孙中洋 教授

发布时间:2019-05-29文章来源: 浏览次数:

  

孙中洋,教授,南开大学理学博士,山东省高等学校优秀青年创新团队负责人。主要从事精算数学、随机最优控制、经济金融中的数学控制理论与方法的研究。

联系方式:

Email:zysun_nk@126.comzysun@qfnu.edu.cn

通讯地址:曲阜师范大学统计与数据科学学院211办公室

教育经历:

1. 2011/09-2016/06,南开大学,数学科学学院,硕博连续,概率论与数理统计专业

2. 2006/09-2010/06,河北工业大学,理学院,学士,数学与应用数学专业

工作及访学经历:

1. 2024/01-至今,  曲阜师范大学,统计与数据科学学院,教授

2. 2018/08-2023/12,曲阜师范大学,统计与数据科学学院,副教授

3. 2016/07-2018/07,中山大学,数学学院,博士后

4. 2017/06-2017/08,香港大学,统计与精算学系,访问学者

5. 2015/09-2016/03,英国利物浦大学,数学系,访问学者

招生要求:

 1.要有道德底线,绝不容忍抄袭和造假行为;

 2.要有学术追求,理解研究工作的长期性和其所需的高强度承受力,心理素质得好;

 3.要有扎实的数理基础。

主持科研项目情况:

1. 国家自然科学基金面上项目,12371472,Hawkes传染金融保险模型下若干随机控制问题的研究,2024/01-2027/12,43.5万元,在研

2. 山东省自然科学基金面上项目,ZR2023MA033,几类非马氏风险模型的随机最优控制,2024/01-2026/12,10万元,在研

3. 山东省高等学校青年创新团队-随机最优控制创新团队,2022KJ174,金融保险数学模型中的随机最优控制问题研究,2023/01-2025/12,40万元,在研

4. 国家自然科学基金青年基金项目,11901344,随机最大值原理和倒向随机微分方程在保险风险理论中的应用研究,2020/01-2022/12,27万元,结题

5. 山东省自然科学基金青年基金项目,ZR2019QA013,马尔科夫体制转换模型下若干随机优化问题的研究,2019/07-2022/06,15万元,结题

6. 中国博士后科学基金面上资助,2017M612787,马尔科夫体制转换模型在随机控制及金融保险中的应用,2017/06-2018/06,5万元,结题

已发表论文 (*通讯作者, 按时间倒序):

1. Zhu Dan, Wang Zemeng, Sun Zhongyang*. Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors. International Journal of Control, doi.org/10.1080/00207179.2023.2287693, 2023.

2. Tian Yingxu, Sun Zhongyang*, Guo Junyi, Optimal meanvariance investment-reinsurance strategy for dependent risk model with Ornstein-Uhlenbeck process, Methodology and Computing in Applied Probability, 24(2): 1169-1191, 2022.

3. Sun Zhongyang*, Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon, Applied Mathematics and Optimization, 84(1): 319-353, 2021.

4. Sun Zhongyang, Zhang Xin, Li Ya-Nan*, A BSDE approach for bond pricing under interest rate models with self-exciting jumps, Communications in Statistics-Theory and Methods, 50(14): 3249-3261, 2021.

5. Tian Yingxu, Guo Junyi, Sun Zhongyang*, Optimal mean-variance reinsurance in a financial market with stochastic rate of return, Journal of Industrial and Management Optimization, 17(4): 1887-1912, 2021.

6. Sun Hui, Sun Zhongyang*, Huang Ya, Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints, AIMS Mathematics, 5(6): 6996-7013, 2020.

7. Sun Zhongyang, Zhang Xin*, Yuen Kam Chuen, Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option, Scandinavian Actuarial Journal, 2020(3): 218-244, 2020.

8. Sun Zhongyang, Yuen Kam Chuen*, Guo Junyi, A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling, Journal of Computational and Applied Mathematics, 366, 112413, 2020.

9. Sun Zhongyang*, Upper bounds for ruin probabilities under model uncertainty, Communications in Statistics-Theory and Methods, 48(18): 4511-4527, 2019.

10. Sun Zhongyang*, Guo Xianping, Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem, Journal of Optimization Theory and Applications, 181(2): 383-410, 2019.

11. Zhang Xin, Sun Zhongyang*, Xiong Jie, A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type, SIAM Journal on Control and Optimization, 56(4): 2563-2592, 2018.

12. Sun Zhongyang*, Isabelle Kemajou-Brown, Olivier Menoukeu-Pamen, A risk sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications, ESAIM: Control, Optimisation and Calculus of Variations, 24(3): 985-1013, 2018.

13. Sun Zhongyang, Olivier Menoukeu-Pamen*, The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump diffusion system, Stochastic Analysis and Applications, 36(5): 782-811, 2018.

14. Sun Zhongyang, Guo Junyi*, Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility, Mathematical Methods of Operations Research, 88(1): 59-79, 2018.

15. Sun Zhongyang, Guo Junyi*, Zhang Xin, Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming, Journal of Optimization Theory and Applications, 176(2): 319-350, 2018.

16. Tian Yingxu, Sun Zhongyang*, Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence, Journal of Risk and Financial Management, 11(2), 25, 2018.

17. Sun Zhongyang, Zheng Xiaoxiao*, Zhang Xin, Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk, Journal of Mathematical Analysis and Applications, 446(2): 1666-1686, 2017.

18. Sun Zhongyang, Zhang Xin, Guo Junyi*, A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance, Optimal Control Applications and Methods, 38(6): 934-948, 2017.

19. Sun Zhongyang*, Maximum principle for forward-backward stochastic control system under G-expectation and relation to dynamic programming, Journal of Computational and Applied Mathematics, 296: 753-775, 2016.

20. Zheng Xiaoxiao, Sun Zhongyang*, Zhang Xin, Optimal portfolio problems for an insurance company under default risk and model uncertainty, Acta Mathematica Scientia Chinese Series, 36A(2): 362-379, 2016.

21. Zheng Xiaoxiao, Zhou Jieming*, Sun Zhongyang, Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model, Insurance: Mathematics and Economics, 67(4): 77-87, 2016.

讲授课程:

本科生:概率论与数理统计,风险理论

研究生:非寿险精算学






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