报告题目：Optimal Annuitization and Asset Allocation with Fixed Transaction Costs

报告时间：2026年10月30日 17：00-18：00

地点：疯av 106会议室

报告人：梁晓青

摘要：In this paper, we examine optimal annuitization and asset allocation strategies for a utility-maximizing retiree with constant absolute risk aversion (CARA). The retiree can invest in a market consisting of one risky asset and one risk-free asset and is also allowed to purchase life annuities, with each purchase of life annuities incurring a fixed transaction cost. By using a stochastic control approach and duality techniques, we find that the optimal annuitization strategy is a barrier strategy involving a lower and an upper barrier on the retiree's wealth. Once the wealth reaches the upper barrier, the retiree purchases additional annuity income to reduce the wealth to the lower one. Furthermore, we provide several numerical examples to illustrate our results and analyze the sensitivity of various parameters. We also compare these optimal strategies with those in the constrained Merton model and the scenario without transaction costs. Numerical results indicate that transaction costs can not only postpone the retiree's decision on annuitizing additional wealth, but also underspending and slow drawdown rate in the decumulation phases, which provide further explanations for the annuity puzzle, retirement-consumption puzzle and retirement-savings puzzle. Finally, we conduct perturbation analysis and find an asymptotic approximation of the value function when the transaction fee is small.

报告人简介：梁晓青，河北工业大学应用统计系教授，博士毕业于南开大学数学科学学院。目前主要研究兴趣包括最优再保险投资、养老金设计和优化、最优年金保险购买及投资消费、寿险模型中的最优投资消费问题等。曾先后访问加拿大西蒙菲莎大学统计精算系，美国密歇根大学数学系，南方科技大学理学院，香港理工大学数学系。目前主持国家自然科学基金项目3项，河北省自然科学基金项目4项，参与国家自然科学基金及河北省自然科学基金项目多项。已在保险精算及优化控制领域主要期刊Insurance Mathematics and Economic, Scandinavian Actuarial Journal, ASTIN Bulletin, SIAM Journal on Financial Mathematics, SIAM Journal on Control and Optimization, Journal of Optimization Theory and Applications等发表多篇学术论文。