曾旭东

发布时间:2019-04-16浏览次数:7242

曾旭东
职  称:教授
职  位:保险系主任
研究兴趣资产定价,投资组合,金融工程,再保险理论,保险科技
教授课程
金融工程,期权定价,随机过程,金融风险管理,再保险理论
科研成果

■ Tail Risk, Robust Portfolio Choice, and Asset Prices. Management Science, with Xing Jin and Dan Luo.  June 2020, https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2020.3615

 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

■ 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

■ 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.

■ 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.

■ 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

■ 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  

■ 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.

■ Stochastic Pareto-Optimal Reinsurance Policies. (With Shangzhen  Luo). Insurance: Mathematics and Economics (SCI,SSCI) 53, 671-677, 2013.

■ 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