About
- Department: School of Mathematical Sciences
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- Email: lijinzhu@nankai.edu.cn
- Office Location:
- Address School: 94 Weijin Road, 300071, Tianjin City, China
- PostCode School: 300071
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Education
[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
WorkExperience
[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
Research Fields
Stochastic processes and their applications in insurance and finance
Lectures
Actuarial Mathematics,Stochastic Processes,Advanced Mathematics,Probability Theory,Exercises Lesson of Mathematical Analysis,Financial Engineering
Publications
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.
Academic Exchange
[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
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