主要研究领域

• 风险管理与保险精算：最优再保险、保险经济学、信度理论、系统性风险、风险度量、相依风险模型
• 应用概率：有序变量模型、随机序理论与随机比较、统计相依模型
• 可靠性理论与统计：可靠性分析、系统可靠性设计与优化

代表性论文

研究领域一：风险管理与保险精算

Yong, Y., Cheung, K.C. and Zhang, Y. (2024). Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery. ASTIN Bulletin: The Journal of the IAA, 54(3), 738-766.

Zhang, Y. (2024). Stochastic orders and distortion risk contribution ratio measures. Insurance: Mathematics and Economics, 118, 104-122.

Pu, T., Zhang, Y.F. and Zhang, Y. (2024). On joint marginal expected shortfall and associated contribution risk measures. Quantitative Finance, 24(7), 889-908.

Wen, L., Liu, W. and Zhang, Y. (2024). Multidimensional credibility: A new approach based on joint distribution function. ASTIN Bulletin: The Journal of the IAA, 54(3), 652-678.

Chen, Y., Cheung, K.C. and Zhang, Y. (2024). Bowley solution under the reinsurer's default risk. Insurance: Mathematics and Economics, 115, 36-61.

Yong, Y., Zeng, P. and Zhang, Y. (2024). Credibility theory for variance premium principle. North American Actuarial Journal, https://doi.org/10.1080/10920277.2023.2299497

Chen, Y., Jiang, W. and Zhang, Y. (2023). Mean-variance insurance design under heterogeneous beliefs. The Journal of Risk, 26(2), 105-132.

Liang, X., Jiang, W. and Zhang, Y. (2023). Optimal insurance design under mean-variance preference with narrow framing. Insurance: Mathematics and Economics, 112, 59-79.

Zhang, J., Yan, R. and Zhang, Y.  (2023). Stochastic comparisons of largest claim amounts from heterogeneous and dependent insurance portfolios. Journal of Computational and Applied Mathematics, 431, 115265.

Dhaene, J., Laeven, R.J.A. and Zhang, Y. (2022). Systemic risk: Conditional distortion risk measure. Insurance: Mathematics and Economics, 102, 126-145.

Boonen, T.J. and Zhang, Y. (2022). Bowley reinsurance with asymmetric information: A first-best solution. Scandinavian Actuarial Journal, 2022(6), 532-551.

Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2022). Satisficing credibility for heterogeneous risks. European Journal of Operational Research, 298(2), 752-768.

Boonen, T.J. and Zhang, Y. (2021). Optimal reinsurance design with distortion risk measures and asymmetric information. ASTIN Bulletin: The Journal of the IAA, 51(2), 607-629.

Zhang, Y. (2021). On transform orders for largest claim amounts. Journal of Applied Probability, 58(4), 1064-1085.

Xu, M. and Zhang, Y. (2021). Data breach CAT bonds: Modeling and pricing. North American Actuarial Journal, 25(4), 543-561.

Boonen, T.J., Cheung, K.C. and Zhang, Y. (2021). Bowley reinsurance with asymmetric information on the insurer's risk preferences. Scandinavian Actuarial Journal, 2021(7), 623-644.

Zhang, Y. and Cheung, K.C. (2020). On the increasing convex order of generalized aggregation of dependent random variables. Insurance: Mathematics and Economics, 92, 61-69.

Cheung, K.C., Yam, S.C.P., Yuen, F.L. and Zhang, Y. (2020). Concave distortion risk minimizing reinsurance design under adverse selection. Insurance: Mathematics and Economics, 91, 155-165.

Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2019). Risk-adjusted Bowley reinsurance under distorted probabilities. Insurance: Mathematics and Economics, 86, 64-72.

Zhang, Y., Cai, X. and Zhao, P. (2019). Ordering properties of extreme claim amounts from heterogeneous portfolios. ASTIN Bulletin: The Journal of the IAA, 49(2), 525-554.

Zhang, Y., Zhao, P. and Cheung, K.C. (2019). Comparisons of aggregate claim numbers and amounts: A study of heterogeneity. Scandinavian Actuarial Journal, 2019(4), 273-290.

Zhang, Y., Li, X. and Cheung, K.C. (2018). On heterogeneity in the individual model with both dependent claim occurrences and severities. ASTIN Bulletin: The Journal of the IAA, 48(2), 817-839. 

Balakrishnan, N., Zhang, Y. and Zhao, P. (2018). Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Scandinavian Actuarial Journal, 2018(1), 23-41. 

Zhang, Y. and Zhao, P.  (2015). Comparisons on aggregate risks from two sets of heterogeneous portfolios. Insurance: Mathematics and Economics, 65, 124-135. 

研究领域二：应用概率 & 可靠性理论与统计

Ding, W., Li, J. and Zhang, Y. (2023). Criticality-based allocation of active redundancies for
asymmetric components in coherent systems. Computers & Industrial Engineering, 183, 109467.

Zhang, J. and Zhang, Y. (2023). Stochastic comparisons of relevation allocation policies in coherent systems. TEST, 32, 865-907

Zhang, Y. (2023). Stochastic comparisons of conditional residual lifetimes with applications. Quality Technology & Quantitative Management, 20(5), 601-632.

Zhang, J. and Zhang, Y. (2022). A copula-based approach on optimal allocation of hot standbys in series systems. Naval Research Logistics, 69(6), 902-913.

Wu, J., Ding, W., Zhang, Y. and Zhao, P. (2022). On reliability improvement for coherent systems with a relevation. Naval Research Logistics, 69(4), 654-666.

Sun, H., Zhang, Y. and Zhao, P. (2022). Allocating hot standbys to randomly weighted k-out-of-n: G systems. Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability, 236(1), 37-54.

Zhang, Y.  (2021). Reliability analysis of randomly weighted k-out-of-n systems with heterogeneous components. Reliability Engineering & System Safety, 205, 107814.

Zhang, Y. and Zhao, P. (2019). Optimal allocation of minimal repairs in parallel and series systems. Naval Research Logistics, 66(6), 517-526.

Zhang, Y., Ding, W. and Zhao, P. (2018). On total capacity of k-out-of-n systems with random weights. Naval Research Logistics, 65, 347-359.

Zhao, P., Zhang, Y. and Chen, J. (2017). Optimal allocation policy of one redundancy in a n-component series system. European Journal of Operational Research, 257(2), 656-668. 

基金项目

2024/01--2025/12: 养老保险负债的市场风险管理：基于中国偿二代与欧盟Solvency II的跟踪对比 (No. 72311530687)，10万，NSFC-FWO(中比)国际(地区)合作与交流项目，国家自然科学基金委员会，参与，在研

2023/11/24--2026/11/30: 基于系统性风险的随机序、贡献度量及资金分配策略研究,  30万,  深圳市基础研究专项（自然科学基金）-基础研究面上项目(No. JCYJ20230807093312026)，深圳市科技创新委员会，主持，在研

2023/01–2025/12: 异质信念下的均值-方差最优再保险策略，10 万，广东省基础与应用基础研究基金自然科学基金-面上项目(No. 2023A1515011806)，主持，在研

2022/01–2024/12: 基于非对称信息的最优再保险合同设计, 30 万, 青年科学基金项目(No. 12101336), 国家自然科学基金委员会，主持，在研

2020/04–2022/03: 基于随机加权系统的可靠性设计与优化, 6 万, 天津市自然科学基金青年项目(No. 20JCQNJC01740), 天津市科技局，主持，已结题

课题组成员

博士后：雍尧棣  (2023/02--至今，本硕：重庆大学，博士：香港大学)

            王甫东  (2024/08--至今，本硕博：南京师范大学)

博士生： 蒲通 （2022/09--至今，本硕：曲阜师范大学)

              王梓同（2023/09--至今，本科：中国科学技术大学)

              陈诗劼（2024/09--至今，本科：天津大学，硕士：Boston University）

访问博士生(SUSTech Fellowship)： 胡文涛 （2024/03--至今，KU Leuven PhD)

                                                       张靖 （2024/09--至今，HKU PhD)

硕士生： 程浩然  (2021/09--2023/07，本科：郑州大学，已毕业，就业去向：金山数字网络科技有限公司)

              李怡甜  (2022/09--2024/07，本科：中国海洋大学，已毕业，就业去向：深圳华侨城高级中学)

              陈子怡 (2022/09--2024/07，本科：浙江万里学院，已毕业，就业去向：南方科技大学攻读博士)

              李琪琪 (2023/09--至今，本科：南京财经大学)

                杨懿（2024/09--至今，本科：南方科技大学）

              陈俊廷（2024/09--至今，本科：中央民族大学）

教授课程

2024，秋季，现代概率论本科生讨论班（精算数学与风险管理），南方科技大学

2024，秋季，MA407， 金融数学选讲，南方科技大学

2024，春季，MA224， 金融数学基础，南方科技大学

2023，秋季，现代概率论本科生讨论班（精算数学与风险管理），南方科技大学

2023，秋季，MA407， 金融数学选讲，南方科技大学

2023，春季，FMA302， 金融经济学，南方科技大学

2023，春季，MA224， 金融数学基础，南方科技大学

2022，秋季，MA407， 金融数学选讲，南方科技大学

2022，秋季，FMA304，金融风险管理，南方科技大学

2022，春季，MA208，  应用随机过程，南方科技大学

2021，秋季，MAT8030，现代概率论，南方科技大学

2020，秋季，STAT0019，数学分析3-1习题课，南开大学

2020，秋季，MATH0039，时间序列分析，南开大学

2020，春季，STAT0008，随机过程，南开大学

2019，秋季，MATH0048，非参数统计，南开大学

2019，秋季，ECON0147，初等概率论，南开大学

已发表学术论文

1. Yong, Y., Zhang, Y and Zhu, X. (2024). Credibility theory under the least squared relative loss function. Applied Stochastic Models in Business and Industry, Forthcoming.
   
2. Yong, Y., Cheung, K.C. and Zhang, Y. (2024). Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery. ASTIN Bulletin: The Journal of the IAA, 54(3), 738-766.
3. Zhang, Y. (2024). Stochastic orders and distortion risk contribution ratio measures. Insurance: Mathematics and Economics, 118, 104-122.
   
4. Pu, T., Zhang, Y.F. and Zhang, Y. (2024). On joint marginal expected shortfall and associated contribution risk measures. Quantitative Finance, 24(7), 889-908.
   
5. Wen, L., Liu, W. and Zhang, Y. (2024). Multidimensional credibility: A new approach based on joint distribution function. ASTIN Bulletin: The Journal of the IAA, 54(3), 652-678.
   
6. Guo, M., Zhang, J., Zhang, Y. and Zhao, P. (2024). Optimal redundancy allocations for series systems under hierarchical dependence structures. Quality Engineering and Reliability International Journal, 40, 1540-1565.
   
7. Chen, Y., Cheung, K.C. and Zhang, Y. (2024). Bowley solution under the reinsurer's default risk. Insurance: Mathematics and Economics, 115, 36-61.
   
8. Yong, Y., Zeng, P. and Zhang, Y. (2024). Credibility theory for variance premium principle. North American Actuarial Journal, https://doi.org/10.1080/10920277.2023.2299497
9. Pu, T., Zhang, Y. and Yin, C. (2024). Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons. Communications in Statistics - Theory and Methods, 53, 3851-3875.
10. Chen, Y., Jiang, W. and Zhang, Y. (2023). Mean-variance insurance design under heterogeneous beliefs. The Journal of Risk, 26(2), 105-132.
    
11. Ding, W., Li, J. and Zhang, Y. (2023). Criticality-based allocation of active redundancies for
    asymmetric components in coherent systems. Computers & Industrial Engineering, 183, 109467.
    
12. Liang, X., Jiang, W. and Zhang, Y. (2023). Optimal insurance design under mean-variance preference with narrow framing. Insurance: Mathematics and Economics, 112, 59-79.
    
13. Zhang, J., Yan, R. and Zhang, Y.  (2023). Stochastic comparisons of largest claim amounts from heterogeneous and dependent insurance portfolios. Journal of Computational and Applied Mathematics, 431, 115265.
    
14. Zhang, J. and Zhang, Y. (2023). Stochastic comparisons of relevation allocation policies in coherent systems. TEST, 32, 865-907.
15. Wang, C., Wang, W., Zhang, Y. and Zhao, P. (2023). Optimal allocation of policy limits in layer reinsurance treaties. Probability in the Engineering and Informational Sciences, 37, 546-566.
16. Zhang, Y. (2023). Stochastic comparisons of conditional residual lifetimes with applications. Quality Technology & Quantitative Management, 20(5), 601-632.
17. Zhang, Y., Hu, Y. and Zhao, P. (2023). Ordering results on largest order statistics from multiple-outlier gamma variables. Communications in Mathematics and Statistics, 11, 257-282.
18. Jiang, Y., Zhang, Y. and Zhao, P. (2023). Optimal capital allocation for individual risk model using mean-variance principle. Journal of Industrial and Management Optimization, 19(7), 5272-5293.
19. Zhang, J., Yan, R. and Zhang, Y.  (2023). Reliability analysis of fail-safe systems with heterogeneous and dependent components subject to random shocks. Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability, 237(6), 1073-1087.
20. Zhang, J. and Zhang, Y. (2022). A copula-based approach on optimal allocation of hot standbys in series systems. Naval Research Logistics, 69(6), 902-913.
21. Dhaene, J., Laeven, R.J.A. and Zhang, Y. (2022). Systemic risk: Conditional distortion risk measures. Insurance: Mathematics and Economics, 102, 126-145.
22. Wu, J., Ding, W., Zhang, Y. and Zhao, P. (2022). On reliability improvement for coherent systems with a relevation. Naval Research Logistics, 69(4), 654-666.
23. Boonen, T.J. and Zhang, Y. (2022). Bowley reinsurance with asymmetric information: A first-best solution. Scandinavian Actuarial Journal, 2022(6), 532-551.

24. Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2022). Satisficing credibility for heterogeneous risks. European Journal of Operational Research, 298(2), 752-768.

25. Sun, H., Zhang, Y. and Zhao, P. (2022). Allocating hot standbys to randomly weighted k-out-of-n: G systems. Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability, 236(1), 37-54.

26. Zhang, Y. (2022). Stochastic comparisons on total capacity of weighted k-out-of-n system with heterogeneous components. Statistical Theory and Related Fields, 6(1), 72-80.

27. Yan, R., Zhang, J. and Zhang, Y. (2021). Optimal allocation of relevations in coherent systems. Journal of Applied Probability, 58(4), 1152-1169.

28. Barmalzan, G., Kosari, S. and Zhang, Y. (2021). On stochastic comparisons of finite α-mixture models. Statistics & Probability Letters, 173, 109083

29. Boonen, T.J. and Zhang, Y. (2021). Optimal reinsurance design with distortion risk measures and asymmetric information. ASTIN Bulletin: The Journal of the IAA, 51(2), 607-629.

30. Zhang, Y. (2021). On transform orders for largest claim amounts. Journal of Applied Probability, 58(4), 1064-1085.

31. Xu, M. and Zhang, Y. (2021). Data breach CAT bonds: Modeling and pricing. North American Actuarial Journal, 25(4), 543-561.

32. Boonen, T.J., Cheung, K.C. and Zhang, Y. (2021). Bowley reinsurance with asymmetric information on the insurer's risk preferences. Scandinavian Actuarial Journal, 2021(7), 623-644.

33. Zhang, Y. (2021). Reliability analysis of randomly weighted k-out-of-n systems with heterogeneous components. Reliability Engineering & System Safety, 205, 107814.

34. Yan, X, Zhang, Y. and Zhao, P. (2021). Standby redundancies at component level versus system level in series system. Communications in Statistics - Theory and Methods, 50(2), 473-485.

35. Ding, W., Wang, C. and Zhang, Y. (2021). Ordering properties of generalized aggregation with applications. Applied Stochastic Models in Business and Industry, 37(2), 282-302.

36. Zhang, T., Zhang, Y. and Zhao, P. (2021). Comparisons on largest order statistics from heterogeneous gamma samples. Probability in the Engineering and Informational Sciences, 35(3), 611-630.

37. Amini-Seresht, E., Kelkinnama, M. and Zhang, Y. (2021). On the residual and past lifetimes of coherent systems under random monitoring. Probability in the Engineering and Informational Sciences, 35(3), 465-480.

38. Zhang, Y., Ding, W. and Zhao, P. (2020). On variability of series and parallel systems with heterogeneous components. Probability in the Engineering and Informational Sciences, 34(4), 626-645.

39. Zhang, X., Zhang, Y. and Fang, R. (2020). Allocations of cold standbys to series and parallel systems with dependent components. Applied Stochastic Models in Business and Industry, 36(3), 432-451.

40. Zhang, Y. and Cheung, K.C. (2020). On the increasing convex order of generalized aggregation of dependent random variables. Insurance: Mathematics and Economics, 92, 61-69.

41. Cheung, K.C., Yam, S.C.P., Yuen, F.L. and Zhang, Y. (2020). Concave distortion risk minimizing reinsurance design under adverse selection. Insurance: Mathematics and Economics, 91, 155-165.

42. Naqvi, S., Zhang, Y. and Zhao, P. (2020). Ordering results for individual risk model with dependent location-scale claim severities. Communications in Statistics - Theory and Methods, 49(4), 942-957.

43. Amini-Seresht, E., Zhang, Y. and Li, X. (2019). On asset allocation for a threshold model with dependent returns. European Actuarial Journal, 9(2), 559-574.

44. Zhang, Y. and Zhao, P. (2019). Optimal allocation of minimal repairs in parallel and series systems. Naval Research Logistics, 66(6), 517-526.

45. Zhang, Y., Cai, X. and Zhao, P. (2019). Ordering properties of extreme claim amounts from heterogeneous portfolios. ASTIN Bulletin: The Journal of the IAA, 49(2), 525-554.

46. Chen, J., Zhang, Y. and Zhao, P. (2019). Comparisons of order statistics from heterogeneous negative binomial variables with applications. Statistics, 53(5), 990-1011.

47. Zhang, Y., Amini-Seresht, E. and Zhao, P. (2019). On fail-safe systems under random shocks. Applied Stochastic Models in Business and Industry, 35(3), 591-602.

48. Zhang, Y., Zhao, P. and Cheung, K.C. (2019). Comparisons of aggregate claim numbers and amounts: a study of heterogeneity. Scandinavian Actuarial Journal, 2019(4), 273-290.

49. Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2019). Risk-adjusted Bowley reinsurance under distorted probabilities. Insurance: Mathematics and Economics, 86, 64-72.

50. Zhang, Y., Cai, X., Zhao, P. and Wang, H. (2019). Stochastic comparisons of parallel and series systems with heterogeneous resilience-scaled components. Statistics, 53(1), 126-147.

51. Balakrishnan, N., Chen, J., Zhang, Y. and Zhao, P. (2019). Comparisons of sample ranges arising from multiple-outlier models: in memory of Moshe Shaked. Probability in the Engineering and Informational Sciences, 33(1), 28-49.

52. Zhang, Y., Ding, W. and Zhao, P. (2018). On total capacity of k-out-of-n systems with random weights. Naval Research Logistics, 65, 347-359.

53. Amini-Seresht, E., Zhang, Y. and Balakrishnan, N. (2018). Stochastic comparisons of coherent systems under different random environments. Journal of Applied Probability, 55(2), 459-472.

54. Ding, W. and Zhang, Y. (2018). Relative ageing of series and parallel systems: effects of dependence and heterogeneity among components. Operations Research Letters, 46(2), 219-224.

55. Zhang, Y., Li, X. and Cheung, K.C. (2018). On heterogeneity in the individual model with both dependent claim occurrences and severities. ASTIN Bulletin: The Journal of the IAA, 48(2), 817-839.

56. Ding, W., Zhang, Y. and Zhao, P. (2018). Ordering properties of spacings from heterogeneous geometric samples. Probability in the Engineering and Informational Sciences, 32(2), 306-322.

57. Zhang, Y. (2018). Optimal allocation of active redundancies in weighted k-out-of-n systems. Statistics & Probability Letters, 135, 110-117.

58. Balakrishnan, N., Zhang, Y. and Zhao, P. (2018). Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Scandinavian Actuarial Journal, 2018(1), 23-41.

59. Chen, J., Zhang, Y., Zhao, P. and Zhou, S. (2018). Allocation strategies of standby redundancies in series/parallel system. Communications in Statistics - Theory and Methods, 47(3), 708-724.

60. Amini-Seresht, E. and Zhang, Y. (2017). Stochastic comparisons on two finite mixture models. Operations Research Letters, 45(5), 475-480.

61. Zhang, Y., Amini-Seresht, E. and Ding, W. (2017). Component and system active redundancies for coherent systems with dependent components. Applied Stochastic Models in Business and Industry, 33(4), 409-421.

62. Amini-Seresht, E. and Zhang, Y. (2017). Stochastic monotonocity of conditional order statistics in multiple-outlier scale population. Probability in the Engineering and Informational Sciences, 31(3), 366-380.

63. Zhang, Y. and Zhao, P. (2017). On the maxima of heterogeneous gamma variables. Communications in Statistics - Theory and Methods, 46(10), 5056-5071.

64. Zhao, P., Zhang, Y. and Chen, J. (2017). Optimal allocation policy of one redundancy in a n-component series system. European Journal of Operational Research, 257(2), 656-668.

65. Cai, X., Zhang, Y. and Zhao, P. (2017). Hazard rate ordering of the second order statistics from multiple-outlier PHR samples. Statistics, 51(3), 615-626.

66. Zhao, P., Wang, L. and Zhang, Y. (2017). On extreme order statistics from heterogeneous beta distributions with applications. Communications in Statistics - Theory and Methods, 46(14), 7020-7038.

67. Zhao, P., Zhang, Y. and Qiao, J. (2016). On extreme order statistics from heterogeneous Weibull variables. Statistics, 50(6), 1376-1386.

68. Amini-Seresht, E., Qiao, J., Zhang, Y. and Zhao, P. (2016). On the skewness of order statistics in multiple-outlier PHR models. Metrika, 79(7), 817-836.

69. Zhang, Y. and Zhao, P. (2015). Comparisons on aggregate risks from two sets of heterogeneous portfolios. Insurance: Mathematics and Economics, 65, 124-135.

70. Zhao, P., Zhang, Y. and Li, L. (2015). Redundancy allocation at component level versus system level. European Journal of Operational Research, 241(2), 402-411.

71. Zhao, P., Hu, Y. and Zhang, Y. (2015). Some new results on the largest order statistics from multiple-outlier gamma models. Probability in the Engineering and Informational Sciences, 29(4), 597-621.

72. Zhao, P. and Zhang, Y. (2014). On the maxima of heterogeneous gamma variables with different shape and scale parameters. Metrika, 77(6), 811-836.

73. Ding, W., Zhang, Y. and Zhao, P. (2013). Comparisons of k-out-of-n systems with heterogenous components. Statistics & Probability Letters, 83(2), 493-502.

74. Zhao, P. and Zhang, Y. (2012). On sample ranges in multiple-outlier models. Journal of Multivariate Analysis, 111, 335-349.