报告题目：Generalized Importance Sampling for Nested Simulation

报 告 人：Ben Feng（加拿大滑铁卢大学 副教授）

主 持 人：曾燕（中山大学岭南学院 教授）

时    间：2024年6月27日（周四）15:30

地    址：岭南堂黄炳礼会议室（203）

语    言：中文+英文

摘要:

Importance sampling (IS) is a classical variance reduction technique. Under mild conditions, an IS estimator is unbiased, so one often seeks variance-minimizing optimal sampling distribution. IS has remarkable success in many applications such as engineering, operations research, and finance. In some applications such as enterprise risk management and input uncertainty quantification, complex simulation designs such as nested simulation arises naturally: The outer-level simulation generates a set of risk factors, i.e., the scenarios, which are used as inputs for inner-level simulations. Nested simulation leads to wasteful use of computations as inner simulation outputs in each scenario are isolated from other scenarios. In this study, we propose, analyze, and test a generalized importance sampling technique for nested simulation. Our generalized IS approach reuses one set of inner simulation outputs across different outer scenarios. Numerical experiments show that our proposal is orders of magnitudes more efficient than the standard procedure.

报告人介绍：

Prof. Ben Feng is an associate professor in actuarial science at the University of Waterloo. He earned his Ph.D. in the Department of Industrial Engineering and Management Sciences at Northwestern University. He is an Associate of the Society of Actuaries (ASA) and a Certified Analytics Professional (CAP). His research interests include stochastic simulation design and analysis, optimization via simulation, nonlinear optimization, and financial and actuarial applications of simulation and optimization methodologies. His e-mail address is ben.feng@uwaterloo.ca and his website is http://www.math.uwaterloo.ca/~mbfeng/.

活动由中山大学保险与金融工程教研室和中山大学金融工程与风险管理研究中心联合举办。   

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岭南学院保险与金融工程教研室于2022年1月成立，由教授、副教授等15名成员组成。研究领域包括保险精算、金融工程、风险管理、社会保障、数字金融与保险、行为金融等。教研室成员曾在Operations Research、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics、《经济研究》《管理世界》《管理科学学报》等本领域权威期刊发表论文；教研室成员主持过多项国家社科基金重大项目，研究成果获得过多位国家领导人的批示，也获得过教育部高等学校科学研究优秀成果奖（人文社会科学）二等奖等奖项。详情请见链接：https://lingnan.sysu.edu.cn/organization/08。

中山大学金融工程与风险管理研究中心于2003年6月成立，是广东省人文社科重点研究基地，以建设高水平、开放型的金融工程与风险管理研究平台为宗旨，综合运用金融学、经济学、管理学、数学、工程学、行为学等学科的理论、方法和技术，创新性地研究和解决金融发展中遇到的重大理论与实践问题。本中心紧紧围绕科学研究这一主要工作，积极与国内外学者进行学术交流，力争承担重要科研项目、取得高质量科研成果，并为经济金融现实提供决策咨询服务，继而推动相关学科的建设和和发展。研究领域包括：金融工程、风险管理、数字金融、数字保险、数字经济、绿色金融、养老金融、供应链金融、资源配置、资产定价、金融市场、保险精算、决策与对策等。详情请见链接：https://bus.sysu.edu.cn/cferm/index.htm。