Institute of Insurance Science

Education

  • 2014: PhD in Applied Mathematics, University of Rouen, France. Thesis title: "Approximate hedging with transaction costs in stochastic volatility models". Supervisor: Prof. Serguei Pergamenshchikov

  • 5/2007: Msc in Probability and Statistics, University of Natural Sciences, National University, HCM City, Vietnam

  • 4/2003: Bachelor in Mathematics, University of Pedagogy HCM City, Vietnam.

  • 1999-2003: Student in French Program (AUF), Math Department, University of Pedagogy, HCM City, Vietnam

Research Interest

I am interested in Financial and Insurance Mathematics, mainly Stochastic control and its applications in Economics, Finance and Insurance. Some specific problems are

  • Expected utility maximization under  endogenous permanent market impacts
  • Non-concave optimal investment with constraints.
  • Transaction costs and the problem of approximate hedging
  • Collective investment and risk sharing
  • Optimal utility-based risk measures

 

Academic experience

  • 7/2015 - today: PostDoc researcher at the Institute of Insurance Science
  • 2014 - 6/2015: Assistant Professeur (ATER), University of Rouen, France
  • 2013 - 2014:  Assistant Professeur (ATER), University of Rouen, France. 
  • 2003 – 10/2010: Lecturer position, University of Economics, HCM City Vietnam.
  • 2005 – 2009: Visiting Lecturer, Hoa Sen University, Vietnam.

Teaching

 

  • WS 2018/2019: Risk theory 1 (master) with Mitja Stadje
  • WS 2018/2019: Topics in life and pension insurance (master) with An Chen
  • SS 2018: Risk theory 2 (master) with Mitja Stadje
  • SS 2018: Seminar in insurance mathematics (master)

  • WS 2017/2018: Risk theory 1 (master) with Mitja Stadje
  • WS 2017/2018: Topics in life and pension insurance (master) with An Chen

  • SS 2017: Risk theory 2 (master) with Mitja Stadje
  • SS 2017: Seminar in insurance mathematics (master)

  • WS 2016/2017: Advanced Topics in Insurance and Finance (master)
  • WS 2016/2017: Rough path theory seminar (master) with Robert Stelzer and Karsten Urban

  • SS 2016: Special Aspects of Insurance Economics (master seminar) with An  Chen
  • SS 2016: Insurance Economics (bachelor & master)

  • WS 2015/2016: Selected topics in life and pension insurance (Master program), with Peter Hieber
  • WS 2015/2016: Special aspects of insurance mathematics (Master seminar with Stefan Schelling)

  • 2013, 2014: Calculus, linear algebra, general algebra
  • 2013-2014: Mathematical methods for insurance (Master program)

  • 2008- 2009: Advanced calculus, stochastic processes and their applications
  • 2008: Probability and statistics, advanced calculus for business and economics

Publication

  1. Approximate hedging problem with transaction costs in stochastic volatility markets with jumps (with S. Pergamenshchikov). SIAM Theory of Probability and its Applications. Accepted (minor revision arXiv link).
  2. Constrained non-concave utility maximization: an application to life insurance contracts (with An Chen and Peter Hieber), European Journal of Operational Research,  vol. 273,  no.3, 1119-1135, 2019 (link).
  3. Risk management with multiple VaR constraints (with An Chen, Mitja Stadje), Mathematical Methods of Operation Research, 2018, p. 1-41. Link
  4. Optimal investment under VaR-Regulation and Minimum Insurance (with An Chen, Mitja Stadje), Insurance: Mathematics and Economics, 79:194 – 209, 2018. Link
  5. Approximate hedging problem with transaction costs in stochastic volatility markets (with S. Pergamenshchikov). Mathematical Finance, vol. 27, no 3, p. 832-865, 2017. Link
  6. Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications ( with Thu, N. V., Dung, T. A., Dam, D. T. ). In Stochastic Processes And Applications To Mathematical Finance; (pp. 245-258), 2007. Link

Working and submitted papers

In progress paper

  • Non-concave expected utility optimization when investment horizon is uncertain. (with Mitja Stadje and Christian Dehm).
  • Optimal asset allocation: a regret-based approach (with An Chen)
  • Optimal portfolio management with multiple regulations.
  • Expected utility maximization in endogenous permanent market impacts (with Mitja Stadje).
  • Asymptotic hedging of European convex payoff with increasing volatility under  proportional transaction costs (with Masaaki Fukasawa).
  • Indifference pricing of insurance products under SAHARA utility (with An Chen and Nils Sorensen).
  • Collective optimal expected utility risk measures (with Sebastian Geissel).
  • Approximate hedging with transaction cost under regime switching models (with Duy Nguyen).
  • Optimal collective investment under portfolio insurance in a stochastic volatility framework (with An Chen and Manuel Rach).
  • Arrow-Debreu equilibria with regret (with An Chen and Tim Boonen)
  • Unit-linked tontine products : designs and utility-based analysis (with An Chen and Thorsten Sehner).
  • Asset prices and heterogenous preferences (with An Chen and Tim Boonen).