姓 名 | 姚经 | 职 称 | 教授 | |
性 别 | 男 | 研究方向 | 量化金融、风险管理和保险精算 | |
出生年月 | 1983年12月 | 联系方式 | j.yao@suda.edu.cn 本部览秀楼201办公室 | |
最后学历 | 博士 | 毕业学校 | 比利时布鲁塞尔自由大学 | |
介 绍: | Research Interests • Risk Measures, • Dependence Modeling, • Credit Risk Modeling, • Valuation Techniques and Methods in Financial Pricing & Risk Management • Portfolio Theory, Investment Strategy and Behavioral Finance Academic Experience • 2010.08 - 2013. 05 比利时布鲁塞尔自由大学应用经济学博士 • 2013.09 - 2015.09 比利时布鲁塞尔自由大学博士后研究员 • 2015.09 – 2018.10 FWO科研基金研究员 • 2018.10 - 2022.06 麦克斯韦数学18新利备用网站 所和赫瑞瓦特大学副教授 • 2022.07 –今 18新利体育 教授 • 2017.05 – 2020.04比利时布鲁塞尔自由大学 科研教授 • 2015.06 – 2018.09 天主教鲁汶大学 访问学者 • 2014.10 – 今海法大学精算研究中心 研究员 Selected Publications • Landsman, Z., Makov, U., Yao, J., & Zhou, M. (2021). Downside risk optimization with random targets and portfolio amplitude. The European Journal of Finance, 1-22. • Li, Z., Luo, J., & Yao, J*. (2021). Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences. Journal of Computational and Applied Mathematics, 391, 113459. • Shushi, T., & Yao, J. (2020). Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. Insurance: Mathematics and Economics, 93, 178-186. • Tuitman, J., Vanduffel, S., & Yao, J. (2020). Correlation matrices with average constraints. Statistics & Probability Letters, 165, 108868. • Xiao, Y., & Yao, J. (2019). Double trigger agricultural insurance products with weather index and yield index. China Agricultural Economic Review, 11(2), 299-316. • Van Belle, J., Vanduffel, S., & Yao, J. (2019). Closed‐form approximations for spread options in Lévy markets. Applied Stochastic Models in Business and Industry, 35(3), 732-746. • Zhou, M., Dhaene, J., & Yao, J*. (2018). An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. Insurance: Mathematics and Economics. 79. 92–100. • Vanduffel, S., & Yao, J*. (2017). A Stein Type Lemma for the Multivariate Generalized Hyperbolic Distribution. European Journal of Operational Research. 261(2), 606-612. • Klebaner F, Landsman Z, Makov U, Yao, J*. (2016). Optimal Portfolios with Downside Risk, Quantitative Finance. 1-11. • Bernard, C., Rüschendorf, L., Vanduffel, S., & Yao, J*. (2015). How Robust is the Value-at-Risk of Credit Risk Portfolios? European Journal of Finance. 1-28. • Landsman, Z., Vanduffel, S., & Yao, J*. (2015). Some stein-type inequalities for multivariate elliptical distributions and applications. Statistics & Probability Letters, 97, 54-62. • Deelstra, G., Rayée, G., Vanduffel, S., & Yao, J. (2014). Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Astin Bulletin, 44(02), 237-276. • Landsman, Z., Vanduffel, S., & Yao, J*. (2013). A note on Stein's lemma for multivariate elliptical distributions. Journal of Statistical Planning and Inference, 143(11), 2016-2022.
Funds • Edinburgh Mathematical Society, Student Research Bursary Grant •RiG Grant, International Centre of Mathematical Science • London Mathematics Society Early Career Grant & Research Reboot Grant •Heriot Watt LTA Enhancement Theme Grant & Research Recovery Grant • Erasmuas+ Grant • FWO Individual Fellowship Grant •Israel Zimmerman Foundation for Banking and Finance |