张奕 - 浙江大学 - 数学科学学院

个人简介

张奕，女，1963年出生，浙江大学理学博士，现为浙江大学数学科学学院教授，博导。长期从事精算风险管理方面的研究工作，科研成果丰富。近年来逐步将研究重点侧重于应用统计方法去解决金融和保险风险相依性的刻画、尾部风险度量估计和最优再保险策略选择等课题的研究。科研兴趣：计量经济学统计模型和统计推断精算风险管理风险理论教学与课程本科生课程概率论，（1.5学分和3学分）数理统计，（1.5学分）概率论与数理统计，（1.5学分）回归分析，（3学分）计量经济学，（3学分）多元统计分析，（3.5学分）现代精算风险理论，（3学分）应用统计学，（4学分）出版著作 1、概率论、数理统计与随机过程，浙江大学出版社，2011(参编） 2、概率论与数理统计，高等教育出版社，2017（主编）

研究领域

计量经济学，统计模型和统计推断，精算风险管理，风险理论

近期论文

查看导师最新文章（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）

[1]Li Y N,Zhang Y.Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition[J].Journal of Nonparametric Statistics,2018(4):1-17. [2]Zhao J,Chen Y,Zhang Y.Expectile regression for analyzing heteroscedasticity in high dimension[J].Statistics&Probability Letters,2018,137. [3]Sun H,Weng C,Zhang Y.Optimal multivariate quota-share reinsurance:A nonparametric mean-CVaR framework[J].Insurance Mathematics&Economics,2017,72:197-214. [4]Zhao J,Zhang Y.Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework[J].Applied Mathematics:A Journal of Chinese Universities,2017,32(1):79-92. [5]Zhao J,Zhang Y.Variable Selection In Expectile Regression[J].Communication in Statistics-Theory and Methods,2017,47(1). [6]Yuexiang Jiang;Haoze Sun;Huaigang Long,Yi Zhang,Non-parametric tests for the tail equivalence via empirical likelihood Communications in Statistics-Theory and Methods 2017.46(21):10640~10656 [7]Huang,Wei;Weng,Chengguo;Zhang,Yi,Multivariate risk models under heavy-tailed risks,Applied Stochastic Models in Business and Industry,2014,30(3):341-360. [8]Weng,Chengguo,Zhang,et al.Tail Behavior of Poisson Shot Noise Processes under Heavy-tailed Shocks;and Actuarial Applications[J].Methodology&Computing in Applied Probability,2013,15(3):655-682. [9]Shen X,Zhang Y.Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail☆[J].Statistics&Probability Letters,2013,83(7):1787-1799. [10]Zhu Y,Zhang L,Zhang Y.Optimal reinsurance under the Haezendonck risk measure[J].Statistics&Probability Letters,2013,83(4):1111-1116. [11]Weng C,Zhang Y.Characterization of multivariate heavy-tailed distribution families via copula[J].Journal of Multivariate Analysis,2012,106(1):178-186. [12]Shen,Xinmei,Zhang,et al.Moderate deviations for a risk model based on the customer-arrival process[J].Statistics&Probability Letters,2012,82(1):116-122. [13]Tan K S,Weng C,Zhang Y.Optimality of general reinsurance contracts under CTE risk measure[J].Insurance Mathematics&Economics,2011,49(2):175-187 [14]Yu Y,Zhang L,Zhang Y.Finite-time ruin probabilities for the two-dimensional compound binomial model in Markovian environment[C]//IEEE International Conference on Information and Financial Engineering.IEEE,2010:905-909. [15]Zhang Y,Shen X,Weng C.Approximation of the tail probability of randomly weighted sums and applications[J].Stochastic processes and their applications,2009,119(2):655-675. [16]Xin-Mei Shen,Zheng-YanLin,YiZhang.Precise Large Deviations for the Actual Aggregate Loss Process[J].Stochastic Analysis&Applications,2009,27(5):1000-1013. [17]Shen X M,Lin Z Y,Zhang Y.Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory[J].Methodology&Computing in Applied Probability,2009,11(4):669-685. [18]Xin-Mei Shen,Zheng-Yan Lin,Yi Zhang.Precise Large Deviations for the Actual Aggregate Loss Process[J].Stochastic Analysis&Applications,2009,27(5):1000-1013. [19]Cai J,Tan K S,Weng C,et al.Optimal reinsurance under VaR and CTE risk measures[J].Insurance Mathematics&Economics,2008,43(1):185-196. [20]Cao Y,Zhang Y.Optimal reinsurance under the general mixture risk measures[J].Applied Mathematics&Computation,2007,185(1):229-239. [21]Zhang Y,Lin Z,Weng C.Some Limiting Properties of the Bounds of the Present Value Function of a Life Insurance Portfolio[J].Journal of Applied Probability,2006,43(4):1155-1164. [22]Zhang Y,Lin Z,Weng C.Some Limiting Properties of the Bounds of the Present Value Function of a Life Insurance Portfolio[J].Journal of Applied Probability,2006,43(4):1155-1164. [23]Zhang Y,Weng C.An application of theα-power approximation in multiple life insurance☆[J].Insurance Mathematics&Economics,2006,38(1):98-112. [24]Lu T Y,Zhang Y.Generalized correlation order and stop-loss order[J].Insurance Mathematics&Economics,2004,35(1):69-76.