风险理论; 金融保险中的随机最优控制; 风险度量

本科生： 

高等数学 2022-2023 （春季） 2023-2024、 2024-2025 （秋季）

风险理论基础  2023-2024 （春季）

 研究生：

风险理论 2022-2023 （春季）2023-2024 （春季）

量化风险管理 2024-2025 （秋季）

Publications

14. Han, X., Lin, L. and Wang, R., 2025. Diversification quotients: Quantifying diversification via risk measures. Management Science, forthcoming.

13.Boonen, T. J.,  Han, X.*,  2024. Optimal insurance with mean-deviation measures. Insurance: Mathematics and Economics, 118, 1-24.

12. Han, X., Lin, L. and Wang, R. 2023. Diversification quotients based on VaR and ES. Insurance: Mathematics and Economics, 113, 187-197.

11. Han, X., Wang, B., Wang, R. and Wu, Q., 2023. Risk concentration and the mean-Expected Shortfall criterion. Mathematical Finance, 34(3), 819-846.

10. Han, X., Landriault, D. and  Li, D., 2023. Optimal reinsurance contract in a Stackelberg game framework: A view of social planner. Scandinavian Actuarial Journal, 2024(2), 124-148.

9. Yuan, Y., Han, X.*, Liang, Z. and Yuen, K. C., 2023. Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework. European Journal of Operational Research, 311(2), 581-595.

8. Han, X., Wang, R. and Zhou, X. Y., 2023. Choquet regularization for continuous-time reinforcement learning. SIAM Journal on Control and Optimization, 61(5), 2777-2801. 

7. Han, X., Liang, Z., Yuan, Y. and Zhang, C., 2022. Optimal per-loss reinsurance and investment to minimize the probability of drawdown. Journal of Industrial and Management Optimization, 18(6), 4011–4041.

6. Han, X., Liang, Z., Yuen, K. C. and Yuan, Y., 2021. Minimizing the probability of absolute ruin under ambiguity aversion. Applied Mathematics and Optimization, 84, 2495–2525.

5. Han, X., Liang, Z. and Yuen, K. C., 2021. Minimizing the probability of absolute ruin under the mean-variance premium principle. Optimal Control Applications and Methods, 42(3), 786–806. 

4. Han, X., Liang, Z. and Young, V. R., 2020. Optimal reinsurance strategy to minimize the probability of drawdown under a Mean-Variance premium principle. Scandinavian Actuarial Journal, 2020(10), 879–903.

3. Han, X. and Liang, Z., 2020. Optimal reinsurance and investment in danger-zone and safe-region. Optimal Control Applications and Methods, 41(3), 765–792.

2. Han, X., Liang, Z. and Zhang, C., 2019. Optimal proportional reinsurance with common shock dependence to minimize the probability of drawdown. Annals of Actuarial Science, 13(2), 268–294.

1. Han, X., Liang, Z. and Yuen,  K. C., 2018. Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Scandinavian Actuarial Journal, 2018(10), 863–889.

Manuscripts

1. Boonen, T. J., Chen, Y., Han, X*. and Wang, Q. (2024). Optimal insurance design with Lambda-Value-at-Risk. arXiv: 2408.09799

2. Han, X. and  Liu, P. (2024). Robust Lambda-quantiles and extreme probabilities. arXiv:2408.09799

3. Han, X., Wang, R. and Wu, Q., 2023. Monotonic mean-deviation measures. arXiv: 2312.01034

4. Guo, J., Han, X. and Wang, H., 2023. Exploratory mean-variance portfolio selection with Choquet regularizers. arXiv: 2307.03026

5. Yuan, Y., Han, X.*, Liang, Z. and Yuen, K. C., 2023. Minimizing the penalized probability of absolute ruin with extremely ambiguity-averse and ambiguity-loving preferences. SSRN: 4401539

6. Han, X., Wang, Q., Wang, R. and Xia, J., 2022. Cash-subadditive risk measures without quasi-convexity. arXiv: 2110.12198.6