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Actuarial Science Events

Actuarial Science Events

This Month's Events

 

AQRM Seminars

  • Speaker: Kenneth Ng
  • Date: October 22, 2025
  • Time: 10:00 am - 11:00 am
  • Location: Math Tower (MW) 154 

This article constructs a forward exponential utility when the underlying risky assets are exposed to default risk. In the first part, by employing the Jacod-Pham decomposition on the random field, we propose an ansatz based on a number of recursively defined, indexed infinite horizon BSDEs. The unique existence and the boundedness of solutions of the BSDEs are established. We then provide a rigorous verification of the required (super)martingale property of the ansatz, which confirms that the ansatz is indeed a forward exponential utility. In the second part, we consider a stochastic factor model and constructs a forward exponential utility using solutions of ergodic BSDEs as the limits of the infinite horizon BSDEs. We further provide the economic meaning of the solution component of the ergodic BSDE -- the risk-sensitive growth rate of the optimal wealth process.

 

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