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        頭像

        李丹萍

        個人資料

        • 部門: 金沙9001w以誠為本
        • 性別:
        • 專業技術職務: 副教授
        • 畢業院校: 天津大學
        • 學位: 博士
        • 學歷: 博士
        • 聯系電話:
        • 電子郵箱: dpli@fem.ecnu.edu.cn
        • 辦公地址: 中北校區理科大樓A1712
        • 通訊地址: 上海市普陀區中山北路3663號華東師范大學中北校區理科大樓A1706
        • 郵編: 200062
        • 傳真:

        工作經歷

        2017.02-2019.02  加拿大滑鐵盧大學統計與精算系博士后

        2018.09-今           金沙9001w以誠為本統計學院副教授


        教育經歷

        2008.09-2012.06  天津大學數學與應用數學專業理學學士

        2010.03-2012.06  南開大學金融學專業經濟學學士

        2012.09-2017.01  天津大學運籌學與控制論專業理學碩士

        2014.09-2017.01  天津大學金融數學專業理學博士

        2015.08-2016.08  加拿大滑鐵盧大學精算學專業國家公派聯合培養博士研究生


        個人簡介

        李丹萍,女,華東師范大學副教授,主要研究方向為保險精算、金融工程和金融數學,發表學術論文30余篇,主持國家自然科學基金青年項目、面上項目和上海市晨光計劃項目。

        社會兼職

        1. Insurance: Mathematics and Economics、Journal of Computational and Applied Mathematics、Journal of Industrial and Management Optimization, Journal of Applied Mathematics and Computing、Communications in Statistics-Theory and Methods、 Asia Pacific Management Review等雜志匿名審稿人


        2. Mathematical Reviews評論員


        3. 中國優選法統籌法與經濟數學研究會量化金融與保險分會副秘書長、中國運籌學會金融工程與金融風險管理分會理事、中國工業與應用數學學會理事

        研究方向

        保險精算、金融工程、資源經濟

        開授課程

        計量經濟學(本科生)、證券投資分析(本科生)、投資學(本科生)、概率論與數理統計(本科生)


        科研項目

        1. 國家自然科學基金/面上項目,“基于氣候風險和社會責任系統分析的養老金最優投資策略研究”.

        2. 國家自然科學基金/青年科學基金項目,“模糊厭惡情景下養老基金最優集中化和分散化投資策略研究”.

        3. 上海市教委晨光計劃項目, “基于背景風險和風險約束的養老基金投資策略研究”.

        4. 華東師范大學2019年度人文社會科學海外發文項目, “基于隨機微分博弈的保險市場競爭保費問題研究”.


        學術成果

        發表學術論文

        2019年--至今

        1. Danping Li, Virginia R. Young* (2022). Stackelberg differential game for reinsurance: Mean-variance framework and random horizon. Insurance: Mathematics and Economics, 102, 42-55.

        2. Junna Bi, Danping Li*, Nan Zhang (2022). Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles. RAIRO Operations Research, 56, 1-22.

        3. Danping Li*, Xiaotao Liu, Hailong Liu (2022). Optimal investment strategy for a family with a random household expenditure under the CEV model. Communications in Statistics-Theory and Methods, 51(17), 5993-6007.

        4. Danping Li, Ximin Rong, Hui Zhao, Yajie Wang* (2022). Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurerCommunications in Statistics-Theory and Methods, 51(21), 7496-7527.

        5. Lv Chen, David Landriault, Bin Li, Danping Li* (2021). Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Mathematical Finance31(2), 649-682.

        6. Danping Li, Virginia R. Young* (2021). Bowley solution of a mean-variance game in insurance. Insurance: Mathematics and Economics98, 35-43.

        7. Danping Li*, Bin Li, Yang Shen (2021). A stochastic differential game for insurance market with competitive premium. Journal of Computational and Applied Mathematics, 389, 113349.

        8. Danping Li, Junna Bi*, Mengcong Hu (2021). Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk. RAIRO Operations Research, 55, S2983-S2997.

        9. Yajie Wang, Ximin Rong, Hui Zhao, Danping Li* (2021). Optimal investment problem between two insurers with value-added service. Communications in Statistics-Theory and Methods, 50(8), 1781-1806.

        10. Danping Li, Yongzeng Lai, Lin Li* (2020). Optimal asset allocation with heterogeneous discounting and stochasticincome under CEV model. Journal of the Operational Research Society, 71(12), 2013-2026.

        11. Ling Zhang, Danping Li*, Yongzeng Lai (2020). Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochasticvolatility, Journal of Computational and Applied Mathematics, 368, 112536.

        12. Danping Li, Virginia R. Young* (2019). Optimal reinsurance to minimize the discounted probability of ruin under ambiguityInsurance: Mathematics and Economics, 87, 143-152.


        2014-2018年

        1. Danping Li, Yan Zeng*, Yang Shen (2018). Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility. Insurance: Mathematics and Economics, 78, 72-86.

        2. Danping Li, Yan Zeng*, Hailiang Yang (2018). Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Scandinavian Actuarial Journal, 2018(2), 145-171.

        3. Yan Zeng, Danping Li* Zheng Chen, Zhou Yang (2018). Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. Journal of Economic Dynamics and Control, 88, 70-103.

        4. David Landriault, Bin Li, Danping Li, Virginia R. Young* (2018). Equilibrium strategies for the mean-variance investment problem over a random horizon. SIAM Journal of Financial Mathematics, 9(3), 1046-1073.

        5. Danping Li, Dongchen Li, Virginia R. Young* (2017). Optimality of excess-loss reinsurance under a mean-variance criterion. Insurance: Mathematics and Economics, 75, 82-89.

        6. Danping Li, Ximin Rong, Hui Zhao, Bo Yi* (2017). Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. Insurance: Mathematics and Economics, 72, 6-20.

        7. Danping Li, Ximin Rong, Hui Zhao* (2017). Equilibrium excess-of-loss reinsurance -investment strategy for a mean-variance insurer under stochastic volatility model. Communications in Statistics-Theory and Methods, 46(19), 9459-9475.

        8. Bin Li, Danping Li*, Dewen Xiong (2016). Alpha-robust mean -variance reinsurance-investment strategy. Journal of Economic Dynamics and Control, 70, 101-123.

        9. David Landriault, Bin Li, Danping Li*, Dongchen Li (2016). A pair of optimal reinsurance-investment strategies in the two-sided exit framework. Insurance: Mathematics and Economics, 71, 284-294.

        10.Yan Zeng, Danping Li*, Ailing Gu (2016). Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Insurance: Mathematics and Economics, 66, 138-152.

        11.Danping Li, Ximin Rong, Hui Zhao* (2016). The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model.IMA Journal of Management Mathematics, 27(2), 255-280.

        12.Danping Li, Ximin Rong, Hui Zhao* (2016). Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model. Computational and Applied Mathematics, 35(2), 533-557.

        13.Danping Li, Ximin Rong, Hui Zhao* (2016). Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model. Journal of Systems Science and Complexity, 29(2), 428-454.

        14.Danping Li, Ximin Rong, Hui Zhao* (2015). Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk. Insurance: Mathematics and Economics, 64, 28-44.

        15.Danping Li, Ximin Rong, Hui Zhao* (2015). Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model. Journal of Computational and Applied Mathematics, 283, 142-162.

        16.Danping Li, Ximin Rong, Hui Zhao* (2015). Stochastic differential game formulation on the reinsurance and investment problem. International Journal of Control, 88, 1861-1877.

        17.Danping Li*, Ximin Rong, Hui Zhao (2015). Optimal investment problem for an insurer and a reinsurer. Journal of Systems Science and Complexity, 28(6), 1326-1343.

        18.Danping Li, Ximin Rong, Hui Zhao* (2014). Optimal reinsurance-investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model. Journal of Computational and Applied Mathematics, 255, 671-683. 


        榮譽及獎勵

        教育部第八屆高等學??茖W研究優秀成果(人文社會科學)二等獎(排名2/3,通訊作者)

        天津市優秀博士論文

        天津大學優秀博士論文

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