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

  • T. Nguyen and  Mitja Stadje. Non-concave optimal investment with VaR constraint: an application to life insurance contracts, SIAM Journal on Control and Optimization58(2):895-936, 2020
  • Chen, Hieber P., and T. Nguyen. Constrained non-concave utility maximization: an application to life insurance contracts with guarantees. European Journal of Operational Research, 273(3):1119–1135, 2019
  • T. Nguyen and S. Pergamenshchikov. Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. SIAM Theory of Probability and its Applications, 2019. Accepted.
  • Chen, T. Nguyen, and M. Stadje. Optimal investment under var-regulation and minimum insurance. Insurance: Mathematics and Economics, 79:194–209, 2018. 
  • Chen, T. Nguyen, and M. Stadje. Risk management with multiple VaR constraints. Mathematical Methods of Operational Research, 88:297–337, 2018.
  • T. Nguyen and S. Pergamenshchikov. Approximate hedging problem with transaction costs in stochastic volatility markets. Mathematical Finance, 27(3):932–865, 2017.
  • T. V. Nguyen, D. A. To, D.T Duong, and T. Nguyen. Spectral representation of multiply self-decomposable stochastic processes and applications. In P.J. Akahori, S. Ogawa, and Watanabe S., editors, Proceedings of the 6th Ritsumeikan International Symposium Stochastic Processes and Applications to Mathematical Finance, pages 245–258. World Scientific, 2006.

 

Travaux en cours ou soumis

  • T. Nguyen, and An Chen and Manuel Rach. Optimal collective investment: The impact of sharing rules, management fees and guarantees.
  • T. Nguyen, and Mitja Stadje. Forward BSDEs and backward SPDEs for utility maximization under endogeneous pricing.
  • T. Nguyen, and Mitja Stadje and Christian Dehm. Non-concave expected utility optimization when investment horizon is uncertain.
  • T. Nguyen, and An Chen. Optimal investment under weighted limited expected loss constraint.
  • T. Nguyen, and Masaaki Fukasawa. Asymptotic hedging of European convex payoff with increasing volatility under  proportional transaction costs.
  • T. Nguyen, and An Chen and Nils Sorensen. Indifference pricing under SAHARA utility.
  • T. Nguyen, and Sebastian Geissel. Collective optimal expected utility risk measures
  • T. Nguyen, and Duy Nguyen. Approximate hedging with transaction cost under regime switching models.
  • T. Nguyen, and An Chen and Manuel Rach. Optimal collective investment under portfolio insurance in a stochastic volatility framework.
  • T. Nguyen, and An Chen and Tim Boonen. Arrow-Debreu equilibria with regret.
  • T. Nguyen, and An Chen and Thorsten Sehner. Unit-linked tontine products : designs and utility-based analysis.

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.

Affiliations

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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