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          曾旭東

          發布時間:2019-04-16瀏覽次數:2466

          曾旭東
          職  稱:副教授
          職  位:
          研究興趣資產定價,投資組合,金融工程,再保險理論,保險科技
          教授課程
          金融工程,期權定價,隨機過程,金融風險管理,再保險理論
          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  

          ■ 離散抽樣方差互換定價研究, (杜琨),管理科學學報,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.                 

          研究領域
          資產定價,投資組合,金融工程
          獎勵、榮譽稱號

          主要研究項目

          主持:國家自然科學基金面上項目:多資產跳-擴散模型和最優投資組合及應用,2018-2021.(71771142)

          主持:國家自然科學基金面上項目:不完全市場模型下涉及壽險相關產品的最優資產組合,2013-2016.(71271127)

          教育背景
          南加州大學應用數學博士
          Email:zeng.xudong@mail.shufe.edu.cn


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