刘敬真 |
教授，博士生导师，2013年加入中央财经大学工作， 曾先后于香港大学，香港城市大学，麦考瑞大学，新南威尔士大学，科廷大学，德克萨斯大学达拉斯分校等学校进行合研究。 曾在国际top期刊《SIAM Journal on Control and Optimization》《Automatica》《Scandinavian Actuarial Journal》等杂志发表学术文章多篇，并且主持国家自然科学基金青年项目以及面上项目各一项，2018年度获批中央财经大学青年英才计划。 电子邮箱：jzliu@cufe.edu.cn
主讲课程 本科课程：金融经济学、寿险精算、非寿险精算、CT5（IFoA），优化原理 硕士课程：精算原理 博士课程：随机控制，风险管理前沿
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- 教育背景
- 主要研究方向
- 公开发表的论文
- 科研项目及获奖情况
- 主要专著和教材
2007/2-2010/10 香港理工大学，应用数学系，博士
2003/9–2006/6，南开大学，数学科学学院，硕士
1999/9–2003/6，华南师范大学，数学科学学院
金融数学、风险管理、健康经济学、深度学习
[1] Liu, J.Z.YikeWang, NingZhang. The optimal reinsurance and dividend with model uncertainty(I). 2022 Inpress
[2] Liu, J.Z., Shiqi Yan, Shan Jiang and Jiaqin Wei, OptimalInvestment, Consumptionand Life Insurance Strategies under Stochastic Differential Utility with Habit Formation. 2022Inpress
[3] Liu,J.Z.,Lin, L.Y, Yiu, K.F.C, Wei J.Q.(2020)Non-exponential discounting portfolio management with habit formation. Mathematical control and related field,10(4): 761-783.
[4] Liu, J.Z,Wang, Y.K., Yiu, K.F.C, utility maximization with habit formation of interaction. Journal of industrial and management optimization.2021, 17(3),1451-1469
[5] Liu, J.Z.,Liu, J.Z., Yiu, K.F.C., & Bensoussan, A.(2018) Liu, J.Z., Liu, J.Z., Yiu, K.F.C., & Bensoussan, A.(2018) Inventory control with given continuous replenishment and (s,S) policy. SIAM Journal on Control and Optimization. 56(1), 53-74.
[6] Liu, J.Z., Yiu, K.F.C., & Bensoussan, A.（2018） 'Ergodic control for a mean reverting inventory model. Accepted by Journal of industrial and management optimization. 2018
[7] Liu, J.Z., Yiu, K.F.C., & Bensoussan, A.（2017）optimality of (s,S) policies with nonlinear processes. Discrete and Continuous Dynamical Systems-Series B, 22(1),161-185.
[8] Liu, J.Z., Yiu, K.F.C., & Bensoussan, A. (2016).The optimal mean variance problem with inflation. Journal of industrial and management optimization, 21(1), 185-203. doi:10.3934/dcdsb.2016.21.185.
[9] Liu, J.Z., Yiu, K.F.C, Siu, T.K., & Ching, W.K. (2014).Optimal insurance in a changing economy. Mathematical Control and Related Fields, 4(2), 187-202. doi:10.3934/mcrf.2014.4.187.
[10] Liu, J.Z., Yiu, K.F.C., & Siu, T.K. (2014).Optimal Investment of an Insurer with Regime-Switching and Risk Constraint. Scandinavian Actuarial Journal, 2014(7), 583-601. doi:10.1080/03461238.2012.750621.
[11] Liu, J.Z., Yiu, K.F.C., Loxton, R.C., & Teo. K.L. (2013).Optimal Investment and Proportional Reinsurance with Risk ConstraintJournal of Mathematical Finance, 3(4), 437-447. doi: 10.4236/jmf.2013.34046.
[12] Liu, J.Z., & Yiu, K.F.C. (2013).Optimal stochastic differential games withVaR constraints. Journal of Industrial and Management Optimization, 18(7), 1889-1907. doi:10.3934/dcdsb.2013.18.1889.
[13] Liu,J.Z., Yiu,K.F.C, Siu,T.K., &Ching,W.K.(2013).Optimal investment-reinsurance with dynamic risk constraint and regime switching. Scandinavian Actuarial Journal, 2013(4), 263-285.
[14] Liu, J.Z., Yiu, K.F.C., & Teo. K.L. (2013).Optimalinvestment-consumption problem with constraint. Journal of industrial and management optimization, 9(4), 743-768. doi:10.3934/jimo.2013.9.743.
[15] Liu, J.Z., Yiu, K.F.C., & Bai, L.H. (2012). Minimizing the ruin probability with a risk constraint. Journal of industrial and management optimization, 8, 531-547.
[16] Liu, J.Z., Yiu, K.F.C., & Siu. T.K. (2012). A decomposition method for optimal portfolios with regime-switching and risk constraint. Risk and Decision Analysis, 3(4), 269-276. doi: 10.3233/RDA-2012-0070.
[17] Liu, J.Z., Yiu, K.F.C., & Teo, K.L. (2011). Optimal Portfolios with stress analysis and the effect of a CVAR constraint. Pacific Journal of Optimization, 7(1), 83-95.
[18] Yiu, K.F.C., Liu, J.Z., Siu, T.K., & Ching, W.K. (2010). Optimal Portfolios with Regime-Switching and Value-at-Risk Constraint. Automatica, 46(6), 979-989. doi:10.1016/j.automatica.2010.02.027.
[19] Ma, J.J., Bai, L.H., & Liu, J.Z. (2008). Minimizing the Probability of Ruin under Interest Force. Applied Mathematical sciences, 2(17), 843-851.
[20] 刘敬真，林荔圆，孟辉.带消费习惯的最优消费、寿险和投资决策.应用数学学报,202043 (3): 517-534
[21] 刘敬真，林荔圆. 天气因素对航班延误险定价的影响分析. 保险理论与实践, 2018（11）：100-110.
[1]国家自然科学基金面上项目,11771466,基Merton改进模型以及一类创新非合作博弈下的金融保险决策研究,2017/8/17-2021/12/31,在研,主持
[2]国家自然科学基金青年项目，11301559，在不确定性、通胀和风险限制下的最优决策，2014/01-2016/12，已结题，主持
[3]国家自然科学基金面上项目，11571388，保险模型中考虑交易成本及偿付能力限制的最优控制策略研究，2016/1-2019/12，参加
[4]国家自然科学基金面上项目，11471171，两类非马氏保险模型下的最优问题以及公司合并问题，2015/01-2018/12，参加
[5]教育部基地项目,16JJD630014,基于大数据的中国社会保险财务预警指标研究,2016/11/2-2020/12/31,在研,参加
[6]教育部基地项目,15JJD790036,偿二代体系下我国保险公司资产负债管理量化研究,2015/12/2-2017/12/31,参加
获奖情况：
曾获2019 鸿基世业奖励基金国际一流学术成果奖
学术会议:
[1] Presentation, The 20th International Congress on Insurance: Mathematics and Economics, Atlanta, USA, July, 2016
[2] Presentation , The 18th International Congress on Insurance: Mathematics and Economics, Shanghai, China, July, 2014
[3] Invited speaker, the first workshop of Hong Kong Consortium of Quantitative Finance, The Chinese University of Hong Kong, Hong Kong, 2012
[4] Presentation and the chair of a session, International conference of applied statistics and financial mathematics, The Polytechnic University of Hong Kong, Dec 16-18, 2010
[5] Presentation, The 23rd European conference on operational research – Bonn, Germany, July 5 – 8, 2009
[6] Presentation ,The second international optimization theory and application, Beijing, China, July, 2007
