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張藝贏
助理教授
zhangyy3@sustech.edu.cn

        張藝贏,南方科技大學數學系助理教授,博士生導師。2012年及2015年分別在蘭州大學數學與統計學院獲得理學學士和碩士學位。2018年9月在香港大學統計與精算學系獲得精算學方向哲學博士學位, 2018年10月至2019年1月在比利時魯汶大學和荷蘭阿姆斯特丹大學進行學術訪問。2019年1月至2021年8月在南開大學統計與數據科學學院工作,擔任助理教授。2021年8月加入南方科技大學數學系。

        主要研究領域包括風險管理與保險精算、應用概率及可靠性理論與統計。主要研究興趣包括最優再保險、信度理論、系統性風險、風險測度、相依風險模型、隨機序理論及隨機比較、可靠性分析及系統可靠性設計與優化。已在保險精算主要期刊IME、SAJ、ASTIN Bulletin和NAAJ,以及運籌管理領域主流期刊EJOR、RESS和NRL等雜志發表多篇學術研究論文。


主要研究領域

1. 風險管理與保險精算:最優再保險、信度理論、系統性風險、風險理論、相依風險模型

2. 應用概率:有序變量模型、隨機序理論與隨機比較、統計相依模型

3. 可靠性理論與統計:可靠性分析、系統可靠性設計與優化

代表性論文

研究領域一:風險管理與保險精算

Dhaene, J., Laeven, R.J.A. and Zhang, Y. (2022). Systemic risk: Conditional distortion risk measures. Insurance: Mathematics and Economics, 102, 126-145.

Boonen, T.J. and Zhang, Y. (2022). Bowley reinsurance with asymmetric information: A first-best solution. Scandinavian Actuarial Journal, 2022(6), 532-551.

Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2022). Satisficing credibility for heterogeneous risks. European Journal of Operational Research, 298(2), 752-768.

Boonen, T.J. and Zhang, Y. (2021). Optimal reinsurance design with distortion risk measures and asymmetric information. ASTIN Bulletin: The Journal of the IAA, 51(2), 607-629.

Zhang, Y. (2021). On transform orders for largest claim amounts. Journal of Applied Probability, 58(4), 1064-1085.

Xu, M. and Zhang, Y. (2021). Data breach CAT bonds: Modeling and pricing. North American Actuarial Journal, 25(4), 543-561.

Boonen, T.J., Cheung, K.C. and Zhang, Y. (2021). Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Scandinavian Actuarial Journal, 2021(7), 623-644.

Zhang, Y. and Cheung, K.C. (2020). On the increasing convex order of generalized aggregation of dependent random variables. Insurance: Mathematics and Economics, 92, 61-69.

Cheung, K.C., Yam, S.C.P., Yuen, F.L. and Zhang, Y. (2020). Concave distortion risk minimizing reinsurance design under adverse selection. Insurance: Mathematics and Economics, 91, 155-165.

Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2019). Risk-adjusted Bowley reinsurance under distorted probabilities. Insurance: Mathematics and Economics, 86, 64-72.

Zhang, Y., Cai, X. and Zhao, P. (2019). Ordering properties of extreme claim amounts from heterogeneous portfolios. ASTIN Bulletin: The Journal of the IAA, 49(2), 525-554.

Zhang, Y., Zhao, P. and Cheung, K.C. (2019). Comparisons of aggregate claim numbers and amounts: A study of heterogeneity. Scandinavian Actuarial Journal, 2019(4), 273-290.

Zhang, Y., Li, X. and Cheung, K.C. (2018). On heterogeneity in the individual model with both dependent claim occurrences and severities. ASTIN Bulletin: The Journal of the IAA, 48(2), 817-839. 

Balakrishnan, N., Zhang, Y. and Zhao, P. (2018). Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Scandinavian Actuarial Journal, 2018(1), 23-41. 

Zhang, Y. and Zhao, P.  (2015). Comparisons on aggregate risks from two sets of heterogeneous portfolios. Insurance: Mathematics and Economics, 65, 124-135. 

 

研究領域二:應用概率 & 可靠性理論與統計

Zhang, J. and Zhang, Y. (2022). A copula-based approach on optimal allocation of hot standbys in series systems. Naval Research Logistics, Accepted on March, 2022.

Wu, J., Ding, W., Zhang, Y. and Zhao, P. (2022). On reliability improvement for coherent systems with a relevation. Naval Research Logistics, 69(4), 654-666.

Sun, H., Zhang, Y. and Zhao, P. (2022). Allocating hot standbys to randomly weighted k-out-of-n: G systems. Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability, 236(1), 37-54.

Zhang, Y.  (2021). Reliability analysis of randomly weighted k-out-of-n systems with heterogeneous components. Reliability Engineering & System Safety, 205, 107814.

Zhang, Y. and Zhao, P. (2019). Optimal allocation of minimal repairs in parallel and series systems. Naval Research Logistics, 66(6), 517-526.

Zhang, Y., Ding, W. and Zhao, P. (2018). On total capacity of k-out-of-n systems with random weights. Naval Research Logistics, 65, 347-359.

Zhao, P., Zhang, Y. and Chen, J. (2017). Optimal allocation policy of one redundancy in a n-component series system. European Journal of Operational Research, 257(2), 656-668. 

Zhao, P., Zhang, Y. and Li, L. (2015). Redundancy allocation at component level versus system level. European Journal of Operational Research, 241(2), 402-411. 

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