报告人：梁志彬 教授（南京师范大学）

时间：2026年4月18日 08:30-

地点：数统学院LD402

摘要：In this paper, we conduct a detailed study of the deposit insurance with the presence of liquidation cost and capital requirements in a finite time horizon. More specifically, the deposit insurance contract is modeled as a put option, and the insured bank has the right of choosing an optimal time to strategically close itself or terminate the contract during the valid period. To better align with reality, we incorporate penalty for early contract termination. Meanwhile, the bank will be liquidated by the regulator if the surplus of the bank is lower than the threshold. Based on the optimal stopping theory, we give the corresponding variational inequalities, two different kinds of boundaries are derived respectively, and the properties as well as the connection between them are also explored. Besides, we identify some interesting findings, such as, the insured bank always chooses to wait when the wealth is close to compensation threshold; If the regulator releases the capital requirement, banks will delay the closure time; Under the assumption of zero terminal penalty and adequate asset quality, the bank's stopping strategy is absorbed by the terminal horizon as time evolves toward maturity, effectively resulting in a wait-and-see approach until the contract expires naturally. Moreover, a leader-follower game framework is also proposed to describe the relationship between the insurer and insured bank, and further numerical analysis are given to show the impacts of some important parameters on the boundaries.

邀请人：张志民

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