危佳钦




个人资料
部门： 经济与管理学部
性别： 男
专业技术职务： 紫江青年研究员
毕业院校： 华东师范大学
学位： 博士
学历： 博士研究生
联系电话：
电子邮箱： jqwei@stat.ecnu.edu.cn
办公地址： 理科大楼A1709
通讯地址： 上海市中山北路3663号华东师范大学统计学院
邮编： 200062
传真： 021-6223 3223


工作经历
2016.01-今 华东师范大学统计学院，研究员
2012.8-2015.12 Macquarie Univeristy, 博士后研究员




教育经历
2008.9-2012.7 华东师范大学 金融与统计学院 硕博连读博士阶段
2006.9-2008.8 华东师范大学 统计系 硕博连读硕士阶段
2002.9-2006.8 华东师范大学 统计系 本科







个人简介
危佳钦，2012年获华东师范大学博士学位，2016年起任华东师范大学经济与管理学部紫江青年研究员。在此之前，他曾任澳大利亚Macquarie大学应用金融与精算学系博士后研究员。他的研究兴趣包括最优投资组合、最优保险\再保险策略、最优分红、机制转换模型，等等。目前发表学术论文30余篇，主持国家自然科学基金两项，以第一完成人身份获2019年上海市自然科学奖三等奖。




社会兼职



研究方向
精算学、金融数学



开授课程
概率论、线性代数、数理统计、概率统计




科研项目
国家自然科学基金委员会，青年科学基金项目，**，马氏链驱动的随机模型下若干最优投资与权益链接产品的定价问题，2017-01至2019-12，主持

国家自然科学基金委员会，面上项目，**，若干带约束的均值-方差最优再保险与投资问题的时间一致性策略，2021-01至2024-12，主持






学术成果
学术论文
T. Wang, Z. Jin and J.Wei. Mean-Variance Portfolio Selection with Non-Negative State-Dependent Risk Aversion. Quantitative Finance, DOI: 10.1080/**.2020.**, 2020.
J. Zhang, S. Purcal and J.Wei. Optimal Life Insurance and Annuity Demand under Hyperbolic Discounting when Bequests are Luxury Goods. Insurance: Mathematics and Economics, accepted, 2020.
Q. Zhao and J.Wei. Time-Consistent Mean-Variance Asset-Liability Management with Margin Requirements. Communications in Statistics-Theory andMethods, DOI: 10.1080/**.2020.**, 2020.
S. Shen, J. Wei and Q. Zhao. Mean-variance asset-liability management problem under non-Markovian regime-switching models. Applied Mathematics and Optimization,81:859–897,2020.
L. Lin, J. Liu, C. Yiu and J. Wei. Non-exponential Discounting Portfolio Management and insurance with Habit Formation. Mathematical Control and Related Fields, doi:10.3934/mcrf.**, 2020.
L. Zhang, R. Wang and J. Wei. Optimal Mean-Variance Reinsurance and Investment Strategy with Constraintsin a Non-Markovian Regime-Switching Model. Statistical Theory and Related Fields,DOI: 10.1080/**.2020.**, 2020.
J. Wei, X. Chen, Z. Jin and H.Wang. Optimal Consumption-Investment and Life Insurance Purchase Strategyfor a Couple with Correlated Lifetimes. Insurance: Mathematics and Economics, 91:244-256, 2020.
J. Wei, Y. Shen and Q. Zhao. Portfolio Selection with Regime-Switching and Time-Inconsistent Preferences. Journal of Computational and Applied Mathematics, 365, 112361, 2020.
J. Wei, D. Li and Y. Zeng. Robust Optimal Consumption-investment Strategy with Non-exponential Discounting. Journal of Industrial and Management Optimization, 16(1):207-230, 2020.
Q. Zhao, Y. Shen and J. Wei. Time-Consistent Mean-Variance Investment and Contribution Decisions in a Defined Benefit Pension Plan. Journal of Industrial and Management Optimization, accepted, 2019.
T. Wang, J. Zhuo and J. Wei. Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions. SIAM Journal on Control and Optimization, 57(5): 3249-3271, 2019.
J. Wei, Z. Jin and H. Yang. Optimal Dividend Policy with Liability Constraint under a Hidden Markov Regime-Switching Model. Journal of Industrial and Management Optimization, 15(4):1965-1993, 2019.
H. Wang, R. Wang and J. Wei. Time-Consistent Investment-Proportional Reinsurance Strategy with Random Coefficients for Mean-Variance Insurers. Insurance: Mathematics and Economics, 85:104-114, 2019.
T. Wang and J. Wei. Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model via Mean-Field Formulation. Journal of Computational and Applied Mathematics, 350:442-455, 2019.
H. Wang, R. Wang, J. Wei and S. Xu. Optimal Investment-Consumption-Insurance Strategy in a Continuous-Time Self-Exciting Threshold Model. Communications in Statistics-Theory and Methods, 48(14):3530-3548,2019.
Q. Zhao, Z. Jin, J. Wei. Optimal Debt Ratio and Dividend Strategies with Regime-Switching. Stochastic Models , 34(4):435-463, 2018.
Q. Zhao, Z. Jin, J. Wei. Optimal Investment and Dividend Payment Strategies with Debt Management and Reinsurance. Journal of Industrial and Management Optimization, 14(4):1323-1348, 2018.
J. Wei. Backward stochastic Volterra integral equations on Markov chains. Stochastics: An International Journal of Probability and Stochastic Processes, 90(4):605-639, 2018.
J. Wei. Time-Inconsistent Optimal Control Problems with Regime-Switching. Mathematical Control and Related Fields, 7(4):585-622, 2017.
J. Wei and T. Wang. Time-Consistent Mean-Variance Asset-Liability Management with Random Coefficients. Insurance: Mathematics and Economics, 77:84-96, 2017.
J. Zhang, S. Purcal and J.Wei. Optimal Time to Enter Retirement Village. Risks, 5(1), 20, doi:10.3390/risks**,2017.
Q. Zhao, R.Wang and J.Wei. Exponential Utility Maximization for an Insurer with Time-Inconsistent Preferences. Insurance: Mathematics and Economics, 70:89-104, 2016.
Q. Zhao, R. Wang and J. Wei. Time-Inconsistent Consumption-Investment Problem for a Member in a Defined Contribution Pension Plan. Journal of Industrial and Management Optimization, 12:1557-1585,2016.
Q. Zhao, R.Wang and J.Wei. Minimization of Risks in Defined Benefit Pension Plan with Time-Inconsistent Preferences. Applied Stochastic Models in Business and Industry, 32:243-258, 2016.
Y. Shen and J.Wei. Optimal Investment-Consumption-Insurance with Random Parameters. Scandinavian Actuarial Journal, 2016(1):37-62, 2016.
Q. Zhao, J.Wei and R.Wang. On Dividend Strategies with Non-Exponential Discounting. Insurance: Mathematics and Economics, 58:1-13, 2014.
Q. Zhao, Y. Shen and J. Wei. Consumption-Investment Strategies with Non-Exponential Discounting and Logarithmic Utility. European Journal of Operational Research, 238:824-835, 2014.
J. Fu, J.Wei and H. Yang. Portfolio Optimization in a Regime-Switching Market with Derivatives. European Journal of Operational Research, 233:184-192, 2014.
J. Wei, K. C. Wong, S. C. P. Yam and S. P. Yung. Markowitz’s Mean-Variance Asset-Liability Management with Regime Switching: A Time-Consistent Approach. Insurance: Mathematics and Economics, 53:281-291, 2013.
J. Wei, R. Wang and H. Yang. On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model. Advances in Applied Probability, 44(3):886-906, 2012.
J.Wei, R.Wang and H. Yang. Optimal Surrender Strategies for Equity-Indexed Annuity Investors with Partial Information. Statistics and Probability Letters, 82:1251-1258, 2012.
J.Wei and C. Qiu. The Risk Model with Interest, Liquid Reserves and a Constant Dividend Barrier. Chinese Journal of Applied Probability and Statistics, 28(5): 535-550, 2012.
J.Wei, H. Yang, and R.Wang. Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching. In N. Privault A. Kohatsu-Higa and S.J. Sheu., editors, Stochastic Analysis with Financial Applications, pages 413-429. Birkh?user, 2011.
M. Xiang and J. Wei. Optimal Dividend Strategy under the Risk Model with Stochastic Premium. Chinese Journal of Applied Probability and Statistics, 27(1): 39-47, 2011.
J. Wei, H. Yang and R. Wang. Optimal Reinsurance and Dividend Strategies under the Markov-Modulated Insurance Risk Model. Stochastic Analysis and Applications, 28(6): 1078-1105, 2010.
J. Wei, H. Yang and R.Wang. Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching. Journal of Optimization Theory and Applications, 147:358-377, 2010.
J. Wei, H. Yang and R. Wang. On the Markov-Modulated Insurance Risk Model with Tax. Bl?tter der DGVFM,31: 65-78, 2010.
J.Wei, R. Wang and D. Yao. The Asymptotic Estimate of Ruin Probability under a Class of Risk Model in the Presence of Heavy Tails. Communications in Statistics - Theory and Methods, 37(15): 2331-2341, 2008.



荣誉及奖励
上海市自然科学奖，三等奖，保险精算中最优投资再保险策略及产品定价问题的研究，2020，第一完成人