- BIMSA 数字经济实验室讨论班

Bi-revealed utilities in a defaultable universe: A new point of view on consumption

组织者

彼尔·约翰逊 , 高瑞泽 , 韩立岩 , 李振 , 刘瑾 , 龙飞 , 史冬波 , 汤珂 , 严兴 , 张琦

演讲者

谷琪琪

时间

2026年05月29日 15:00 至 16:00

地点

A3-2-303

线上

Zoom 435 529 7909 (BIMSA)

摘要

This paper studies the inverse problem of bi-revealed dynamic utilities in a defaultable universe. More specifically, it places the framework of dynamic, or forward, utilities in a setting where the reference filtration is progressively enlarged by an exogenous default time. Through this enlargement-of-filtration approach, the authors translate bi-revealed utilities in the defaultable universe into a pair of utilities in the reference universe. This leads to the main economic interpretation of the paper: the consumption process can be viewed as a reserve process accumulated to finance possible losses at the default time.

演讲者介绍

Qiqi Gu is a PhD student at BIMSA and UCAS. Her research interests include digital economy, asset pricing and financial mathematics.