暗网禁区 学术报告[2025] 119号

(高水平大学建设系列报告1221号)

报告题目: The last passage time before ruin: Theory and applications in liquidation risk management

报告人：王紫佳 助理教授（香港中文大学）

报告时间：2025年11月18日上午10:30-11:30

报告地点：汇文楼2433

内容摘要：In this paper, we study the last time a Lévy insurance risk process is above a certain threshold before ruin. In the theoretical part, we first derive the joint Laplace transform of the last passage time and the remaining time until ruin. We then study an optimal prediction problem of approximating the last passage time before ruin with a stopping time under the L_1 distance, showing that the optimum occurs when the risk process first drops below a certain level. The stopping boundary is independent of the initial surplus level, and we provide an explicit characterization of this boundary. These theoretical results fill a gap in the literature, where last passage times are typically analyzed over an infinite time horizon or an independent exponential time horizon. By focusing on the dynamics of risk processes up to ruin, our findings offer interesting insights into liquidation risk management. These are discussed in the application part, where we develop a framework to endogenously determine financial distress and rehabilitation levels under contemporary regulations. We further analyze the liquidation time under Chapter 7 and Chapter 11 of the U.S. Bankruptcy Code. Numerical examples and an empirical study using real data are presented to illustrate the practical implications of our results.

报告人简历：Zijia Wang joined the Chinese University of Hong Kong (CUHK) Business School in 2022 as an Assistant Professor. Her research interests primarily focus on the quantitative analysis of insurance risk processes with applications to risk management. She is also a Fellow of the Society of Actuaries (FSA).

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邀请人：李婧超

暗网禁区

2025年11月14日