The Department of Statistics and Actuarial Science
Jiannan Zhang
Zhang, Jian nan
School of Insurance and Economics (SIE)
University of International Business and Economics (UIBE)
Beijing, China, 10029
2023
ACADEMIC EXPERIENCE
Research Associate, The University of New South Wales, School of Risk and Actuarial Studies, 2022-2023
EDUCATION
Ph.D. (Actuarial Studies), The University of Melbourne, Centre for Actuarial Studies, Department of Economics 2017-2022
RESEARCH INTEREST
Actuarial science and optimal control: portfolio selection problem, game theory, optimal dividend payment strategy
PUBLICATIONS AND PRESENTATIONS
Published Articles
[1] Zhang, J., Chen, P., Jin, Z. and Li, S. (2022) A class of non-zero sum stochastic differential games between two mean-variance insurers with state-dependent risk aversion. Probability in the Engineering and Informational Sciences, 1-27.
[2] Liu, G., Jin, Z., Li, S., and Zhang, J. (corresponding author) (2022). Stochastic asset allocation and reinsurance game under contagious claims. Finance Research Letters, 49, 103123.
[3] Zhang, J., Chen, P., Jin, Z. and Li, S. (2021). Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model. Journal of Industrial and Management
Optimization, 17(2): 765--777.
[4] Zhang, J., Chen, P., Jin, Z. and Li, S. (2021). On a class of non-zero-sum stochastic differential dividend games with regime switching. Applied Mathematics and Computation, 397 (2021): 125956.
[5] Zhang, J., Chen, P., Jin, Z. and Li, S. (2020) Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio. Journal of Computational and Applied Mathematics}, 380 (2020): 112951.
Conference Presentation
Probability, Uncertainty and Quantitative Finance, Weihai, June 2019
The 10th Australasian Actuarial Education and Research Symposium, Melbourne, November 2019
Invited talk, Shenzhen University, August 2021
Australasian Actuarial Education and Research Symposium, Canberra, November 2022
COURSES TAUGHT（Tutorial）
The University of New South Wales ACTL5103 Stochastic Modelling
The University of Melbourne
ACTL20002 Financial Mathematics II ACTL30001 Actuarial Modelling I ACTL30005 Models for Insurance and Finance
Jilin University
Advanced Mathematics
PUBLIC SERVICE
Reviewer: Finance Research Letters
Journal of Computational and Applied Mathematics
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