关国卉 - 中国人民大学

个人简介

工作经历 2018年3月—2020年5月中国人民大学统计学院师资博士后 2020年6月—2021年7月中国人民大学统计学院讲师 2021年7月—今中国人民大学统计学院副教授基金项目两类模型不确定下保险公司的最优再保险和投资策略研究，国家自然科学基金项目青年科学基金项目，主持， 2020-2022 光滑模糊下保险公司的最优再保险和投资策略研究，第64批博士后面上一等资助，主持，2018-2019 保险公司的最优投资决策问题研究，中国人民大学科学研究基金项目，主持，2018-2020 开设课程本科生课程：精算模型，随机过程研究生课程：金融计量学，量化风险管理，利率模型及衍生品

研究领域

风险管理，最优再保险决策，养老金管理，最优资产配置

近期论文

查看导师新发文章（温馨提示：请注意重名现象，建议点开原文通过作者单位确认）

Guan G, Hu X. Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity. The North American Journal of Economics and Finance, 2022, 63: 101793. Guan G, Hu J, Liang Z. Robust equilibrium strategies in a defined benefit pension plan game. Insurance: Mathematics and Economics, 2022, 106: 193-217. Guan G, Li B. Equilibrium Investment and Reinsurance Strategies under Smooth Ambiguity with a General Second-Order Distribution. Journal of Economic Dynamics and Control, 2022: 104515. Guan G, Liang Z, Xia Y. Optimal management of DC pension fund under the relative performance ratio and VaR constraint. European Journal of Operational Research, 2022. Yu L, Lin L, Guan G, et al. Time-consistent lifetime portfolio selection under smooth ambiguity. Mathematical Control and Related Fields, 2022. Guan G, Hu X. Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games. North American Actuarial Journal, 2021: 1-33. Guan G, Hu X. On the analysis of a discrete-time risk model with INAR (1) processes. Scandinavian Actuarial Journal, 2021: 1-24. 关国卉、詹家煊、王晓军. 退休计划中整合消费,投资和年金的最优决策研究. 数理统计与管理, 2020, 230: 86-98. Guan G. Equilibrium and pre-commitment mean-variance portfolio selection problem with partially observed price index and multiple assets. Methodology and Computing in Applied Probability, 2020, 22: 25-47. Guan G, Wang X. Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Scandinavian Actuarial Journal, 2020: 1-23. Zhu J, Guan G, Li S, et al. Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. Journal of Computational and Applied Mathematics, 2020. Guan G, Liang Z. Robust optimal reinsurance and investment strategies for an AAI with multiple risks. Insurance Mathematics & Economics, 2019: 63-78. Guan G, Liang Z, Feng J. Time-consistent proportional reinsurance and investment strategies under ambiguous environment. Insurance Mathematics & Economics, 2018: 122-133. 关国卉, 王晓军. 基于仿射模型的我国商业养老年金风险测度分析. 系统工程, 2018, 036: 97-106. Guan G, Liang Z. Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints. Insurance Mathematics & Economics, 2016: 224-237. Guan G, Liang Z. A stochastic Nash equilibrium portfolio game between two DC pension funds. Insurance Mathematics & Economics, 2016: 237-244. Guan G, Liang Z. Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. Insurance Mathematics & Economics, 2015, 61(61): 99-109. Guan G, Liang Z. Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. Insurance Mathematics & Economics, 2014, 57(57): 58-66. Guan G, Liang Z. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Insurance Mathematics & Economics, 2014: 105-115.