Academic Report of School of Mathematical Sciences [2026] No.002

(Series Report for High-Level University Construction No. 1261)

Title：Life-cycle planning model with rational inattention

Speaker：Ning Wang, Lecturer (Australian National University)

Time：10:30-11:30, Jan. 6, 2026

Location：Huiwen Building 2433

Abstract：In this study, we investigate the information-based dynamic strategic decision makings in consumption, investment and life insurance purchase for a household with two consecutive generations.  A continuous-time model featuring the time-varying information-processing ability of the economic agent is considered. Specifically, we consider the situation where the decision makers cannot observe the states perfectly due to the impact of rational inattention, and they can only observe a noisy signal containing imperfect information about the states. The economic agent can dynamically change the information channel capacity of the private information to adjust the estimation accuracy. Closed-form solutions for value functions and optimal rules are obtained for before and after the death of the wage earner by adopting dynamic programming principle coupled with Hamilton-Jacobi-Bellman (HJB) equations. Finally, numerical studies are provided to illustrate the economic implications of the solutions.

Speaker Profile：Ning Wang , FRM charterholder, is a Lecturer at the School of Finance, Actuarial Science and Statistics at the Australian National University. He received his Ph.D. in Statistics from East China Normal University in December 2020 and his Ph.D. in Actuarial Science from Macquarie University, Australia, in February 2021. Research interests focus on applications of stochastic optimal control in finance and insurance, including optimal reinsurance design, optimal portfolio allocation, life cycle models, stochastic differential games, model uncertainty, and climate risk. Has published over twenty papers in renowned journals across actuarial science, operations research, and quantitative finance, including IME, SAJ, NAAJ, EJOR, ANOR, and QF. Serves as an anonymous reviewer for twenty SCI/SSCI journals.

Faculty and students are welcome to attend!

Invited by: Jingchao Li

School of Mathematical Sciences

January 5, 2026