工作经历

2021年7月—今 中国人民大学统计学院 副教授

2020年6月—2021年7月 中国人民大学统计学院 讲师

2018年3月—2020年5月 中国人民大学统计学院 师资博士后

基金项目

养老金管理中的两类控制优化问题研究，国家自然科学基金项目面上项目， 主持， 2024-2027

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：随机过程 研究生课程：金融计量学，量化风险管理

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

[23] Guohui Guan, Zongxia Liang, Xingjian Ma. Optimal annuitization and asset allocation under linear habit formation. Insurance Mathematics and Economics, 2023. (Accept)

[22] Guohui Guan, Zongxia Liang, Yi Xia. Optimal management of DB pension fund under both underfunded and overfunded cases. Scandinavian Actuarial Journal, 2023, DOI: 10.1080/03461238.2023.2289372

[21] Guan G, Liang Z, Song Y. A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility. Scandinavian Actuarial Journal, 2023: 1-36.

[20] Guan G, He L, Liang Z, Liu Y, Zhang L.  Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs. North American Actuarial Journal, 2023: 1-24.

[19] 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.

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

[17] 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.

[16] 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.

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

[14] 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.

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

[12] 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.

[11] 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.

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

[9] 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.

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

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

[6] 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.

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

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

[3] 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.

[2] 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.

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