个人简历

科研项目
l上海市曙光计划基金《上海市大病保险可持续发展研究——基于统计精算模型》，(项目批准号:18SG25) (主持人)2018 年12月至 2021 年12 月（5万）
l国家自然科学基金面上项目《保险人和再保险人效用限制下最优再保险问题研究》(项目批准号: 11771147) (主持人) 2018.01-2021.12（48万）
l国家社科基金重大项目《大数据背景下健康保险的精算统计模型与风险监管研究》(项目批准号: 17ZDA091) (子课题三负责人) 2018.01-2021.12
l国家自然科学基金青年项目《长寿风险建模及其衍生品定价研究》(项目批准号: 11301189) (主持人) 2014.01-2016.12（22万）
l上海市人民政府决策咨询研究重点专项课题《上海保险交易所运行机制及风险防控机制研究》(项目批准号:2016-A-76) (主持人) 2016.10-2017.10（15万）
l上海市教育委员会科研创新项目《马尔科夫调制过程首达时研究及其应用》(项目批准号:15ZZ023) (主持人) 2015.01-2016.12（8万）
l教育部博士学科点专项科研基金项目（新教师类）《变额年金定价、对冲及其统计分析》(项目批准号: 20130076120007) (主持人) 2014.01-2016.12（4万）
l上海市自然科学基金面上项目《O-U加跳过程极值问题研究》(项目批准号: 12ZR1408300) (主持人) 2012.07-2015.06（10万）
l教育部人文社会科学研究青年基金《权益指数年金的定价研究》(项目批准号: 12YJC910006) (主持人) 2012.02-2015.01（7万）

研究领域

保险精算、金融数学""

近期论文

[1].Nan Zhang, Zhuo Jin, Linyi Qian, Wei Wang*. Optimal reciprocal stop-loss reinsurance with mutual utility improvement, Journal of Industrial and Management Optimization.Accept
[2].Nan Zhang, Zhuo Jin, Linyi Qian,Kun Fan, Stochastic differential reinsurance games with capital injections, Insurance Mathematics and Economics. 88(2019),7-18.
[3].Linyi Qian, Yang Shen, Wei Wang, Zhixin Yang. Valuation of Risk-Based Premium of DB Pension Plan with Terminations, Insurance Mathematics and Economics. 86(2019),51-63.
[4].Ning Wang, Nan Zhang, Zhuo Jin, Linyi Qian. Robust non-zero-sum investment and reinsurance game with default risk. Insurance Mathematics and Economics. 84(2019), 115-132.
[5].Linyi Qian, Wei Wang,Ning Wang, Shuai Wang. Pricing and hedging equity-indexed annuities via local risk-minimization. Communications in Statistics-Theory and Methods.48（6）2019, 1417-1437.
[6].Nan Zhang, Zhuo Jin, Linyi Qian*, Rongming Wang. Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer, Journal of Computational and Applied Mathematics.342 (2018) ,337-351.
[7].Linyi Qian, Lv Chen, Zhuo Jin, Rongming Wang. Optimal Liability Ratio and Dividend Payment Strategies under Catastrophic Risk, Journal of Industrial and Management Optimization. 14(4)2018, 1443-1461.
[8].Linyi Qian, Zhuo Jin, Wei Wang, Lv Chen. Pricing dynamic fund protections for a hyperexponential jump diffusion process. Communications in Statistics –Theory and Methods. 47(1) 2018, 210-221.
[9].Lv Chen, Linyi Qian, Yang Shen, Wei Wang, Constrained investment–reinsurance optimization with regime switching under variance premium principle. Insurance: Mathematics and Economics .71 (2016), 253–267.
[10].Wei Wang, Zhuo Jin, Linyi Qian*, Xiaonan Su. Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models. Stochastic Analysis and Applications.34(4)2016,662-678.
[11].Wei Wang, Linyi Qian*, Wensheng Wang. Hedging of contingent claims written on nontraded assets under Markov-modulated models. Communications in Statistics –Theory and Methods.45(12）2016,3577-3595.
[12].Zhuo Jin, Linyi Qian*, Wei Wang, Rongming Wang.Pricing dynamic fund protections with regime switching. Journal of Computational and Applied Mathematics.297 (2016) 13-25.
[13].Zhuo Jin, Linyi Qian*. Lookback Option Pricing for Regime-Switching Jump Diffusion Models. Mathematical Control and Related Fields. 5(2)2015, 237-258.
[14].Wei Wang, Linyi Qian*, Xiaonan Su, Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model. Journal of Industrial and Management Optimization, 11(2)2015, 493-514.
[15].Shuai Wang, Yang Shen, Linyi Qian*, Static Hedging of Geometric Average Asian Options with Standard Options. Communications in Statistics –Simulation and Computation, 44(8)2015, 2101-2116.
[16].Linyi Qian, Wei Wang, Rongming Wang, Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model. Acta Mathematicae Applicatae Sinica (English Series), 31(1)2015, 101-110.
[17].Linyi Qian, Rongming Wang, Qian Zhao, Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion. Communications in Statistics – Theory and Methods, 43(14)2014, 2870–2885.
[18].Linyi Qian, Wei Wang, Rongming Wang, Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model. Journal of Industrial and Management Optimization, 9(2) 2013, 411-429.
[19].Liang Peng, Linyi Qian, Jingping Yang. Weighted Estimation of the Dependence Function for an Extreme-Value Distribution. Bernoulli, 19(2) 2013, 492-520.
[20].Linyi Qian, Rongming Wang, Shuai Wang, Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk. Science China-Mathematics, 55(11) 2012, 2335-2346.
[21].LinyiQian, Wei Wang, Rongming Wang, Yincai Tang, Valuation of equity-indexed annuity under stochastic mortality and interest rate, Insurance: Mathematics and Economics, 47(2) 2010, 123-129.
[22].Liping Zhu, Linyi Qian and Jingguan Lin, Variable selection in a class of single-index models, Annals of the Institute of Statistical Mathematics，63(6)(2011), 1277-1293.
[23].Linyi Qian, Hailiang Yang, Rongming Wang, Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Levy model. Frontiers of Mathematics in China, 6(6) 2011, 1185-1202.
[24].Shuai Wang, Linyi Qian, Valuation of European Currency Options in Financial Engineering. Systems Engineering Procedia. 2 (2011) , 222 -230.
[25].Wei Wang, Linyi Qian, Wensheng Wang. Hedging strategy for unit-linked life insurance contracts in stochastic volatility models [J]. WSEAS Transactions on Mathematics, 2013, 12(4)，363-373.
[26].郑玮，柴柯辰，钱林义，同出生年死亡率相关性效应下的长寿债券定价研究，应用概率统计，30（1）2014: 72-83.
[27].] 姚定俊,钱林义,程恭品. Optimal Investment Strategy in a Markov-Modulated Risk Model: Maximizing the Terminal Utility，应用概率统计. 29（3）2013：317-329.
[28].王伟；钱林义；温利民，Regime Switching Levy模型下的局部风险最小套期保值策略，应用数学学报，36(6)2013: 1053-1071.
[29].钱林义，韩天雄，寿险保单贴现探析，上海保险，第315期，2012，22-24.
[30].丁芳清， 钱林义， 杨亚松， A Easy and Feasible Way to Construct the Joint-Life Status Life Table: Method and Theory，应用概率统计，28（3）2012:235-243.
[31].钱林义，汪荣明，刘迪，用随机模拟法提留权益指数年金准备金，数理统计与管理，29(4) 2010：648-655.
[32].谌明超，贺思辉，钱林义，我国企业年金税收优惠政策建模及分析，统计与信息论坛，24（110）2009：66-71.
[33].钱林义，朱利平，姚定俊，Valuation of Equity-Indexed Annuity under Jump Diffusion Process，应用概率统计，24（6）2008：648-659. (CSCD)
[34].钱林义，范堃，韩天雄，保险资金可投资不动产带来的几点思考，上海保险，第278期，2008，36-39.
[35].王修文，钱林义，关于2000-2003 新生命表出台对寿险业的影响分析，应用概率统计，24（1）2008，98-106.
[36].沈洋，钱林义，加息对保险资金运用的影响，金融与经济，第351期，2007：61-63.
[37].钱林义，汪荣明，廖靖宇，考虑死亡风险下权益指数年金的定价，应用数学学报，30（3）2007：497-505.
[38].廖靖宇，钱林义、韩天雄，平均法下权益指数年金的定价，集团经济研究，第119期，2006：173-175.