清华大学经济管理学院金融系教授
电话 (86) (10) 62789963
电邮 zhanglh2@sem.tsinghua.edu.cn
办公室 清华大学经济管理学院伟伦楼322
教育经历
|
1999 |
中国科学院 |
概率统计 |
博士 |
|
1991 |
南开大学 |
概率统计 |
硕士 |
|
1988 |
南开大学 |
概率统计 |
学士 |
研究领域
金融数学、应用随机过程、随机过程、风险理论及风险管理、金融经济学
Education
|
1999 |
Chinese Academy of Sciences |
Probability Theory and Mathematical Statistics |
Ph.D. |
|
1991 |
Nankai University |
Probability Theory and Mathematical Statistics |
MS |
|
1988 |
Nankai University |
Probability Theory and Mathematical Statistics |
BS |
Research Areas
Mathematical Finance
Stochastic Process
Random Process
Risk Theory and Risk Management
Financial Economics
研究成果
1. Chen, B., Zhang, L. and Zhao, L (2010), “On the Robustness of Longevity Risk Pricing”, Insurance: Mathematics and Economics 47, 358-373.
2. Sun, L., Zhang, L. (2010) “Optimal Consumption and Investment under Irrational Beliefs”, Accepted by Journal of Industrial and Management Optimization.
3. Wang, Z., Xia, J. and Zhang, L.H., (2007) “Optimal Investment for An Insurer: the Martingale Approach”, Insurance: Mathematics and Economics 40(2), 322-334.
4. Gao, F., Song, F. and Zhang, L.H., (2007) “Coherent Risk Measure, Equilibrium and Equilibrium pricing”, Insurance: Mathematics and Economics 40, 85-94
5. Yang, J., Cheng, S. and Zhang, L.H., (2006) “Bivariate Copula Decomposition in Terms of Comontonicity, Countermonotocity and Independence”. Insurance: Mathematics and Economics 39, 267-284.
6. Ng, KW, Yang, H. and Zhang, L.H., (2006) “Upper Bounds for Ruin Probability under Compound Filtered Poisson Models”, International Journal of Statistics and System Vol.1 No. 2, 191-201.
7. Yang Hailiang. & Zhang L.H. (2006) “Ruin Problems for a Discrete Time Risk Model with Random Interest Rate”, Mathematical Methods of Operations Research Vol 63, No. 2, 287-299.
8. Yang H. & Zhang, L.H., (2005) “Optimal Investment for Insurer with Jump-Diffusion Risk Process”, Insurance: Mathematics and Economics 37(3), 615-634.
9. Ng KW, Yang H. & Zhang L.H., (2004) “Ruin Probability under Compound Poisson Models with Random Discount Factor”, Probability in Engineering and Informational Sciences, 18, 2004, 55-70.
10. Yang H. & Zhang L.H., (2003)“Martingale Method for Ruin Probability in an Autoregressive Model with Constant Interest Rate”, Probability in Engineering and Informational Sciences, 17, 2003, 183-198.
11. Yang H. & Zhang L.H., (2001) “The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force”, North American Actuarial Journal 5(3): 92-103.
12. Yang H. & Zhang L.H, (2001) “On the Distribution of Surplus Immediately after Ruin under Interest Force”, Insurance: Mathematics & Economics, Vol. 29, Issue 2, 247-255.
13. Yang H. & Zhang L.H., (2001) “On the Distribution of Surplus Immediately before Ruin under Interest Force”, Statistics & Probability Letters, Vol.55, Issue 3, 329-338.
