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刘敬真副教授

发布时间:2014-09-12  浏览次数: 次  来源:

刘敬真,女,中央财经大学保险学院精算系副教授

联系电话:13581635110

电子邮箱:liujz@cufe-ins.sinanet.com

一、主要学习工作经历

1.2013/10-至今, 中央财经大学,保险学院,副教授

2.2017/2-2017/3, 香港城市大学,系统工程与工程系,访问学者

3.2016/10-2016/11, 科廷大学,数学与统计系,访问学者

4.2016/10-2016/11, 新南威尔士大学,风险与精算系,访问学者

5.2016/10-2016/11, 墨尔本大学,经济系,访问学者

6.2016/7-2016/8, 德克萨斯大学达拉斯分校,Naveen Jindal管理学院,访问学者

7.2015/11-2016/10, 麦考瑞大学,应用金融与精算研究系,访问学者

8.2015/8-2015/10, 香港大学,统计和精算科学系,访问学者

9.2013/1-2013/10, 中央财经大学,保险学院,讲师

10.2012/1-2012/12, 香港城市大学,系统工程与工程系,Senior Research Associate

11.2010/10-2012/12,香港理工大学,商学院,Senior Research Associate

12.2007/2-2010.10 香港理工大学,应用数学系,博士,导师, KA FAI YIU

13.2003/9–2006/6, 南开大学, 数学科学学院,硕士, 导师:张春生

14.1999/9–2003/6, 华南师范大学, 数学科学学院

二、研究方向

精算学、金融工程、随机控制

三、主讲课程

本科课程:金融经济学、寿险精算、非寿险精算、CT5(IFoA),优化原理

硕士课程:精算原理

博士课程:随机控制

四、主要研究成果

1.论文

[1]Liu, J.Z., Liu, J.Z., Yiu, K.F.C., & Bensoussan, A. Inventory control with given continuous replenishment and (s,S) policy. Accepted by SIAM Journal on Control and Optimization. 2017

[2]Liu, J.Z., Yiu, K.F.C., & Bensoussan, A. 'Ergodic control for a mean reverting inventory model. Accepted by Journal of industrial and management optimization. 2017

[3]Liu, J.Z., Yiu, K.F.C., & Bensoussan, A.optimality of (s,S) policies with nonlinear processes. 2017. Discrete and Continuous Dynamical Systems-Series B, 22(1),161-185.

[4]Liu, J.Z., Yiu, K.F.C., & Bensoussan, A. (2016). The optimal mean variance problem with inflation. Journal of industrial and management optimization, 21(1), 185-203. doi:10.3934/dcdsb.2016.21.185.

[5]Liu, J.Z., Yiu, K.F.C, Siu, T.K., & Ching, W.K. (2014). Optimal insurance in a changing economy. Mathematical Control and Related Fields, 4(2), 187-202. doi:10.3934/mcrf.2014.4.187.

[6]Liu, J.Z., Yiu, K.F.C., & Siu, T.K. (2014). Optimal Investment of an Insurer with Regime-Switching and Risk Constraint. Scandinavian Actuarial Journal, 2014(7), 583-601. doi:10.1080/03461238.2012.750621.

[7]Liu, J.Z., Yiu, K.F.C., Loxton, R.C., & Teo. K.L. (2013). Optimal Investment and Proportional Reinsurance with Risk Constraint Journal of Mathematical Finance, 3(4), 437-447. doi: 10.4236/jmf.2013.34046.

[8]Liu, J.Z., & Yiu, K.F.C. (2013). Optimal stochastic differential games with VaR constraints. Journal of Industrial and Management Optimization, 18(7), 1889-1907. doi:10.3934/dcdsb.2013.18.1889.

[9]Liu, J.Z., Yiu, K.F.C., & Teo. K.L. (2013). Optimal investment-consumption problem with constraint. Journal of industrial and management optimization, 9(4), 743-768. doi:10.3934/jimo.2013.9.743.

[10]Liu, J.Z., Yiu, K.F.C, Siu, T.K., & Ching, W.K. (2013). Optimal investment-reinsurance with dynamic risk constraint and regime switching.

Scandinavian Actuarial Journal, 2013(4), 263-285. doi:10.1080/03461238.2011.602477

[11]Liu, J.Z., Yiu, K.F.C., & Bai, L.H. (2012). Minimizing the ruin probability with a risk constraint. Journal of industrial and management optimization, 8, 531-547.

[12]Liu, J.Z., Yiu, K.F.C., & Siu. T.K. (2012). A decomposition method for optimal portfolios with regime-switching and risk constraint. Risk and Decision Analysis, 3(4), 269-276. doi: 10.3233/RDA-2012-0070.

[13]Liu, J.Z., Yiu, K.F.C., & Teo, K.L. (2011). Optimal Portfolios with stress analysis and the effect of a CVAR constraint. Pacific Journal of Optimization, 7(1), 83-95.

[14]Yiu, K.F.C., Liu, J.Z., Siu, T.K., & Ching, W.K. (2010). Optimal Portfolios with Regime-Switching and Value-at-Risk Constraint. Automatica, 46(6), 979-989. doi:10.1016/j.automatica.2010.02.027.

[15]Ma, J.J., Bai, L.H., & Liu, J.Z. (2008). Minimizing the Probability of Ruin under Interest Force. Applied Mathematical sciences, 2(17), 843-851.

2,课题

[1]国家自然科学基金面上项目,11771466,基Merton改进模型以及一类创新非合作博弈下的金融保险决策研究,2017/8/17-2021/12/31,43万元,在研,主持

[2]国家自然科学基金青年项目,11301559,在不确定性、通胀和风险限制下的最优决策,2014/01-2016/12,22万元,已结题,主持

[3]国家自然科学基金面上项目,11571388,保险模型中考虑交易成本及偿付能力限制的最优控制策略研究,2016/1-2019/12,50万,在研,参加

[4]国家自然科学基金面上项目,11471171,两类非马氏保险模型下的最优问题以及公司合并问题,2015/01-2018/12,65万元,在研,参加

[5]教育部基地项目,16JJD630014,基于大数据的中国社会保险财务预警指标研究,2016/11/2-2020/12/31,40万,在研,参加

[6]教育部基地项目,15JJD790036,偿二代体系下我国保险公司资产负债管理量化研究,2015/12/2-2017/12/31,20万,在研,参加

4,学术会议

[1]Presentation, The 20th International Congress on Insurance: Mathematics and Economics, Atlanta, USA, July, 2016

[2]Presentation , The 18th International Congress on Insurance: Mathematics and Economics, Shanghai, China, July, 2014

[3]Invited speaker, the first workshop of Hong Kong Consortium of Quantitative Finance, The Chinese University of Hong Kong, Hong Kong, 2012

[4]Presentation and the chair of a session, International conference of applied statistics and financial mathematics, The Polytechnic University of Hong Kong, Dec 16-18, 2010

[5]Presentation, The 23rd European conference on operational research – Bonn, Germany, July 5 – 8, 2009

[6]Presentation ,The second international optimization theory and application, Beijing, China, July, 2007

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