绳德磊,男,出生于1982年8月,副教授,天津大学数学专业金融数学方向博士毕业,University of Waterloo统计与精算科学系访问学者,山西财经大学应用经济学博士后流动站博士后。从事金融数学、保险精算、金融工程相关问题的研究工作。讲授数理金融、保险精算、金融统计方法、金融风险管理、金融随机分析等专业课程。
主要科研成果:
论文:
1. Management of the asset-liability ratio with regulation constraints, 2019, forthcoming.
2. Minimum probability function of crossing the regulation bound for asset-liability management, 2019, forthcoming.
3. Optimal insurance-package and investment problem for an insurer, J. Sys. Sci & Info, 2018.
4. Explicit solution of reinsurance--investment problem for an insurer with dynamic income under Vasicek model, Adv. Math. Phy., 2016.
5. Optimal Control of Investment-Reinsurance Problem for an Insurer with Jump-Diffusion Risk Process: Independence of Brownian Motions, Abs. App. Anal., 2014.
6. Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts, Disc. Dyn. Nat. Soc., 2014.
项目:
1、主持中国博士后科学基金面上资助项目(No. 2017M611192).
2、主持山西财经大学青年科学基金项目(No. QN-2017019).
3、参与国家自然科学基金青年基金一项(No. 11301376).