主要從事統計學的教學與研究，研究領域為保險精算、風險管理、數理金融。主持高等學校學科創新引智計畫(111計畫）、國家社科基金重大項目、國家社科基金重點項目及多項國家自然科學基金、國家社會科學基金、教育部博士點基金等項目的研究工作。全國套用統計專業學位研究生教育指導委員會委員、中國機率統計學會精算專業委員會主任、中國統計教育學會常務理事、上海市統計學會副會長、Applied Stochastic Models in Business and Industry (SCI) 副主編、Insurance: Mathematics and Economics (SSCI) 副主編及《套用機率統計》雜誌副主編。
[1] Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model (with Linyi Qianand Wei Wang), Journal of Industrial and Management Optimization, 2013, 9(2), 411-429. [2] On the optimal dividend strategy in a regime-switching diffusion model (with Jiaqin Wei and Hailiang Yang), Advances inApplied Probability, 2012, 44, 886-906. [3] Optimal surrender strategies for equity-indexed annuity investors with partial information (with Jiaqin Wei and HailiangYang), Statistics and Probability Letters, 2012, 82, 1251-1258. [4] Joint distributions of some actuarial random vectors for Cox risk model (with Lin Xu and Dingjun Yao), Applied StochasticModels in Business and Industry, 2012, 28, 420–429. [5] Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs (withDingjun Yao and Hailiang Yang), European Journal of Operational Research，2011, 211, 568-576. [6] Valuation of equity-indexed annuity under stochastic mortality and interest rate (with Linyi Qian, Wei Wang and YincaiTang), Insurance: Mathematics and Economics, 2010,47,123-129. [7] Optimal Reinsurance and Dividend Strategies under the Markov-Modulated Insurance Risk Model (with Jiaqin Wei and Hailiang Yang), Stochastic Analysis and Applications, 2010, 28(6), 1078-1105. [8] Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with RegimeSwitching (with Jiaqin Wei and Hailiang Yang), Journal of Optimization Theory and Applications, 2010, 147, 358-377. [9] Optimal financing and dividend strategies in a dual model with proportional costs (with Dingjun Yao and Hailiang Yang),Journal of Industrial and Management Optimization, 2010, 6(4), 761-777. [10] Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching (with Jiaqin Wei andHailiang Yang), accepted by Proceedings of the Workshop on Stochastic Analysis and Finance (A. Kohatsu-Higa,N. Privault and S.J. Sheu. eds.), Birkhuser, 2009. [11] Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors (with Fengxia Hu),Journal of Computational and Applied Mathematics, 2010, 234(10), 2953-2961. [12] Asymptotic Ruin Probabilities for Risk Model with Random Premium and Stochastic Return on Investment( with Xu Lin),Journal of Mathematics (PRC), 2010, 30(3), 439-448. [13] On the Markov-Modulated Insurance Risk Model with Tax (with Jiaqin Wei and Hailiang Yang), Blaetter der DGVFM,2010, 31(1), 65-78. [14] Upper bounds for ruin probabilities in two dependent risk models under rates of interest (with Yao Dingjun), AppliedStochasticModelsinBusinessandIndustry,2010,26(4),362-373. [15] On the Distributions of two Classes of Multiple Dependent Aggregate Claims (with Kam C. Yuen and Lixing Zhu), ActaMathematicae Applicatae Sinica (English Series), 2008, 24(4), 655-668. [16] On Maximizing the Expected Terminal Utility by Investment and Reinsurance (with Xu Lin and Yao Dingjun), Journal ofIndustrial and Management Optimization, 2008, 4(4), 801-815. [17] A Decomposition of the Ruin Probability for Risk Process with Vasicek Interest Rate (with Xu Lin and Yao Dingjun),Northeast Math. Journal, 2008, 24(1), 45-53. [18] The asymptotic estimate of ruin probability under a class of risk model in the presence of heavy tails (with Jiaqin Wei),Communication in Statistics---Theory and Methods, 2008, 37(15), 2331-2341. [19] Exponential Bounds for Ruin Probability in Two Moving Average Risk Models with Constant Interest Rate (with YaoDingjun), Acta Mathematica Sinica, 2008, 24(2), 319-328. [20] On the Consistency of Credibility premiums regarding Esscher principle (with Tang Maolin, Wu Xianyi), Insurance:Mathematics and Economics, 2008, 42, 119-126. [21] 考慮死亡風險下權益指數年金的定價(與錢林義, 廖靖宇合作), 《套用數學學報》, 2007年第30卷第3期, 497-505. [22] Ruin problems with stochastic premium stochastic return on investments (With Xulin and Yao Dingjun), Frontiers ofMathematics in China, 2007, 2(3), 467-490. [23] On the Distribution of Duration of First Negative Surplus for a Discrete Time Risk Model with Random Interest Rate (withWu Xianyi), Northeastern Math.Journal, 2006, 22(3), 299-305. [24] Upper Bounds for Ruin Probabilities in an Autoregressive Risk Model with a Markov Chain Interest Rate (with Xu Lin),Journal of Industrial and Management Optimization, 2006, 2(2), 165-175. [25] 同單調相依結構下兩重生命模型的機率分布(與楊亞松合作), 《套用數學學報》, 2006年第1期, 131-138. [26] On a Class of Erlang (2) Risk Processes (with Sun Lijuan), Chinese Journal of Contemporary Mathematics, 2005, 26(1),91-98. [27] On Erlang(2) Risk Process Perturbed by Diffusion (with Kam C. Yuen, Yang Hailiang), Communication in Statistics---Theoryand Methods, 2005, 34(11), 2197-2208. [28] On the Distribution of Surplus Immediately after Ruin under Interest Force and Subexponential Claims (with YangHailiang, Wang Hanxing), Insurance: Mathematics and Economics, 2004, 35, 703-714. [29] A Poisson limit theorem for a strongly ergodic non-homogeneous Markov chain (with Wang Hanxing, Tang Maoning),Journal of Mathematical Analysis and Applications, 2003, 277, 722-730. [30] On the Ruin Probability under a Class of Risk Processes (with Liu Haifeng), ASTIN BULLETIN, Vol.32, No.1, 2002. [31] Set Valued Bartle Integrals (with Wu Weizhi, Zhang Wenxiu), Journal of Mathematical Analysis and Applications, 2001,255(1), 1-20. [32] 集值隨機過程的投影(與吳偉志合作), 《數學年刊》, 2001年第22卷A輯第5期. [33] Optional and Predictable Projections of Set-Valued Measurable Processes, Applied Mathematics---A Journal of ChineseUniversities, 2001, 16(3), 323-329. [34] Essential (Convex) Closure of a Family of Random Sets and Its Applications, Journal of Mathematical Analysis andApplications, 2001, 262(2), 667-687. [35] Doob’s Stopping Theorems for Set-Valued (Super, Sub) Martingales with Continuous Time, Journal of MathematicalResearch Exposition, 2000, 20(4), 515-522. [36] 集值序上鞅, 《數學學報》, 2000年第43卷第6期. [37] Some properties of sums of independent random sets, Northeastern Math. Journal, 1998, 14(2), 203-210. [38] Set-valued stationary processes (with Wang Zhenpeng), Journal of Multivariate Analysis, 1997, 63(1), 180-198. [39] 廣義布朗運動的若干性質, 《工程數學學報》, 1995年第12卷第4期. [40] 一類隨機環境中單邊生滅鏈的常返性, 《數理統計與套用機率》, 1995年第10卷第3期. [41] 具有兩個吸收壁的生滅鏈的平均吸收時間的計算, 《數理統計與套用機率》, 1994年第9卷第4期. [42] A criterion of recurrence for birth-death chains of order 2 and related problems in random environment (with DingWanding), Math. Acta. Scientia, 1994, 14(1), 24-38. [43] 一類隨機環境中的隨機遊動的吸收機率, 《數理統計與套用機率》, 1993年第8卷第3期. [44] 一類相關隨機遊動的若干性質, 《工程數學學報》, 1992年第9卷第2期.
編著與教材
[1] Risk Models and Ruin Theory, Chapter one in Actuarial Mathematics: Theory and Methodology, Edited by Hanji Shang,World Scientific Publishing Co Pte Ltd and Higher Education Press, Singapore, 2006, 1-46.
