposit insurance with the presence of liquidation cost and capital requirements. More specifically, the deposit insurance contract is modeled as a put option, and the insured bank has the right of choosing an optimal time to strategically close itself during the valid period. Meanwhile, the bank will be closed by the regulator if the surplus of the bank is lower than the threshold. Based on the optimal stopping theory, we give the corresponding variational inequalities and free boundaries. Two different kinds of boundaries are derived respectively, and the connection between them are also explored. Further numerical analysis are given to make the theoretical results intuitive and show the effects of some important parameters. This model captures some interesting findings, such as, banks always choose to wait when the wealth is close to compensation threshold; If regulations raise the capital requirement, banks will delay the closure time.

报告人简介： 梁志彬博士，南京师范大学数学科学学院教授，博士生导师。主要研究方向：风险管理与精算，数理金融与定价，随机最优风险控制。目前感兴趣的研究领域是：金融保险市场不确定环境下的博弈与优化；去中心化最优风险共担决策；深度学习算法下的量化金融与随机最优控制。在EJOR，JEDC，IME，SAJ，AMO等数理金融与精算以及优化相关期刊发表学术论文60余篇，主持和完成国家自然科学基金项目4项，省部级基金项目及横向项目多项。08年以来，先后访问过英国London Imperial College的Tanaka商学院；美国University of Michigan的数学系（先后三年半）；加拿大Concordia University的数学与统计系；美国北卡州立大学数学系；以及多次访问香港大学的统计与精算系等。