孫中洋，男，1988年11月生，博士，曲阜師範大學統計學院副教授。
基本介紹
- 中文名：孫中洋
- 出生日期：1988年11月
- 畢業院校：南開大學
- 學位/學歷：博士
- 職業：教師
- 專業方向：隨機控制、數理金融、精算數學
- 任職院校：曲阜師範大學統計學院
個人經歷,研究方向,主講課程,科研項目,學術成果,榮譽獎項,
個人經歷
教育經歷：
1. 2011/09-2016/06，南開大學，數學科學學院，碩博連續，機率論與數理統計專業
工作經歷：
1. 2018/08-，曲阜師範大學，統計學院，副教授
2. 2016/07-2018/07，中山大學，數學學院，博士後
3. 2017/06-2017/08，香港大學，統計與精算學系，訪問學者
4. 2015/09-2016/03，英國利物浦大學，數學系，訪問學者
研究方向
隨機控制、數理金融、精算數學。
主講課程
機率論與數理統計，非壽險精算學。
科研項目
1. 國家自然科學基金青年基金項目，隨機最大值原理和倒向隨機微分方程在保險風險理論中的套用研究，2020/01-2022/12，在研
2. 山東省自然科學基金青年基金項目，馬爾科夫體制轉換模型下若干隨機最佳化問題的研究，2019/07-2022/06，在研
3. 中國博士後科學基金面上資助，馬爾科夫體制轉換模型在隨機控制及金融保險中的套用，2017/06-2018/06，結題
學術成果
論文
1.Sun Zhongyang, Zhang Xin, Yuen Kam Chuen, Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option,Scandinavian Actuarial Journal, 2019.
2.Sun Zhongyang, Yuen Kam Chuen, Guo Junyi, A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling,Journal of Computational and Applied Mathematics, 2019.
3.Sun Zhongyang, Upper bounds for ruin probabilities under model uncertainty,Communications in Statistics-Theory and Methods, 2019, 48(18): 4511-4527
4.Sun Zhongyang, Guo Xianping, Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem,Journal of Optimization Theory and Applications, 2019, 181(2): 383-410
5. Zhang Xin,Sun Zhongyang, Xiong Jie, A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type,SIAM Journal on Control andOptimization, 2018, 56(4): 2563-2592
6.Sun Zhongyang, Isabelle Kemajou-Brown, Olivier Menoukeu-Pamen, A risk sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications,ESAIM:Control, Optimisation and Calculus of Variations, 2018, 24(3): 985-1013
7.Sun Zhongyang, Olivier Menoukeu-Pamen, The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump diffusion system,StochasticAnalysis and Applications, 2018, 36(5): 782-811
8.Sun Zhongyang, Guo Junyi, Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility,Mathematical Methods of Operations Research, 2018,88(1):59-79
9.Sun Zhongyang, Guo Junyi, Zhang Xin, Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming,Journal of Optimization Theory and Applications, 2018, 176(2): 319-350
10. Tian Yingxu,Sun Zhongyang*, Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence,Journal of Risk and Financial Management, 2018,11(2), 25.
11.Sun Zhongyang, Zheng Xiaoxiao, Zhang Xin, Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk,Journal of MathematicalAnalysisand Applications, 2017, 446(2): 1666-1686
12.Sun Zhongyang, Zhang Xin, Guo Junyi, A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance,Optimal Control Applications andMethods,2017, 38(6): 934-948
13.SunZhongyang, Maximum principle for forward-backward stochastic control system under G-expectation and relation to dynamic programming,Journal of Computational and AppliedMathematics, 2016, 296: 753-775
14. Zheng Xiaoxiao,Sun Zhongyang, Zhang Xin, Optimal portfolio problems for an insurance company under default risk and model uncertainty,Acta Mathematica Scientia Chinese Series,2016, 36A(2): 362-379
15. Zheng Xiaoxiao, Zhou Jieming,Sun Zhongyang, Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model,Insurance: Mathematics and Economics, 2016,67(4): 77-87
會議報告
1. A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance.The Sixth International Gerber-Shiu Workshop, Renmin University of China, Beijing,P.R. China, June 8-9, 2016
2. Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility.RARE workshop on Stochastic Analysis and Applications,The University of Liverpool,Liverpool, United Kingdom, March 1-2, 2016
3. Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming.5th Monash-Ritsumeikan Symposium onProbability and Related fields, Monash University, Melbourne, Australia, March 24-29, 2015
榮譽獎項
1.南開大學優秀博士學位論文，2017
2.中山大學優秀博士後，2017
