6686体育

Education

PhD (National Public Joint Training), Department of Statistics and Actuarial Science, Waterloo University, Canada Doctor of Philosophy, Operational Research and Cybernetics, Sun Yat-sen University, PRC Bachelor, Material Formation and Control Engineering, Yangtze University, PRC,  

Professional Experiences

• 2011.7-2013.7, Post-doctor, Lecturer, Lingnan (University) College, Sun Yat-sen University, PRC  

Publications

Hui Zhao, Yang Shen, *Yan Zeng (2019), Wenjun Zhang. Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. Insurance: Mathematics and Economics, 88: 159-180. (SSCI, SCI) (JCR, Q2)

Yang Deng, *Yan Zeng, Zhirui Li (2019). Real estate prices and systemic banking crises. Economic modelling, 80: 111-120. (SSCI). (JCR, Q2)

Jie Ding, *Yan Zeng, Yuelei Li, Yang Guo (2019).Education Premium and Its Gender Heterogeneity in Financial Investment. Chinese Journal of Management Science,27(10):1-11.

Yan Zeng, Guosheng Qiu, Shoujun Huang (2019). The exaggeration of product quality and its precautions in the preorder crowdfunding. Chinese Journal of Management Science, 22(07):89-106.

Shumin Chen, Yan Zeng, Ailing Gu (2019).Optimal Technology Investment-dividend Strategy for a R&D Firm. System Engineering-Theory & Practice,39(6):1394-1406.

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 Dynamic and Control, 88: 70-103. (SSCI) (JCR, Q2)

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. (SSCI, SCI) (JCR, Q2)

Danping Li, Yang Shen, *Yan Zeng (2018). Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility. Insurance: Mathematics and Economics, 78: 72-86. (SSCI, SCI) (JCR, Q2)

Shumin Chen, Hailiang Yang, *Yan Zeng (2018). Stochastic differential games between two insurers with generalized mean-variance premium principle. Astin Bulletin, 48(1): 413-434. (SSCI, SCI) (JCR, Q3)

Huiling Wu, Chengguo Weng, *Yan Zeng (2018). Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions. OR Spectrum, 40(2): 541-582. (SSCI, SCI) (JCR, Q2)

Shuming Chen, *Zhongfei Li, Yan Zeng (2018). Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. SIAM Journal on Financial Mathematics, 9(1): 274-314. (SSCI, SCI) (JCR, Q3)

Donatien Hainaut, Yang Shen, Yan Zeng (2018). How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? Annals of Operations Research, 262(2): 519-545. (SSCI, SCI) (JCR, Q2)

Yan Zeng, Jinhua Xu, Hongyu Tu (2018). Theoretical mechanism of control rights defenses under symbiotic relationship: A case study of control rights fight between Vanke and Baoneng. Chinese Journal of Management Science, 21(10):97-111.

Yonghui Chen, Ziliang Meng, *Yan Zeng (2018). Trade Credit Loan Pricing and Supply Chain Financing Pattern Choice Based on Retailers' Heterogeneity. System Engineering-Theory & Practice,38(10):2479-2490.

Jie Ding, Yuelei Li, Yan Zeng (2018). Does P2P Lending Have the Attributes of Poverty? Who Despises the Poor and Curries Favour with the Rich? —— Evidences from Renrendai. Studies of International Finance,2018(6):86-96.

Yan Zeng, Yonghui Chen (2018). Internet Banks and Credit Market Allocation. Financial Science,2018(1):94-108.

Jie Ding, Yuelei Li, Yan Zeng, Zhongfei Li (2018). Dual Information Value and Information Transmission of Two-way Traders in P2P Lending. Nankai Business Review,21(2):4-15.

Yonghui Chen, Hongyu Tu, *Yan Zeng (2018). Loan Pricing and Production Adjustment Mechanism in Agricultural Supply Chain Finance. System Engineering-Theory & Practice,38(7):1706-1716.

Jinhua Xu, Yan Zeng, Shanmin Li, Junqing Kang (2018). Mechanism of anti-takeover provisions: A perspective of controlling shareholder's tunneling. Chinese Journal of Management Science, 21(02):37-47.

Zheng Chen, *Zhongfei Li, Yan Zeng, Jingyun Sun (2017). Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. Insurance: Mathematics and Economics, 75: 137-150. (SSCI, SCI) (JCR, Q2)

Haixiang Yao, *Zhongfei Li, Xun Li, Yan Zeng (2017). Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. Journal of Industrial and Management Optimization, 13(3): 1273–1290. (SSCI, SCI) (JCR, Q3)

Shumin Chen, *Yan Zeng, Zhifeng Hao (2017). Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model. Insurance: Mathematics and Economics, 74: 31-45. (SSCI, SCI) (JCR, Q2)

Yongwu Li, *Shouyang Wang, Yan Zeng, Han Qiao (2017). Equilibrium investment strategy for a DC plan with partial information and mean–variance criterion. IEEE Systems Journal, 11(3): 1492-1504. (SSCI, SCI) (JCR, Q1)

Hui Zhao, Chengguo Weng, Yang Shen, *Yan Zeng (2017). Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. Science China Mathematics, 60(2): 317-344. (SCI) (JCR, Q2)

 

Yan Zeng, Siying Liang, *Fengping Tian, Jiawei Wei (2017). The optimal strategy for entrepreneur and investors in equity crowdfunding. Chinese Journal of Management Science, 20(09):114-130.

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. (SSCI, SCI) (JCR, Q2)

Jingyun Sun, Zhongfei Li, Yan Zeng (2016). Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model. Insurance: Mathematics and Economics, 67: 158-172. (SSCI, SCI) (JCR, Q2)

Hui Zhao, Yang Shen, *Yan Zeng (2016). Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security. Journal of Mathematical Analysis and Applications, 437(2): 1036-1057. (SCI) (JCR, Q1)

Xin Zhang, Hui Meng, *Yan Zeng (2016). Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling. Insurance: Mathematics and Economics, 67: 125-132 (SSCI, SCI) (JCR, Q2)

Shumin Chen, Xi Wang, *Yan Zeng, Yinglu Deng (2016). Optimal dividend financing strategies in a dual risk model with time-inconsistent preferences. Insurance: Mathematics and Economics, 67: 27-37. (SSCI, SCI) (JCR, Q2)

Yongwu Li, *Zhongfei Li, Yan Zeng (2016). Equilibrium dividend Strategy with non-exponential discounting in a dual model. Journal of Optimization Theory and Applications, 168(2): 699-722. (SSCI, SCI) (JCR, Q2)

Xiangyu Cui, Lu Xu, *Yan Zeng (2016). Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion. Optimization Letters, 10(8): 725-751. (SSCI, SCI) (JCR, Q2)

Yan Zeng, Junqing Kang, Shumin Chen (2016). Dynamic sentiment asset pricing with heterogeneous investors. Chinese Journal of Management Science, 19(06):87-97.

Yan Zeng, Jinbo Huang (2016). Asset allocation based on mean-AS model. Chinese Journal of Management Science, 19(02):95-108.

Yan Zeng, Xi Chen, Yinglu Deng (2016).Innovative Dynamic Mortality Rate Prediction and Implementation. System Engineering-Theory & Practice,36(7):1710-1718.

Huiling Wu, *Yan Zeng (2015). Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. Insurance: Mathematics and Economics, 64: 396–408. (SSCI, SCI) (JCR, Q2)

Yang Shen, *Yan Zeng (2015). Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. Insurance: Mathematics and Economics, 62: 118–137. (SSCI, SCI) (JCR, Q2)

Bo Yi, Frederi G. Viens, *Zhongfei Li, Yan Zeng (2015). Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Scandinavian Actuarial Journal, 2015(8): 725-751. (SSCI, SCI) (JCR, Q2)

Yongzeng Lai, *Zhongfei Li, Yan Zeng (2015). Control variate methods and applications to Asian and basket options pricing under jump-diffusion models. IMA Journal of Management Mathematics, 26 (1): 11-37. (SSCI, SCI) (JCR, Q3)Yan Zeng, Qingzou Zeng, Zhilin Kang (2015). Natural Hedging Strategy for Longevity Risk Based on Price Adjustment. Chinese Journal of Management Science,23(12):11-19.

Zhongfei Li, Shumin Chen, Yan Zeng (2015). Optimal Dividend Strategy for a Diffusion Model with Time-inconsistent Preferences. System Engineering-Theory & Practice,35(7):1633-1645.

Y. Zeng, Z. F. Li, Y. Z. Lai. Time-consistent Investment and Reinsurance Strategies for Mean-variance Insurers with Jumps. Insurance: Mathematics and Economics, Doi: 10.1016/j.insmatheco.2013.02.007. Y. Zeng, H. L. Wu, Y. Z. Lai (2013). Optimal Investment and Consumption Strategies with State-dependent Utility Functions and Uncertain Time-horizon. Economic Modeling, 33: 462-470. H. L. Wu, Y. Zeng. 2013. Multi-period Mean-variance Portfolio Selection in a Regime-switching Market with a Bankruptcy State. Optimal Control, Applications and Methods, doi:10.1002/oca.2027. A.L.Gu, Z.F.Li. 2013. Optimal Investment Strategy of DC Pension Plan under Ornstein-Uhlenbeck Model. Acta Mathematicae Applicatae Sinica, 36(4): 715-726. Y. Zeng, Z. F. Li, H. L. Wu. 2013. Optimal Portfolio Selection in a Levy Market with Uncontrolled Cash Flows and Only Risky Assets. International Journal of Control, 86(3): 426-437. H. X. Yao, Y. Zeng, S. M. Chen. 2013. Multi-period Mean-variance Asset-liability Management with Uncontrolled Cash Flow and Uncertain Time-horizon. Economic Modelling, 30(1): 492-500. Y.Zeng, Y.F.Guo, L.Zhang. 2013. Delay Retirement Decisions Based on Longevity Risk and OLG Model. Financial Economics Research, 28(4): 83-93. Y. Zeng, Z. F. Li. 2012. Optimal Reinsurance-investment Strategies for Insurers under Mean-CaR Criteria. Journal of Industrial and Management Optimization, 8(3): 673-690. Z. F. Li, Y. Zeng, Y. Z. Lai. 2012. Optimal Time-consistent Investment and Reinsurance Strategies for Insurers under Heston’s SV Model. Insurance: Mathematics and Economics, 51(1): 191-203. L. Gu, X. P. Guo, Z. F. Li, Y. Zeng. 2012. Optimal Control of Excess-of-loss Reinsurance and Investment for Insurers under a CEV Model. Insurance: Mathematics and Economics, 51(3): 674-684. Y. J. Xu, Y. Z. Lai, Y. Zeng. 2012. Optimal Sensitivity Simulation by Malliavin Calculus and Quasi-Monte Carlo Methods. 2012 Fifth International Conference On Business Intelligence and Financial Engineering. Z. L. Kang, Y. Zeng. 2012. Optimal Portfolio Strategy under Minimax Criterion with Constraints. Journal of Systems Engineering, 27(5): 656-667. Y. Bo, Z. F. Li, Y. Zeng. 2012. Optimal Investment Strategy with Stochastic Volatility and Dynamic VaR Constraint. Operations Research Transactions, 16(2): 77-90. C. J. Li, Z. F. Li, Y. Zeng. 2012. Optimal Investment-reinsurance Strategy for An Insurer with Exogenous Liability. Acta Scientiarum Naturalium Universitatis Sunyatseni, 51: 1-8. (In Chinese) B.Yi, Z.F.Li, Y.Zeng. 2012. Optimal Investment Strategy Based on Dynamic VaR Constraint and Stochastic Volatility Model. Operation Research, 16(2): 77-90. Y. Zeng, Z. F. Li. 2011. Optimal Time-consistent Investment and Reinsurance Policies for Mean-variance Insurers. Insurance: Mathematics and Economics, 49(1): 145-154. Y. Zeng, Z. F. Li. 2011. Asset-liability Management under Benchmark and Mean-variance Criteria in a Jump Diffusion Market. Journal of Systems Science and Complexity, 24: 317-327. Y. Z. Lai, Y. Zeng, X. J. Xi. 2011. Efficient Variance Reduction Methods for Asian Option Pricing under Exponential Jump Diffusion Models. AIP Conference Proceedings, 1368: 229-232. Y. Zeng, Z. F. Li. 2011. Optimal Proportional Reinsurance-investment Policies for an Insurer under Capital-at-Risk Constraint. Control Theory and Applications, 28: 467-471, 2011. (In Chinese) Y. Zeng, Z. F. Li, Jingjun Liu. 2010. Optimal Strategies of Benchmark and Mean-Variance Portfolio Selection Problems for Insurers. Journal of Industrial and Management Optimization, 6(3): 483-496. Y. Zeng, Z. F. Li. 2010. Optimal Investment Policy of Insurers under Linear Constraint, Operations Research Transactions, 14: 106-118, 2010. (In Chinese) Y. Zeng, Z. F. Li. 2009. Optimal Proportional Reinsurance Policies Based on Regulations, Journal of Systems Science and Mathematical Sciences, 29 (11): 1496-1506, 2009 (In Chinese). Y. N. Zhang, Y. Zeng, T. K Zhong, Z. S Tang, H. Q. Mo, 2009. Solution of Inverse-interpolation Problem by Power-excitation Feed forward Neural Networks, Journal of South China University of Technology (Natural Science Edition) 37(5): 68-72, 2009 (EI, In Chinese).  

Conferences and Presentations

• Workshop on Optimization，Shanghai, Mar. 16-18, 2013 • Operations Research Society of China (ORSC2012), Shenyang, Oct. 19-22, 2012 • 2012 China International Conference on Insurance and Risk Management, Qingdao, July 19-21, 2012 • 16th International congress on Insurance: Mathematics and Economics, Hong Kong, June 28-30, 2012 • INFORMS International conference 2012, Beijing, June 24-27, 2012 • The International Agricultural Risk, Finance, and Insurance Conference (IARFIC 2012), Beijing, June 20-21, 2012 • The Ninth Financial Engineering and Risk Management International Symposium，Wuhan, Oct. 14-16, 2011 • The First Waterloo Conference on Characteristics, Risk and Management (ChaRisMa) of Natural Hazards, The University of Waterloo, Canada, Dec. 1-3, 2010 • China International Conference in Finance，Guangzhou, July 7-10, 2009  

Current Research    

• “Research on Time-inconsistent Decision-making Models and Equilibrium Strategies for Insurers” supported by the National Natural Science Foundation of China (Grant No. 71201173, Jan. 2013--Dec. 2015), Project Leader. • “Research on Optimal Reinsurance and Investment Strategies with Mean-risk Criteria and Stochastic Volatility Models” supported by China Postdoctoral Science Foundation funded project (Grant No. 2011M501351, Oct. 2011--April. 2014), Project Leader. • “Managing and Pricing Longevity Risk” supported by Humanity and Social Science Foundation of Ministry of Education of China (Grant No. 12YJCZH267, Jan. 2012--Dec. 2014), Project Leader. • “Research on Managing Longevity Risk of Guangdong Province” supported by Philosophy and Social Science Programming Foundation of Guangdong Province (Grant No. GD11YYJ07, Jan. 2012--Dec. 2013), Project Leader.  

Teaching

Financial Asset Pricing Financial Theories and Policies Advance Financial Economics I Advance Financial Economics II Financial Engineering Insurance