教师队伍

您当前的位置: > 首页 > 教学团队 > 教师队伍

关国卉

职 称: 副教授


职 务:


电子邮箱: guangh08@163.com

工作经历

2018年3月—2020年5月 中国人民大学统计学院 师资博士后

2020年6月—2021年7月 中国人民大学统计学院 讲师

2021年7月—今 中国人民大学统计学院 副教授

基金项目

两类模型不确定下保险公司的最优再保险和投资策略研究 , 国家自然科学基金项目青年科学基金项目, 主持, 2020-2022

光滑模糊下保险公司的最优再保险和投资策略研究,第64批博士后面上一等资助,主持,2018-2019

保险公司的最优投资决策问题研究,中国人民大学科学研究基金项目,主持,2018-2020

开设课程

本科生课程:精算模型,随机过程 研究生课程:金融计量学,量化风险管理,利率模型及衍生品

研究方向

风险管理,最优再保险决策,养老金管理,最优资产配置

论文成果

  • Guan G, Hu X. Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity. The North American Journal of Economics and Finance, 2022, 63: 101793.

  • Guan G, Hu J, Liang Z. Robust equilibrium strategies in a defined benefit pension plan game. Insurance: Mathematics and Economics, 2022, 106: 193-217.

  • Guan G, Li B. Equilibrium Investment and Reinsurance Strategies under Smooth Ambiguity with a General Second-Order Distribution. Journal of Economic Dynamics and Control, 2022: 104515.

  • Guan G, Liang Z, Xia Y. Optimal management of DC pension fund under the relative performance ratio and VaR constraint. European Journal of Operational Research, 2022.

  • Yu L, Lin L, Guan G, et al. Time-consistent lifetime portfolio selection under smooth ambiguity. Mathematical Control and Related Fields, 2022.

  • Guan G, Hu X. Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games. North American Actuarial Journal, 2021: 1-33.

  • Guan G, Hu X. On the analysis of a discrete-time risk model with INAR (1) processes. Scandinavian Actuarial Journal, 2021: 1-24.

  • 关国卉、詹家煊、王晓军. 退休计划中整合消费,投资和年金的最优决策研究. 数理统计与管理, 2020, 230: 86-98.

  • Guan G. Equilibrium and pre-commitment mean-variance portfolio selection problem with partially observed price index and multiple assets. Methodology and Computing in Applied Probability, 2020, 22: 25-47.

  • Guan G, Wang X. Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Scandinavian Actuarial Journal, 2020: 1-23.

  • Zhu J, Guan G, Li S, et al. Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. Journal of Computational and Applied Mathematics, 2020.

  • Guan G, Liang Z. Robust optimal reinsurance and investment strategies for an AAI with multiple risks. Insurance Mathematics & Economics, 2019: 63-78.

  • Guan G, Liang Z, Feng J. Time-consistent proportional reinsurance and investment strategies under ambiguous environment. Insurance Mathematics & Economics, 2018: 122-133.

  • 关国卉, 王晓军. 基于仿射模型的我国商业养老年金风险测度分析. 系统工程, 2018, 036: 97-106.

  • Guan G, Liang Z. Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints. Insurance Mathematics & Economics, 2016: 224-237.

  • Guan G, Liang Z. A stochastic Nash equilibrium portfolio game between two DC pension funds. Insurance Mathematics & Economics, 2016: 237-244.

  • Guan G, Liang Z. Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. Insurance Mathematics & Economics, 2015, 61(61): 99-109.

  • Guan G, Liang Z. Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. Insurance Mathematics & Economics, 2014, 57(57): 58-66.

  • Guan G, Liang Z. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Insurance Mathematics & Economics, 2014: 105-115.