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池义春研究员

发布时间:2014-09-11  浏览次数: 次  来源:

男,1982年6月出生,籍贯:福建省福安市

中央财经大学葡京3522新地址研究员,葡京3522新地址、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,结项;

[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, S.C. Zhuang (2022). Regret-based optimal insurance design.Insurance: Mathematics and Economics, forthcoming.

[2]Y. Chi, Z.Q. Xu, S.C. Zhuang (2021+). Distributionally robust goal-reaching optimization in the presence of background risk.North American Actuarial Journal, in press.

[3]Y. Chi, F.D. Liu (2021). Enhancing an insurer's expected value by reinsurance and external financing.Insurance: Mathematics and Economics101, 466-484.

[4] A.V. Asimit, T.J. Boonen,Y. Chi, W.F. Chong (2021). Risk sharing with multiple indemnity environments.European Journal of Operational Research295,587-603.

[5]Y. Chi, K.S. Tan (2021). Optimal incentive-compatible insurance with background risk.ASTIN Bulletin51(2), 661-688.

[6] J. Cai,Y. Chi(2020). Optimal reinsurance designs based on risk measures: A review.Statistical Theory and Related Fields4(1), 1-13.

[7]Y. Chi, W. Wei (2020). Optimal insurance with background risk: An analysis of general dependence structures. Finance and Stochastics 24(4), 903-937.

[8]Y. Chi, S.C. Zhuang (2020). Optimal insurance with belief heterogeneity and incentive compatibility.Insurance: Mathematics and Economics92, 104-114.

[9]Y. Chi, K.S. Tan, S.C. Zhuang (2020). A Bowley solution with limited ceded risk for a monopolistic reinsurer.Insurance: Mathematics and Economics91, 188-201.

[10]Y. Chi(2019). On the optimality of a straight deductible under belief heterogeneity.ASTIN Bulletin49(1),243-262.

[11]Y. Chi(2018). Insurance choice under third degree stochastic dominance.Insurance: Mathematics and Economics83,198-205.

[12]Y. Chi, W. Wei (2018). Optimum insurance contracts with background risk and higher-order risk attitudes.ASTIN Bulletin48(3), 1025-1047.

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

[14]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.

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

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

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

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

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

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

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

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

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

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

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

[26]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.)

[27]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.

[28]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.

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

[30]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

毕业硕士生六名,正指导五名硕士生和一名博士生。

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