报 告 人： 范堃 华东师范大学 教授、博士生导师
报告时间： 2025年11月25日18:30-19:30
报告地点：#腾讯会议：362-683-9628
报告摘要：
In this paper, we investigate the optimal timing for implementing green technology to mitigate the impact of rising temperatures on a company’s consumption, where consumption is modeled as a jump-diffusion process to capture both continuous fluctuations and sudden changes. Rising temperatures negatively affect consumption, prompting the company to invest in green technology to counter these adverse effects. To account for variability in technological advancements, the evolution of technology costs is modeled by a compound Poisson process. Our objective is to determine the optimal investment threshold that maximizes the company’s consumption under dynamic stochastic models related to climate change. The stopping problem is reformulated as a free-boundary problem, and by solving the associated Hamilton-Jacobi-Bellman (HJB) equation, a semi-closed-form solution for the optimal boundary is derived. We extend our optimal timing model for investments in green technology by incorporating insurance coverage and examine how the purchase of insurance affects the optimal investment threshold. We further provide numerical analysis to demonstrate the influence of various parameters on the optimal investment boundary, offering practical insights for decision-makers.
报告人简介：
范堃，华东师范大学统计学院教授、博士生导师，中国准精算师，主要研究领域是保险精算、风险管理，主持国家级课题两项、省部级课题五项，入选上海市浦江人才计划、上海市晨光计划，获上海市自然科学奖三等奖。在Insurance: Mathematics and Economics、Annals of Operations Research、Economic Modelling等学术期刊发表论文30余篇，出版专著一本。
