个人简介

陈昱，博士，管理学院统计与金融系副教授。主要讲授课程： 《概率论与数理统计》，《随机过程》，《随机分析》，《应用概率》

研究领域

概率与统计

主持项目： 1.网络相依结构下金融风险度量及回溯检验研究与应用， 国家自然科学基金面上项目 2018.1-2021.12 2.极值理论在风险理论中的应用研究， 国家自然科学基金面上项目, 2012.1-2015.12 3.重尾场合下随机金融风险模型中的破产风险问题, 国家青年科学基金项目, 2009.1-2011.12 参与项目： 1.新随机占优理论及其在社会福利研究中的应用，国家自然科学基金面上项目,2020.1-2023.12 2.抽样调查和蒙特卡洛方法中的随机比较, 国家自然科学基金面上项目, 2015-2018 3.多元极值理论及其在风险理论中的应用，国家自然科学基金面上项目，2014.1-2016.12 4.概率论与数理统计, 国家级精品共享资源课程, 参与性质: 参与(排序3/8), 纵向, 2013-2013 5.概率论与数理统计, 国家级精品课程, 参与性质: 参与(排序2/7), 纵向, 2009-2009

近期论文

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[01] Modeling Tail Index with Autoregressive Conditional Pareto Model, Journal of Business & Economic Statistics， 2020, accepted. [02] Ruin Probability for the Phase-type Dual Model Perturbed by Diffusion， Communications in Statistics - Theory and Methods ，2020, accepted. [03] Too Connected to Fail? Evidence from Chinese Financial Risk Spillover Network， China & World Economy， 2020, accepted [04] Regularized Estimation of Precision Matrix for Highhimensional Multivariate Longitudinal Data. Journal of Multivariate Analysis, 2020, 176: 104580 [05] Mark to market value at risk，Journal of Econometrics， 2019, 208: 299-321 [06] A New Algorithm for Learning Large Bayesian Network Structure from Discrete Data, IEEE ACCESS, 2019, 7(1): 121665 -121674 [07] Extensions of Breiman’s Theorem of Product of Dependent Random Variables with Applications to Ruin Theory, Communications in Mathematics and Statistics，2019(7): 1-23 [08] An efficient causal structure learning algorithm for linear arbitrarily distributed continuous data　　Journal of Supercomputing, 2019.01 [09] Semantic Features Prediction for Pulmonary Nodule Diagnosis Based on Online Streaming Feature Selection　2019.01　IEEE Access　 61121-61135 [10] Parsimonious Mean-Covariance modeling for Longitudinal Data with ARMA Errors, Journal of Systems Science and Complexity--English Series, 2019, 32: 1675-1692 [11] Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks, Mathematical Problems in Engineering, 2018, 2018: 1-12 [12] Ruin probabilities with insurance and financial risks having an FGM dependence structure, Science China Mathematics, 2014, 57(5):1071-1082. [13] Precise large deviations for generalized dependent compound renewal risk model with consistent variation, Frontier Mathematics China, 2014, 9(1):31-44. [14] Approximations of the tail probability of the product of dependent extremal random variables and applications, Insurance: Mathematics and Economics. 2013, 169-178 [15] Asymptotic ruin probabilities for proportional investment under interest force with dominatedly - varying-tailed claims, Journal of the Korean Statistical Society, 2012, 41(1), 87-95 [16] Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation. J. Math. Anal. Appl. 2011, 376, 365-372.