师资
张艺赢,南方科技大学数学系助理教授,博士生导师。2012年及2015年分别在兰州大学数学与统计学院获得理学学士和硕士学位。2018年9月在香港大学统计与精算学系获得精算学方向哲学博士学位, 2018年10月至2019年1月在比利时鲁汶大学和荷兰阿姆斯特丹大学进行学术访问。2019年1月至2021年8月在南开大学统计与数据科学学院工作,担任助理教授。2021年8月加入南方科技大学数学系。
主要研究领域包括风险管理与保险精算、应用概率及可靠性理论与统计。主要研究兴趣包括最优再保险、信度理论、系统性风险、风险测度、相依风险模型、随机序理论及随机比较、可靠性分析及系统可靠性设计与优化。已在保险精算主要期刊IME、SAJ、ASTIN Bulletin和NAAJ,以及运筹管理领域主流期刊EJOR、RESS和NRL等杂志发表多篇学术研究论文。
主要研究领域
1. 风险管理与保险精算:最优再保险、信度理论、系统性风险、风险理论、相依风险模型
2. 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
3. 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
Dhaene, J., Laeven, R.J.A. and Zhang, Y. (2022). Systemic risk: Conditional distortion risk measures. 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
Zhang, J. and Zhang, Y. (2022). A copula-based approach on optimal allocation of hot standbys in series systems. Naval Research Logistics, Accepted on March, 2022.
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.
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.