个人简介
工作履历
1998-目前,清华大学数学科学系,讲师,副教授,教授
1996-1998, 北京大学数学科学学院概率统计系,博士后
2008.09-2009.08, 韩国国立首尔大学(SNU), 客座研究员
2002.09-2003.11, 美国麻省理工学院(MIT)数学系,客座研究员
所授课程
概率论1(本科生), 概率论2(研究生), 高等概率论(研究生), 随机分析(研究生), 测度论(研究生), 实变函数(本科生), 复变函数(本科生), 金融数学(研究生), 风险理论(研究生), 概率论与数理统计(本科生), 微积分(本科生)
奖励与荣誉
主持一项国家自然科学基金委青年基金项目及五项国家自然科学基金委面上项目
2019年度和2021年度清华大学优秀博士学位论文指导教师,2010年度清华大学优秀硕士学位论文指导教师
研究领域
精算科学,金融数学(数理金融),概率论与随机分析, 随机最优控制与优化,风险管理与保险数学,数理经济学
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）
Guohui Guan, Zongxia Liang, Jianming Xia, Equilibrium Portfolio Selection for Smooth Ambiguity Preferences, https://doi.org/10.48550/arXiv.2302.08181
Zongxia Liang, Fengyi Yuan, Weak equilibriums for time-inconsistent stopping control problems, with applications to investment-withdrawal decision model, https://doi.org/10.48550/arXiv.2105.06607
Guohui Guan, Zongxia Liang, Yilun Song, The continuous-time pre-commitment KMM problem in incomplete markets, https://doi.org/10.48550/arXiv.2210.13833
Zongxia Liang, Xiaodong Luo, Fengyi Yuan, Consumption-investment decisions with endogenous reference point and drawdown constraint, https://doi.org/10.48550/arXiv.2204.00530
Zongxia Liang, Yang Liu, Litian Zhang, A Framework of Multivariate Utility Optimization with General Benchmarks, https://doi.org/10.48550/arXiv.2101.06675
Yuchen Li, Zongxia Liang, Shunzhi Pang, Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model, https://doi.org/10.48550/arXiv.2211.14473
Yuchen Li, Zongxia Liang, Shunzhi Pang, Optimal Reinsurance-Investment Strategy for a Monotone Mean-Variance Insurer in the Cramér-Lundberg Model, https://doi.org/10.48550/arXiv.2211.12168
Lin He, Zongxia Liang, Sheng Wang, Modern Tontine with Transaction Costs, https://doi.org/10.48550/arXiv.2209.09709.
Lin He, Zongxia Liang, Zhaojie Ren, Yilun Song, Optimal Mix Among PAYGO, EET and Individual Savings, https://doi.org/10.48550/arXiv.2302.09218
Zongxia Liang, Fengyi Yuan, Equilibrium master equations for time-inconsistent problems with distribution dependent rewards, https://doi.org/10.48550/arXiv.2112.14462
Guohui Guan, Zongxia Liang, Yi Xia，Optimal management of DB pension fund under both underfunded and overfunded cases, https://doi.org/10.48550/arXiv.2302.08731
Guohui Guan, Zongxia Liang, Yilun Song, A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility, https://doi.org/10.48550/arXiv.2212.14327
Zongxia Liang, Yang Liu, Ming Ma, A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities, https://doi.org/10.48550/arXiv.2107.06460
Selected Publications
Guohui Guan, Zongxia Liang and Yi Xia. Optimal management of DC pension fund under the relative performance ratio and VaR constraint. European Journal of Operational Research 305(2)(2023)868-886.
Guohui Guan, Jiaqi Hu and Zongxia Liang. Robust equilibrium strategies in a defined benefit pension plan game. Insurance: Mathematics and Economics 106(2022)193-217.
Lin He, Zongxia Liang and Sheng Wang. Dynamic optimal adjustment policies of hybrid pension plans. Insurance: Mathematics and Economics 106 (2022) 46–68.
Lin He, Zongxia Liang, Yilun Song and Qi Ye. Optimal asset allocation, consumption and retirement time with the variation in habitual persistence. Insurance: Mathematics and Economics102 (2022)188–202.
Lin He, Zongxia Liang, Yilun Song and Qi Ye. Optimal contribution rate of PAYGO pension. Scandinavian Actuarial Journal, 2021, 2021(6), 505–531.
Zongxia Liang and Yang Liu. A classification approach to general S-shaped utility optimization with principals' constraints. SIAM Journal on Control and Optimization 58(6)(2020)3734-3762.
Zongxia Liang and Ming Ma. Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Mathematical Finance 30(2020)1035-1072.
Lin He, Zongxia Liang and Fengyi Yuan. Optimal DB-PAYGO pension management towards a habitual contribution rate. Insurance:Mathematics and Economics 94(2020)125-141.
Lin He, Zongxia Liang, Yang Liu and Ming Ma. Weighted utility optimization of the participating endowment contract. Scandinavian Actuarial Journal.2020, 2020(7), 577-613.
Guohui Guan, Zongxia Liang. Robust optimal reinsurance and investment strategies for an AAI with multiple risks. Insurance:Mathematics and Economics 89(2019)63-78.
Zongxia Liang, Ming Ma. Consumption-investment problem with pathwise ambiguity under logarithmic utility. Mathematics and Financial Economics 13(4)(2019)519-541.
Lin He, Zongxia Liang, Yang Liu and Ming Ma. Optimal control of DC pension plan management under two incentive schemes. North American Actuarial Journal 23(1)(2019)120-141.
Guohui Guan, Zongxia Liang and Jian Feng. Time-consistent proportional reinsurance and investment strategies under ambiguous environment. Insurance:Mathematics and Economics 83(2018)122-133.
Zongxia Liang, Xiaoyang Zhao. Optimal mean-variance efficiency of a family with life insurance under inflation risk. Insurance:Mathematics and Economics 71(2016)164-178.
Guohui Guan, Zongxia Liang. A stochastic Nash equilibrium portfolio game between two DC pension funds. Insurance:Mathematics and Economics 70(2016) 237-244.
Guohui Guan, Zongxia Liang. Optimal management of DC pension plan under loss aversion and value-at-risk constraints. Insurance:Mathematics and Economics 69(2016)224-237.
Zongxia Liang, Wenlong Sheng. Valuing inflation-linked death benefits under a stochastic volatility framework. Insurance:Mathematics and Economics 69(2016)45-58.
Zongxia Liang, Mingsi Long. Minimization of absolute ruin probability under negative correlation assumption. Insurance:Mathematics and Economics 65(2015) 247-258.
Zongxia Liang, Min Song. Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information. Insurance:Mathematics and Economics 65(2015)66-76.
Zongxia Liang, Ming Ma. Optimal dynamic asset allocation of pension fund in mortality and salary risks framework. Insurance:Mathematics and Economics 64(2015)151-161.
Lin He, Zongxia Liang. Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims. Insurance:Mathematics and Economics 61(2015)227-234.
Guohui Guan, Zongxia Liang. Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. Insurance:Mathematics and Economics 61(2015)99-109.
Guohui Guan, Zongxia Liang. Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. Insurance:Mathematics and Economics 57(2014)58-66.
Guohui Guan, Zongxia Liang. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Insurance:Mathematics and Economics 55(2014)105-115.
Huiqi Guan, Zongxia Liang. Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs. Insurance:Mathematics and Economics 54(2014)109-122.
Lin He, Zongxia Liang. Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework. Insurance:Mathematics and Economics 53(2013)643-649.
Lin He, Zongxia Liang. Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase. Insurance:Mathematics and Economics 52(2013)404-410.
Zongxia Liang, Weiming Wu. Variational inequalities in stock loan models. Optimization and Engineering 13(3)(2012)459-470.
Zongxia Liang, Jianping Huang. Optimal dividend and investing control of an insurance company with higher solvency constraints. Insurance:Mathematics and Economics 49(2011)501-511.
Zongxia Liang, Weiming Wu and Shuqing Jiang. Stock loan with automatic termination clause, cap and margin. Computers and Mathematics with Applications 60(12)(2010)3160-3176.
Lin He, Zongxia Liang. Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs. Insurance: Mathematics and Economics 44(2009)88-94.
Lin He, Ping Hou and Zongxia Liang. Optimal control of the insurance company with proportional reinsurance policy under solvency constraints. Insurance: Mathematics and Economics 43(2008)474-479.
Lin He, Zongxia Liang. Optimal financing and dividend control of the insurance company with proportional reinsurance policy. Insurance:Mathematics and Economics 42(2008)976-983.
Zongxia Liang. Anticipating multidimensional stochastic differential equations with reflections. Stochastics and Dynamics 8(2)(2008)295-318.
Zongxia Liang. Spatial asymptotic behavior of homeomorphic global flow for non-Lipschitz SDEs. Bulletin des Sciences Mathématiques 132(2)(2008)146-163.
Guilan Cao, Kai He and Zongxia Liang. Quasi sure analysis of local times of anticipating smooth semimartingales. Bulletin des Sciences Mathématiques 131(8)(2007)697-715.
Zongxia Liang. Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic. Potential Analysis(4)(2007)307-322.
Zongxia Liang. Besov regularity for the generalized local time of the indefinite Skorohod integral. Annales de l'Institut Henri Poincaré Probabilités et Statistiques 43(1)(2007)77-86.
Zongxia Liang. Fractional smoothness for the generalized local time of the Indefinite Skorohod integral. Journal of Functional Analysis 239(1)(2006)247-267.
Zongxia Liang. Stochastic differential equation driven by countably many Brownian motions with non-Lipschitzian coefficients. Stochastic Analysis and Applications 24(3)(2006)501-529.
Zongxia Liang. Homeomorphic property of solutions of SDE driven by countably many Brownian motions with non-Lipschitzian coefficients. Bulletin des Sciences Mathématiques 129(6)(2005)523-538.
Zongxia Liang. Exit problems for nonlinear stochastic evolution equations on Hilbert spaces. Science in China. Series A. Mathematics 45(10)(2002)1238-1254.
Zongxia Liang.Existen ce and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane. Stochastic Processes and their Applications 83(2)(1999)303-317.
Zongxia Liang. Quasi-sure quadratic variations of two parameter smooth martingales on the Wiener space. Journal of Mathematics of Kyoto University 36(3)(1996)619-640.
Zongxia Liang, Mingli Zheng. Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane.Stochastic Processes and their Applications 62(2)(1996)263-276.
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