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保险系

曾旭东 分享:

职  称:副教授

职  位:

研究兴趣:资产定价,投资组合,金融工程

教授课程

金融工程,期权定价,随机过程,金融风险管理

科研成果

1. Non-zero-sum Stochastic Differential Reinsurance and Investment Games with Default Risk, with Huiming Zhu and Chao Deng. European Journal of Operational Research., March, 2017.http://www.sciencedirect.com/science/article/pii/S0377221717306240 2. Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach, with Xing Jin and Dan Luo. Mathematics of Operations Research, February 2017. http://pubsonline.informs.org/doi/10.1287/moor.2017.0854 3. The Theory of Optimal Stochastic Control as Applied to Insurance Underwriting Cycles, (With David L. Eckles and David Mccarthy). North American Actuarial Journal, 20(4), 327–340, 2016. 4. Dynamic Portfolio Choice with Stochastic Wage and Life Insurance, (With Yuling Wang, James M. Carson). North American Actuarial Journal, Vol. 19, Issue 4, 2015, 256-272. http://dx.doi.org/10.1080/10920277.2015.1041987. 5. Optimal Life Insurance under No-Borrowing Constraints: Duality Approach and Example, (With J. Carson, Q. Chen and Y. Wang), Scandinavian Actuarial Journal, (SSCI) Vol. 2016, No.9, 793-816, http://dx.doi.org/10.1080/03461238.2015.1025822 6. Optimal Reinsurance: Minimize the Expected Time to Reach a Goal. (With Shangzhen Luo, Mingming Wang), Scandinavian Actuarial Journal, (SSCI) Vol. 2016, issue 8, 741-762 7. 离散抽样方差互换定价研究, (杜琨),管理科学学报,2015年11月。 Pricing Discretely-Sampled Variance Swaps under A Class of SVJ Models (in Chinese). (With Kun Du), Journal of Management Science of China, November, 2015. 9. Stochastic Pareto-Optimal Reinsurance Policies. (With Shangzhen Luo). Insurance: Mathematics and Economics (SCI,SSCI) 53, 671-677, 2013. 10. A Stochastic Volatility Model and Optimal Portfolio Selection. (With M. Taksar). Quantitative Finance (SCI) 13, 1547-1558, 2013.

研究领域

资产定价,投资组合,金融工程

奖励、荣誉称号

主要研究项目

主持:国家自然科学基金面上项目:多资产跳-扩散模型和最优投资组合及应用,2018-2021.(71771142) 主持:国家自然科学基金面上项目:不完全市场模型下涉及寿险相关产品的最优资产组合,2013-2016. (71271127)

教育背景

南加州大学应用数学博士

Email: zeng.xudong@mail.shufe.edu.cn

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