经济与管理学部-九游平台

精算学、金融数学

概率论、线性代数、数理统计、概率统计

• 国家自然科学基金委员会，青年科学基金项目，11601157，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，12071146，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

  
  

  
  

  
  

学术论文

1.  j. liu, s. yan, s, jiang and  j. wei. optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation.  journal of industrial and management optimization,  9:3, 2226-2250, 2023.

2. y. wang, j. liu, and j. wei. time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach. {\it stochastics}, 95:2, 235-265,  2023. 
   

3.  j. zhang, s. purcal and j. wei. optimal life insurance and annuity demand with jump diffusion and regime switching. in: terzioğlu, m.k. (eds). advances in econometrics, operational research, data science and actuarial studies. contributions to economics. springer, cham, 2022

4. y. zhang, z. jin,  j. wei and g. yin. mean-variance portfolio selection with dynamic attention behavior in a hidden markov model.  automatica, 146 (2022) 110629, 2022.

5. l. zhang, r. wang and  j. wei. open-loop equilibrium strategies for a mean-variance reinsurance, new business and investment problem with constraints.  journal of industrial and management optimization,  18:6, 3897-3927, 2022.

6. q. zhao and  j.wei. time-consistent mean-variance asset-liability management with margin requirements.   communications in statistics-theory and methods, 51:13, 4296-4312, 2022.

7.  q. zhao, y. shen and  j. wei. mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework.  journal of industrial and management optimization, 17(3):1147-1171, 2021.

8. t. wang, z. jin and  j.wei. mean-variance portfolio selection with non-negative state-dependent risk aversion. quantitative finance, 21(4), 657-671, 2021.

9.  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, 101, 80-90, 2021.

10. l. lin, j. liu, c. yiu and j.wei. non-exponential discounting portfolio management and insurance with habit formation. mathematical  control and related fields, 10(4):761-783, 2020.

11. l. zhang, r. wang and  j.wei. optimal mean-variance reinsurance and investment strategy with constraints in a non-markovian regime-switching model.  statistical theory and related fields, 4(2):214-227, 2020.

12.  j. wei, x. chen, z. jin and h. wang. optimal consumption-investment and life insurance purchase strategy for a couple with correlated lifetimes.  insurance: mathematics and economics, 91:244-256, 2020.

13. j. wei, y. shen and q. zhao. portfolio selection with regime-switching and state-dependent preferences. journal of computational and applied mathematics, 365, 112361, 2020.

14. y. 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.

15.  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.

16. 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.

17. 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.

18. 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.

19. 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.

20. 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.

21. q. zhao, z. jin, j. wei. optimal debt ratio and dividend strategies with regime-switching. stochastic models , 34(4):435-463, 2018.

22. 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.

23. j. wei. backward stochastic volterra integral equations on markov chains. stochastics: an international journal of probability and stochastic processes, 90(4):605-639, 2018.

24. j. wei. time-inconsistent optimal control problems with regime-switching. mathematical control and related fields, 7(4):585-622, 2017.

25. j. wei and t. wang. time-consistent mean-variance asset-liability management with random coefficients. insurance: mathematics and economics, 77:84-96, 2017.

26. j. zhang, s. purcal and j.wei. optimal time to enter retirement village. risks, 5(1), 20, doi:10.3390/risks5010020,2017.

27. 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.

28. 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.

29. 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.

30. y. shen and j.wei. optimal investment-consumption-insurance with random parameters. scandinavian actuarial journal, 2016(1):37-62, 2016.

31. q. zhao, j.wei and r.wang. on dividend strategies with non-exponential discounting. insurance: mathematics and economics, 58:1-13, 2014.

32. 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.

33. 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.

34. 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.

35. 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.

36. 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.

37. 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.

38. 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. birkhäuser, 2011.

39. 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.

40. 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.

41. 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.

42. j. wei, h. yang and r. wang. on the markov-modulated insurance risk model with tax. blätter der dgvfm,31: 65-78, 2010.

43. 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.

• 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