王过京

发布时间:2011-11-8 21:11:50 浏览次数:1538   
 

姓    名:

王过京

职    称:

教授

 

性    别:

研究方向:

保险数学和金融数学,随机过程

出生年月:

1959.05

联系方式:

苏州大学金融工程研究中心

本部览秀楼202办公室

        wangguojing@hotmail.com

        gjwang@suda.edu.cn

最后学历:

博士

毕业学校:

南开大学

职 务:

  中心副主任

介 绍:

 一、主要学习工作经历
19869月至19896月在河北大学数学系攻读基础数学专业硕士学位研究生,研究方向为随机过程。导师:李志阐教授。

19899月至19925月在青海大学工作;

19925月至19969月在河北大学工作;

19969月至19996月在南开大学数学科学学院攻读概率论与数理统计专业博士学位研究生,研究方向为风险理论。导师:吴荣教授。

19999月至今,任苏州大学副教授,教授(博士导师)

二、发表论文

()信用风险理论:

1  Dong, Y., Yuen, K. C., Wang, G. A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities Methodol Comput Appl Probab 2014,  DOI 10.1007/s11009-014-9431-6. (SCIE)

2  Dong, Y., Wang, G. Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain. Economic Modelling 40 (2014) 91100. (SCIE)

3  Liang, X., Wang, G., Li, H. Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching. Applied Mathematics and Computation 2014, 230, 290302.(SCIE)

4  Dong, Y., Wang, G.  A contagion model with Markov regime-switching intensities. Front. Math. China 2014, 9(1): 4562. (SCIE)

5  Dong, Y., Wang, G., Yuen, K. C. Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model. Methodol Comput Appl Probab 2014, 16:643673. (SCIE)

6.    Dong, Y., Wang, G. Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model. Communications in Statistics-Theory and Methods 2013, 42: 3926–3948. SCIE

7.  LiangX., Wang, G., Dong, Y. A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives. Statistics & Probability Letters 2013, Vol. 83(1), 373–381.SCIE

8.  Liang, X., Wang, G. On a reduced form credit risk model with common shock and regime switching. Insurance: Mathematics and Economics 2012, Vol.51, 567–575.SSCI, SCIE

9.   Dong, Y., Liang, X., Wang, G. Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model. Asia-Pacific Financial Markets 2012, Vol.19,391–415

10.   Dong, Y., Wang, G. The dependence of assets and default threshold with thinning- dependence structure. Journal of Industrial and Management Optimization 2012, Vol.8, 391-410.SCIE

11.   Dong, Y., Wang, G, Wu, R. Pricing zero-coupon bond and its fair premium under a structural credit risk model with jumps. Journal of Applied Probability 2011, 42 (2), 404-419. (SCIE).

 ()精算科学:

12. Meng, H., Wang, G. On the Expected Discounted Penalty Function in a Delayed- claims Risk Model. Acta Mathematicae Applicatae Sinica, English Series 2012, Vol.28 (2), 215-224. (SCI)

13. TangQ., Wang, G., Yuen, K. C. Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model. Insurance: Mathematics and Economics 201046(2), 362-370. (SSCI, SCIE)

14. Wang, S., Zhang, C., Wang, G. A constant interest risk model with tax payments. Stochastic Models 2010, 26(3), 384-398. (SCI)

15. Dong, Y., Wang, G. On the renewal model under a threshold strategy. Journal of Computational and Applied Mathematics 2009, 230,22-33. (SCI)

16. Wang, G., Wu, R. The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest. Insurance: Mathematics and Economics 2008, 42, 59–64. (SSCISCIE)

17. Dong, Y., Wang, G. On a compounding assets model with positive jumps. Applied Stochastic Models in Business and Industry 2008,
24, 21-30.(SCI)

18. Yuen, K. C., Wang, G., Li, W. K. The Gerber–Shiu expected discounted penalty function for risk processes with interest and a
constant dividend barrier. Insurance: Mathematics and Economics2007, 40,
104-112. (SCIE, SSCI)

19. Yuen, K. C., Wang, G., Wu, R. On the renewal riskprocess with stochastic interest. Stochastic Processes and their Applications
2006, 116, 1496–1510.(SCI)

20. Dong, Y., Wang, G. Ruin probability for renewal risk model with negative risk sums. Journal of Industrial and Management Optimization 2006, 2, 229-236.(SCIE)

21. Wu, R., Wang, G., Zhang, C. On a joint distribution for the risk process with constant interest rate. Insurance:Mathematics and Economics 2005, 36, 265-374. (SCIE, SSCI)

22. Wang, G., Yuen, K. C. On a correlated aggregate claims model with thinning-dependence structure. Insurance: Mathematics and Economics 2005, 35,456-468. (SCIE, SSCI)

23. Yuen, K. C., Wang, G. Some ruin problems for a risk process with stochastic return on investments. North American Actuarial Journal 2005, 9(2), 129-142.

24. Yuen K. C., Wang, G., and Ng, K. W. Ruin probability for risk process with stochastic return on investments. Stochastic Processes and their Applications 2004, 110 (2). (SCI)

25. Zhang, C., Wang, G. The joint density function of three characteristics on jump-diffusion risk process. Insurance: Mathematics and Economics 2003, 32, 445-455. (SCIE, SSCI)

26. Wu, R., Wang, G., Wei, L. Joint distributions of some actuarial random vectors containing the time of ruin. Insurance: Mathematics and Economics 2003, 33, 147-161. (SCIE, SSCI)

27. Wang, G., Wu. R. Distributions for the risk process with stochastic return on investments. Stochastic Processes and their Applications 2001, 95, 329-341.(SCI, SSCI)

28. Wang, G. A decomposition of the ruin probability for the risk process perturbed by diffusion. Insurance: Mathematics and Economics 2001, 28, 49-59.(SCIE, SSCI)

29. Wang, G., Wu. R. Some distributions for classical risk process that is perturbed by diffusion. Insurance: Mathematics and Economics 2000, 26, 15-24. (SCIE, SSCI)

三、承担教学课程情况

 《金融衍生品定价》、《资产定价与风险管理》、《随机分析》、《随机过程II》(Levy Processes

四、承担科研项目

(一)国家自然科学基金

项目名称:几类含随机投资回报风险过程的破产理论及优化分红策略

项目批准号: 10571132

资助金额: 15万元

起止年月: 2006.01-2007.12

目名称: 组合信用风险理论中的几个前沿问题的研究

项目批准号: 11371274

资助金额: 55万元

起止年月: 2014.01-2017.12 

(二)江苏省自然基金

项目名称:金融保险风险度量与金融衍生品定价

项目批准号: BK2008155

资助金额: 9万元

起止年月: 2008.06-2011.06

项目名称:现代信用风险理论前沿问题的研究

项目批准号:BK2012613

资助金额:10万元

起止年月:2012.07-2015.06

(三)教育部博士点基金

项目名称:现代保险数学中几个前沿问题的研究

项目批准号:20093201110013)

资助金额: 6万元

起止年月: 2010.01-2012.12


 

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