Jinzhu Li Professor

[1] Ph.D.: September 1, 2005-June 30, 2010, School of Mathematical Sciences, Nankai University

[2] B.Sc.: September 1, 2001-June 30, 2005, Department of Mathematics, School of Sciences, Tianjin University

[1] Associate Professor: Since January 1, 2014, School of Mathematical Sciences, Nankai University

[2] Lecturer: July 1, 2010-December 31, 2013, School of Mathematical Sciences, Nankai University

Stochastic processes and their applications in insurance and finance

Actuarial Mathematics,Stochastic Processes,Advanced Mathematics,Probability Theory,Exercises Lesson of Mathematical Analysis,Financial Engineering

• Yang, H.; Li, J. On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims. Statist. Probab. Lett. 149 (2019), 153–159.

    

• Li, J. A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model. Statist. Probab. Lett. 140 (2018), 23–32.

    

• Asimit, A. V.; Li, J. Systemic risk: an asymptotic evaluation. Astin Bull. 48 (2018), no. 2, 673–698.

    

• Asimit, A. V.; Li, J. Measuring the tail risk: An asymptotic approach. J. Math. Anal. Appl. 463 (2018), no. 1, 176–197.

    

• Li, J. On the joint tail behavior of randomly weighted sums of heavy-tailed random variables. J. Multivariate Anal. 164 (2018), 40–53.

    

• Li, J. A note on a by-claim risk model: asymptotic results. Comm. Statist. Theory Methods 46 (2017), no. 22, 11289–11295.

    

• Li, J. A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation. Statist. Probab. Lett. 127 (2017), 49–55.

    

• Yang, H.; Li, J. Asymptotic ruin probabilities for a bidimensional renewal risk model. Stochastics 89 (2017), no. 5, 687–708.

    

• Li, J. The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims. Comm. Statist. Theory Methods 46 (2017), no. 4, 1959–1971.

    

• Asimit, A. V.; Li, J. Extremes for coherent risk measures. Insurance Math. Econom.71 (2016), 332–341.

  

• Li, J. Uniform asymptotics for a multi-dimensional time-dependent riskmodel with multivariate regularly varying claims and stochasticreturn. Insurance Math. Econom.71 (2016), 195–204.

    

• Konstantinides, D. G.; Li, J. Asymptotic ruin probabilities for a multidimensionalrenewal riskmodel with multivariate regularly varying claims. Insurance Math. Econom.69 (2016), 38–44.

• Yang, H.; Gao, W.; Li, J. Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Scand. Actuar. J. 2016 (2016), no. 1, 1–17.

• Li, J.; Tang, Q. Interplay of insurance and financial risks in a discrete-time model with strongly regular variation. Bernoulli 21 (2015), no. 3, 1800–1823.

  

• Li, J.; Wu, R. The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims. Acta Math. Appl. Sin. Engl. Ser. 31 (2015), no. 1, 181–190.

  

• Li, J.; Yang, H. Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims. J. Math. Anal. Appl. 426 (2015), no. 1, 247–266.

  

• Hashorva, E.; Li, J. Tail behavior of weighted sums of order statistics of dependent risks. Stoch. Models 31 (2015), no. 1, 1–19.

  

• Li, J.Asymptotics for large claims reinsurance in a time-dependent renewal risk model. Scand. Actuar. J. 2015, no. 2, 172–183.

  

• Hashorva, E.; Li, J.Asymptotics for a discrete-time risk model with the emphasis on financial risk. Probab. Engrg. Inform. Sci. 28 (2014), no. 4, 573–588.

  

• Yang, H.; Li, J. Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Insurance Math. Econom. 58 (2014), 185–192.

  

• Hashorva, E.; Li, J. ECOMOR and LCR reinsurance with gamma-like claims. Insurance Math. Econom. 53 (2013), no. 1, 206–215.

  

• Li, J. On pairwise quasi-asymptotically independent random variables and their applications. Statist. Probab. Lett. 83 (2013), no. 9, 2081–2087.

  

• Li, J.; Wu, R. Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies. Acta Math. Sin. (Engl. Ser.) 28 (2012), no. 7, 1421–1430.

  

• Li, J.Asymptotics in a time-dependent renewal risk model with stochastic return. J. Math. Anal. Appl. 387 (2012), no. 2, 1009–1023.

  

• Li, J.; Wu, R. Upper bound for finite-time ruin probability in a Markov-modulated market. J. Syst. Sci. Complex. 24 (2011), no. 2, 308–316.

  

• Li, J.; Wu, R. Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims. Acta Math. Appl. Sin. Engl. Ser. 27 (2011), no. 2, 329–338.

  

• Li, J.; Tang, Q.; Wu, R.Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model. Adv. in Appl. Probab. 42 (2010), no. 4, 1126–1146.

  

• Li, J.; Tang, Q. A note on max-sum equivalence. Statist. Probab. Lett. 80 (2010), no. 23-24, 1720–1723.

  

• Li, J.; Wu, R. Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility. Appl. Stoch. Models Bus. Ind. 25 (2009), no. 3, 407–420.

[1] March 1, 2016-March 1, 2017: Faculty of Business and Economics (HEC), The University of Lausanne, Lausanne, Switzerland

[2] August 11, 2012-August 11, 2013: Faculty of Business and Economics (HEC), The University of Lausanne, Lausanne, Switzerland

[3] September 30, 2009-July 30, 2010: Department of Insurance and Actuarial Science, The University of Iowa, Iowa City, IA, USA