危佳欽

危佳欽，男，華東師範大學經濟與管理學部紫江青年研究員。

基本介紹

• 中文名：危佳欽
• 職業：教師
• 專業方向：精算學、金融數學
• 任職院校：華東師範大學

研究方向

精算學、金融數學

主講課程

機率論

學術論文

1. L. Lin, J. Liu, C. Yiu and J. Wei. Non-exponential Discounting Portfolio Management and insurance withHabit Formation. Mathematical Control and Related Fields, accepted, 2020.
2. L. Zhang, R. Wang and J. Wei. Optimal Mean-Variance Reinsurance and Investment Strategy with Constraintsin a Non-Markovian Regime-SwitchingModel. Statistical Theory and Related Fields, 2020.
3. J. Wei, X. Chen, Z. Jin and H.Wang. Optimal Consumption-Investment and Life Insurance Purchase Strategyfor a Couple with Correlated Lifetimes. Insurance: Mathematics and Economics, 2020.
4. J. Wei, Y. Shen and Q. Zhao. Portfolio Selection with Regime-Switching and Time-Inconsistent Preferences. Journal of Computational and Applied Mathematics, 2020.
5. J. Wei, D. Li and Y. Zeng. Robust Optimal Consumption-investment Strategy with Non-exponential Discounting. Journal of Industrial and Management Optimization, 2020.
6. Q. Zhao, Y. Shen and J. Wei. Time-Consistent Mean-Variance Investment and Contribution Decisions in a Defined Benefit Pension Plan. Journal of Industrial and Management Optimization, accepted, 2019.
7. T. Wang, J. Zhuo and J. Wei. Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions. SIAM Journal on Control and Optimization, 2019.
8. J. Wei, Z. Jin and H. Yang. Optimal Dividend Policy with Liability Constraint under a Hidden Markov Regime-Switching Model. Journal of Industrial and Management Optimization, 2019.
9. H. Wang, R. Wang and J. Wei. Time-Consistent Investment-Proportional Reinsurance Strategy with Random Coefficients for Mean-Variance Insurers. Insurance: Mathematics and Economics,2019.
10. T. Wang and J. Wei. Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model via Mean-Field Formulation. Journal of Computational and Applied Mathematics, 2019.
11. H. Wang, R. Wang, J. Wei and S. Xu. Optimal Investment-Consumption-Insurance Strategy in a Continuous-Time Self-Exciting Threshold Model. Communications in Statistics-Theory and Methods, 2019.
12. Q. Zhao, Z. Jin, J. Wei. Optimal Debt Ratio and Dividend Strategies with Regime-Switching. Stochastic Models , 2018.
13. Y. Shen, J. Wei and Q. Zhao. Mean-variance asset-liability management problem under non-Markovian regime-switching models. Applied Mathematics and Optimization,2018.
14. Q. Zhao, Z. Jin, J. Wei. Optimal Investment and Dividend Payment Strategies with Debt Management and Reinsurance. Journal of Industrial and Management Optimization, 2018.
15. J. Wei. Backward stochastic Volterra integral equations on Markov chains. Stochastics: An International Journal of Probability and Stochastic Processes,2018.
16. J. Wei. Time-Inconsistent Optimal Control Problems with Regime-Switching. Mathematical Control and Related Fields, 2017.
17. J. Wei and T. Wang. Time-Consistent Mean-Variance Asset-Liability Management with Random Coefficients. Insurance: Mathematics and Economics, 2017.
18. J. Zhang, S. Purcal and J.Wei. Optimal Time to Enter Retirement Village. Risks,2017.
19. Q. Zhao, R.Wang and J.Wei. Exponential Utility Maximization for an Insurer with Time-Inconsistent Preferences. Insurance: Mathematics and Economics, 2016.
20. Q. Zhao, R. Wang and J. Wei. Time-Inconsistent Consumption-Investment Problem for a Member in a Defined Contribution Pension Plan. Journal of Industrial and Management Optimization,2016.
21. Q. Zhao, R.Wang and J.Wei. Minimization of Risks in Defined Benefit Pension Plan with Time-Inconsistent Preferences. Applied Stochastic Models in Business and Industry, 2016.
22. Y. Shen and J.Wei. Optimal Investment-Consumption-Insurance with Random Parameters. Scandinavian Actuarial Journal, 2016.
23. Q. Zhao, J.Wei and R.Wang. On Dividend Strategies with Non-Exponential Discounting. Insurance: Mathematics and Economics, 2014.
24. Q. Zhao, Y. Shen and J. Wei. Consumption-Investment Strategies with Non-Exponential Discounting and Logarithmic Utility. European Journal of Operational Research, 2014.
25. J. Fu, J.Wei and H. Yang. Portfolio Optimization in a Regime-Switching Market with Derivatives. European Journal of Operational Research,2014.
26. J. Wei, K. C. Wong, S. C. P. Yam and S. P. Yung. Markowitz’s Mean-Variance Asset-Liability Management with Regime Switching: A Time-Consistent Approach. Insurance: Mathematics and Economics, 2013.
27. J. Wei, R. Wang and H. Yang. On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model. Advances in Applied Probability, 2012.
28. J.Wei, R.Wang and H. Yang. Optimal Surrender Strategies for Equity-Indexed Annuity Investors with Partial Information. Statistics and Probability Letters, 2012.
29. J.Wei and C. Qiu. The Risk Model with Interest, Liquid Reserves and a Constant Dividend Barrier. Chinese Journal of Applied Probability and Statistics, 2012.
30. J.Wei, H. Yang, and R.Wang. Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching. In N. Privault A. Kohatsu-Higa and S.J. Sheu., editors, Stochastic Analysis with Financial Applications, pages 413-429. Birkhäuser, 2011.
31. M. Xiang and J. Wei. Optimal Dividend Strategy under the Risk Model with Stochastic Premium. Chinese Journal of Applied Probability and Statistics, 2011.
32. J. Wei, H. Yang and R. Wang. Optimal Reinsurance and Dividend Strategies under the Markov-Modulated Insurance Risk Model. Stochastic Analysis and Applications, 2010.
33. J. Wei, H. Yang and R.Wang. Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching. Journal of Optimization Theory and Applications, 2010.
34. J. Wei, H. Yang and R. Wang. On the Markov-Modulated Insurance Risk Model with Tax. Blätter der DGVFM,2010.
35. J.Wei, R. Wang and D. Yao. The Asymptotic Estimate of Ruin Probability under a Class of Risk Model in the Presence of Heavy Tails. Communications in Statistics - Theory and Methods, 2008.