姚经

发布时间:2022-07-08 浏览次数:1690

 

姚经

 

教授


  

研究方向

量化金融、风险管理和保险精算

出生年月 

198312

联系方式 

j.yao@suda.edu.cn

本部览秀楼201办公室

最后学历 

博士

毕业学校

比利时布鲁塞尔自由大学

 :

Research   Interests

 Risk Measures

 Dependence Modeling,

 Credit Risk Modeling,

 Valuation Techniques and Methods in Financial   Pricing & Risk Management

 Portfolio Theory, Investment Strategy   and Behavioral Finance

 Academic   Experience

 2010.08 - 201305    比利时布鲁塞尔自由大学应用经济学博士

 2013.09 - 2015.09    比利时布鲁塞尔自由大学博士后研究员

• 2015.09 – 2018.10   FWO科研基金研究员

• 2018.10 - 2022.06 麦克斯韦数学科学研究所和赫瑞瓦特大学副教授

 2022.07 –   苏州大学 教授

• 2017.05 – 2020.04比利时布鲁塞尔自由大学  科研教授

• 2015.06 – 2018.09 天主教鲁汶大学  访问学者

• 2014.10 – 海法大学精算研究中心  研究员

 Selected Publications

 Landsman, Z.,   Makov, U., Yao, J., & Zhou, M. (2021). Downside risk optimization with   random targets and portfolio amplitude. The European Journal of Finance,   1-22.

 Li, Z., Luo,   J., & Yao, J*. (2021). Convex bound approximations for sums of random   variables under multivariate log-generalized hyperbolic distribution and   asymptotic equivalences. Journal of Computational and Applied Mathematics,   391, 113459. 

 Shushi, T.,   & Yao, J. (2020). Multivariate risk measures based on conditional   expectation and systemic risk for Exponential Dispersion Models. Insurance:   Mathematics and Economics, 93, 178-186.

 Tuitman, J.,   Vanduffel, S., & Yao, J. (2020). Correlation matrices with average   constraints. Statistics & Probability Letters, 165, 108868.

 Xiao, Y.,   & Yao, J. (2019). Double trigger agricultural insurance products with   weather index and yield index. China Agricultural Economic Review, 11(2),   299-316.

 Van Belle,   J., Vanduffel, S., & Yao, J. (2019). Closedform   approximations for spread options in Lévy markets.   Applied Stochastic Models in Business and Industry, 35(3), 732-746.

 Zhou, M.,   Dhaene, J., & Yao, J*. (2018). An approximation method for risk   aggregations and capital allocation rules based on additive risk factor   models. Insurance: Mathematics and Economics. 79. 92–100.

 Vanduffel,   S., & Yao, J*. (2017). A Stein Type Lemma for the Multivariate   Generalized Hyperbolic Distribution. European Journal of Operational Research.   261(2), 606-612.

 Klebaner F,   Landsman Z, Makov U, Yao, J*. (2016). Optimal Portfolios with Downside Risk,   Quantitative Finance. 1-11.

 Bernard, C.,   Rüschendorf, L., Vanduffel, S., & Yao, J*. (2015). How Robust is the   Value-at-Risk of Credit Risk Portfolios? European Journal of Finance.   1-28. 

 Landsman, Z.,   Vanduffel, S., & Yao, J*. (2015). Some stein-type inequalities for   multivariate elliptical distributions and applications. Statistics &   Probability Letters, 97, 54-62.

 Deelstra, G.,   Rayée, G., Vanduffel, S., & Yao, J. (2014). Using model-independent lower   bounds to improve pricing of Asian style options in Lévy markets. Astin   Bulletin, 44(02), 237-276.   

 Landsman, Z.,   Vanduffel, S., & Yao, J*. (2013). A note on Stein's lemma for   multivariate elliptical distributions. Journal of Statistical Planning and   Inference, 143(11), 2016-2022.

 

Funds

 Edinburgh Mathematical Society,   Student Research Bursary Grant

RiG Grant,   International Centre of Mathematical Science

 London Mathematics Society Early Career Grant & Research Reboot   Grant

Heriot Watt LTA Enhancement Theme Grant & Research Recovery   Grant

 Erasmuas+ Grant

 FWO Individual Fellowship Grant

Israel Zimmerman Foundation   for Banking and Finance 


 
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