当前位置: 首页>>师资队伍>>精算科学系>>教授>>正文

池义春研究员

发布时间:2014-09-11  浏览次数: 次  来源:

男,1982年6月,籍贯:福建省福安市

中央财经大学保险学院研究员,博士生导师,保险学院、中国精算研究院副院长

电子邮箱:yichun@cufe.edu.cn

一、主要学习经历

2000年9月至2004年7月,中国人民大学数学与应用数学专业,理学学士

2004年9月至2009年7月,北京大学应用数学专业,理学博士

2007年9月至2008年12月,加拿大多伦多大学,联合培养博士

二、研究方向

精算学、风险管理

三、主讲课程

《随机过程》、《金融数学》、《精算学前沿问题研究》、《风险量化与决策》

四、主要研究成果

1.课题

[1]国家自然科学基金面上项目(No.11971505),2020年1月至2023年12月,在研;

[2]教育部人文社科重点研究基地重大项目(No.16JJD790061), 2016年11月至2020年8月,在研;

[3]国家自然科学基金面上项目(No. 11471345),2015年1月至2018年12月,结项;

[4]国家自然科学基金青年项目(No. 11001283),2011年1月至2013年12月,结项.

2.论文

[1] Y. Chi, W. Wei (2020). Optimal insurance with background risk: An analysis of general dependence structures. Finance and Stochastics, in press.

[2] J. Cai, Y. Chi (2020). Optimal reinsurance designs based on risk measures: A review. Statistical Theory and Related Fields 4(1), 1-13.

[3] Y. Chi, S.C. Zhuang (2020). Optimal insurance with belief heterogeneity and incentive compatibility. Insurance: Mathematics and Economics 92, 104-114.

[4] Y. Chi, K.S. Tan, S.C. Zhuang (2020). A Bowley solution with limited ceded risk for a monopolistic reinsurer. Insurance: Mathematics and Economics 91, 188-201.

[5] Y. Chi (2019). On the optimality of a straight deductible under belief heterogeneity. ASTIN Bulletin 49(1),243-262.

[6] Y. Chi (2018). Insurance choice under third degree stochastic dominance. Insurance: Mathematics and Economics 83,198-205.

[7] Y. Chi, W. Wei (2018). Optimum insurance contracts with background risk and higher-order risk attitudes. ASTIN Bulletin 48(3), 1025-1047.

[8] Y. Chi, F.D. Liu (2017). Optimal insurance design in the presence of exclusion clauses. Insurance: Mathematics and Economics 76,185-195.

[9] Y. Chi, X.S. Lin, K.S. Tan (2017). Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle. North American Actuarial Journal 21(3), 417-432.

[10] Y. Chi, M. Zhou (2017). Optimal reinsurance design: A mean-variance approach. North American Actuarial Journal 21(1), 1-14.

[11] X. Chen, Y. Chi, K.S. Tan (2016). The design of an optimal retrospective rating plan. ASTIN Bulletin 46(1), 141-163.

[12] A.V. Asimit, Y. Chi, J. Hu (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics 65,227-237.

[13] Y. Zhu, Y. Chi, C. Weng (2014). Multivariate reinsurance designs for minimizing an insurer's capital requirement. Insurance: Mathematics and Economics 59, 144-155.

[14] Y. Chi, H. Meng (2014). Optimal reinsurance arrangements in the presence of two reinsurers. Scandinavian Actuarial Journal 5, 424-438.

[15] Y. Chi, X.S. Lin (2014). Optimal reinsurance with limited ceded risk: A stochastic dominance approach. ASTIN Bulletin 44(1), 103-126.

[16] Y. Chi, C. Weng (2013). Optimal reinsurance subject to Vajda condition. Insurance: Mathematics and Economics 53(1), 179-189.

[17] Y. Chi, K.S. Tan (2013). Optimal reinsurance with general premium principles. Insurance: Mathematics and Economics 52(2), 180-189.

[18] Y. Chi (2012). Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability. ASTIN Bulletin 42(2), 529-557.

[19] Y. Chi, X.S. Lin (2012). Are flexible premium variable annuities underpriced? ASTIN Bulletin 42(2), 559-574.

[20] Y. Chi (2012). Optimal reinsurance under variance related premium principles. Insurance: Mathematics and Economics 51(2), 310-321.

[21] Y. Chi, K.S. Tan (2011). Optimal reinsurance under VaR and CVaR risk measures: A simplified approach. ASTIN Bulletin 41(2), 487-509. (It wins 2012 Hachemeister Award.)

[22] Y. Chi, X.S. Lin (2011). On the threshold dividend strategy for a generalized jump-diffusion risk model. Insurance: Mathematics and Economics 48(3), 326-337.

[23] Y. Chi (2010). Analysis of expected discounted penalty function for a general jump diffusion risk model and applications in finance. Insurance: Mathematics and Economics 46(2), 385-396.

[24] Y. Chi, S. Jaimungal, X.S. Lin (2010). An insurance risk model with stochastic volatility. Insurance: Mathematics and Economics 46(1), 52-66.

[25] Y. Chi, J. Yang, Y. Qi (2009). Decomposition of a Schur-constant model and its applications. Insurance: Mathematics and Economics 44(3), 398-408.

五、主要学术兼职

国内外著名的精算保险杂志的匿名审稿人。

六、指导学生论文情况

毕业硕士生五名,正指导硕士生两名。

版权所有: 中央财经大学  学院南路校区地址:北京市海淀区学院南路39号 邮编:100081 沙河校区地址:北京市昌平区沙河高教园区 邮编:102206 京ICP备05004636号 京公网安备110402430071号