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徐林

发布人:李妍
发布日期:2018-01-04
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徐林

安徽师范大学数学计算机科学学院,教授

邮件:xulinahnu@gmail.comxlwgl11@mail.ahnu.edu.cn

工作经历:

2015---迄今,安徽师范大学,数学计算机科学学院,教授

2014/8-2014/12,香港大学,统计与计算学系,访问学者

2012/8-2012/12,北京大学,数学学院,访问学者

2010/8-2010/11,香港大学,统计与计算学系,访问学者

2010-2015,安徽师范大学,数学计算机科学学院,副教授

2008-2010,安徽师范大学,数学计算机科学学院,讲师

研究兴趣:

金融风险管理;应用随机控制;风险模型

教育经历:

2004/9-2008/7,华东师范大学,概率论与数理统计,博士

2001/9-2004/6,安徽师范大学,应用数学,硕士

1997/9-2001/7,安徽师范大学,数学教育,本科

成果奖励

安徽省科学技术三等奖,排名第2

安徽省教学成果三等奖,排名第4

基金项目:

徐林,国家自然科学基金青年基金项目(11201006),《马尔科夫调节风险模型下有关保险精算的几个随机微分博弈问题》,2013.1-2015.122013/1/1-2015/12/31

徐林,教育部人文社科项目(12YJC910012《分数布朗运动模型下的破产概率与EIA产品定价》, 2012.1-2013.12.

徐林,国家自然科学基金天元青年基金项目(11126238,《马尔科夫调节风险模型下三个最优化与随机微分博弈问题》, 2012.1-2012.12.

发表论文

*Xu Lin; ,Zhu Dongjin; ,Zhou Yanru,Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate, Communications in Statistics - Theory and Methods, 44(4), pp 810-822, 2015/2/16.

Xu Lin; *Wang Rongming; Yao Dingjun,Joint distributions of some actuarial random vectors for the Cox risk model, Applied Stochastic Models in Business and Industry, 28(5), pp 420-429, 2012/10 SEP-OCT.

Xu, Lin; *Shen, Guangjun; Yao, Dingjun,Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model, Abstract and Applied Analysis, 2014.

*Xu Lin; Wang Rongming; Yao Dingjun,Optimal stochastic investment games under Markov regime switching market, Journal of Industrial and Management Optimization, 10(3), pp 795-815, 2014/4/1.

Xu Lin; *Yang Hailiang; Wang Rongming,Cox risk model with variable premium rate and stochastic investment return, Journal of Computational and Applied Mathematics, 256, pp 52-64, 2014/1/1.

*Xu, Lin; Wang, Rongming; Yao, Dingjun,On maximizing the expected terminal utility by investment and reinsurance, Journal of Industrial and Management Optimization, 4(4), pp 801-815, 2008/11.

*Xu, Lin; Wang, Rongming,Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate, Journal of Industrial and Management Optimization, 2(2), pp 165-175, 2006/5.

*Dingjun Yao; Rongming Wang; Lin Xu,OPTIMAL ASSET CONTROL OF A GEOMETRIC BROWNIAN MOTION WITH THE TRANSACTION COSTS AND BANKRUPTCY PERMISSION. , , 461-478., Journal of Industrial and Management Optimization, 11(2), pp 461-478, 2015/5/1.

Yao, Dingjun; *Wang, Rongming; Xu, Lin,OPTIMAL DIVIDEND AND CAPITAL INJECTION STRATEGY WITH FIXED COSTS AND RESTRICTED DIVIDEND RATE FOR A DUAL MODEL, Journal of Industrial and Management Optimization, 10(4), pp 1235-1259, 2014/10.

Zhenlong Chen; Lin Xu; Dongjin Zhu,Generalized continuous time random walks and Hermite processes, Statistics & Probability Letters, 99, pp 44-53, 2015/4.

姚定俊汪荣明徐林,方差保费准则下最优分红、注资和再保险策略中国科学A:数学, 44(10), pp 1123-1140, 2014/10/1.

徐林;祝东进,On the distributions of first exit time for Brownian motion with double linear time-dependent barrier, ISRN Applied mathematics, 2013(1), 2013/3/1.

*Lin Xu, Liming Zhang, Dongjin Zhu,Optimal Investment under Dual Risk Model and Markov Modulated Financial Market, Journal of mathematical finance5, 2015(5), pp 157-171, 2015/5/1.

徐林;祝东进,股市投资回报过程的长相依性与风险度量, pp 50-53, 2013.

徐林;吴丽媛;祝东进,带有常值利息力的可变保费Cox风险模型下破产概率的渐近估计(英文)应用概率统计, 05, pp 480-488, 2013.

姚定俊;郭文旌;徐林,带交易费用和指数观察时间间隔的最优分红注资策略(英文)应用概率统计, 05, pp 547-560, 2013.

徐林,带扰动的随机保费模型的渐近最优投资(英文)应用概率统计, 02, pp 151-162, 2011.

徐林;姚定俊,具有随机投资收益的离散风险模型的最优红利分配经济数学, 042008/12/15.

徐林、章礼明、吴丽媛,Dierentiability and Asymptotic Properties of Gerber-Shiu Function Associated with Absolute Ruin Time for a Risk Model with Random Premium Income应用概率统计, 31(2), pp 277-288, 2015/5/1.

徐林;汪荣明;姚定俊,有投资回报的更新风险模型的破产概率的上界华东师范大学学报(自然科学版), 1, 2007.

徐林徐婷,上证指数收益率的长相依性分析及其欧式期权定价华东师范大学学报(自然科学版), 2014(4), pp 14-22, 2014/5/1.

姚定俊;郭文旌;徐林,带交易费用和指数观察时间间隔的最优分红注资策略应用概率统计, 29(5), pp 547-560, 2013/10/1.

姚定俊;汪荣明;徐林,随机保费风险模型下的平均折现罚金函数应用概率统计, 24(3), 2008.

王翠莲;刘晓;徐林,具有随机观测周期的经典风险模型中最优分红和注资策略(英文)应用概率统计, 06, pp 661-672, 2014/12/15.

汪浩;徐林,The Asymptotics of Recovery Probability in the Dual Renewal Risk Model with Constant Interest and Debit Force, nternational Scholarly Research Notices, vol. 2015, Article ID 504987, 6 pages, 2015. doi:10.1155/2015/504987.

徐林,计算金融课程教学中存在的问题与改革建议大学教育, 08, pp 94-95, 2014.

工作论文

Xu Lin;,* Yang Hailaing, Wang Rongming, Optimal investment and consumption for insurer in a Markov regime switching market with tax. Under Review.

*Xu Lin; ,Wang Hao; ,Yao Dingjun Optimal investment and consumption for an insuer with high water-mark fee,under review.

*Xu Lin; ,Zhang Liming; ,Yao Dingjun Optimal investment and reinsurance for an insurer under Markov-modulated financial market, under review.

Xu Lin;, Discounted density approach to the EIA pricing under fractional Brownian motion market. Under Review.