Thai Nguyen, professeur adjoint
Pavillon Paul-Comtois, local 4154
T. 418-656-2131 poste 413143
thai.nguyen@act.ulaval.ca
Champs d'intérêts
  • Contrôle stochastique et gestion des risques
  • Problème d’investissement collectif et partage de risques.
  • Couverture approximative avec coûts de transaction
  • Optimisation non-concave et applications financières et actuarielles
  • Forward BSDEs et backward SPDEs et tarification endogène 
     

Enseignement

ACT-1002Analyse probabiliste des risques actuariels
ACT-2011Gestion du risque financier II

Publications

 

Travaux en cours ou soumis

  • Forward BSDEs and backward SPDEs for utility maximization under endogeneous pricing (with Mitja Stadje).
  • Non-concave expected utility optimization when investment horizon is uncertain (with Mitja Stadje and Christian Dehm).
  • Optimal investment under weighted limited expected loss constraint (with An Chen).
  • Approximate hedging with transaction cost under regime switching models  (with Huy N. Chau and Duy Nguyen).
  • 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).

Conférences et communications

  • Risk and Statistics - 2nd ISM-UUlm Joint Workshop, Ulm Germany, 8-10 oct. 2019
  • Risk management with multiple VaR constraints, 10th World Congress of Bachelier Finance Society July 16-20th 2018, Dublin, Ireland. 
  • Risk management with multiple VaR constraints, 31st International Congress of Actuaries June 4-8th 2018, Berlin, Germany. 
  • Funding life insurance contracts with guarantees: how can we optimally respond to the policyholder’s needs, 4th Fudan-Ulm Symposium on Finance and Insurance, September 4-5th, 2017, Shanghai, Germany. 
  • Optimal investment under VaR-regulation and minimum insurance, invited talk in AFI, seminar, KU Leuven, June 8th, 2017, Leuven, Belgium. 
  • Optimal investment under VaR-regulation and minimum insurance, The 20th SGF, March 31th, 2017, Zurich, Switzerland.
  • Optimal investment under VaR regulation for life insurance contracts with guarantees, 10th Actuarial and Financial Mathematics Conference, February 9-10th, 2017, Brussels, Belgium.
  • Optimal investment under VaR regulation for life insurance contracts with guarantees, 11th Bachelier Colloquium on Mathematical Finance, January, 2017, Metabief, France.
  • Optimal investment and consumption with dynamically bounded downside risk in jump-diffusion markets, 5th Berlin Workshop on Mathematical Finance for Young Researchers, June 1-4, 2016, Berlin, Germany. 
  • Optimal investment and consumption with dynamically bounded downside risk in jump-diffusion markets, The 4th Asian Quantitative Finance Conference, February 21-23, 2016, Osaka, Japan.
  • Approximate option replication with liquidity risk: from Leland’s point of view, Paris-Southeast Asia Conference in Mathematical Finance, 7-11 February 2015, Siem Reap, Cambodia.
  • Approximate hedging with transaction costs for muti-asset options, 8th Bachelier colloquium on Mathematical Finance and Stochastic calculus, January 12-18, 2014, Métabief, France. 
  • Option replication with general transaction costs in stochastic volatility markets, 7th Bachelier colloquium on Mathematical Finance and Stochastic calculus, January 13-20, 2013, Métabief, France.
  • Approximate hedging problem with transaction costs in stochastic volatility markets, invited talk in Section of Stochastic Analysis and Statistics in Finance, VMS-SMF Joint Congress, August 20-24, 2012, Hue city, Vietnam.
  • Leland strategy for stochastic volatility markets, 2nd Stochastic Modelling Techniques and Data Analysis International Conference, June 5-8, 2012, Chania, Greece.

Formation et expériences professionnelles

  • Ph.D. Mathématiques, Université de Rouen (oct. 2014)
  • M.Sc. Probabilité et Statistique, Université des Sciences naturelles de HCM ville (2007)
  • B. Sc. Mathématiques, Université des Sciences naturelles de HCM ville (2003)
 
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