厦门大学数学学院师资队伍
School of Mathematical Sciences Xiamen University
师资队伍

王文元 (Wenyuan Wang)

 
研究兴趣(Current Research Interests)
● Acturial Risk Theory,
● Risk Measure Theory,
● Financial Mathematics,
● Empirical Likelihood Inference.

————————————————————————————————————— — — 
目前研究问题(Ongoing Projects)
● Empirical likelihood inference with Triangular arrays (with Liqun Xiao @Guang Zhou University)
● Lévy process and its applications (with Prof. Zhou, Xiaowen @ Concordia University)
 
————————————————————————————————————— — — 
教授课程(Courses Taught
● Time series analysis (Textbook: Applied Time series analysis, by Shuyuan He; Listener: postgraduates)
● Measure Theory (Textbook: Measure Theory, by Jiaan Yan; Listener: postgraduates, Ph.D.s)
● Mathematical Analysis (Textbook: Mathematical Analysis, by Department of Mathematics of East China Normal University; Listener: undergraduates)
● Calculus (Textbook: Calculus, by Ganchang Wu; Listener: undergraduates)
● Probability and Statistics (Textbook: Probability and Statistics, by Zhou Sheng; Listener: undergraduates)
● Undergraduate Research Training (Manuscript by myself; Listener: undergraduates)
● Financial Mathematics (Textbook: Stochastic finance: an introduction in discrete time, by F\"{o}llmer and Schied (2011); Listener: postgraduates, Ph.D.s)
● Stochastic Processes (Textbook: Probability-Theory and Examples, by Rick Durrett; Lévy Processes and Infinitely Divisible Distributions, by Sato; Listener: postgraduates, Ph.D.s)
● Stochastic Calculus (Textbook: Brownian motion and stochastic calculus, by Karatzas and Shreve; Listener: postgraduates, Ph.D.s)
 
————————————————————————————————————— — — 
经历(Experience)
Concordia University, Visiting Scholar,  Nov. 2018-Nov. 2019
The University of Melbourne, Visiting Researcher,  Jun. 2018-Sep. 2018
The University of Hong Kong, Research Associate,  Jan. 2017-Feb. 2017
The University of Hong Kong, Research Associate,  Sept. Jan. 2016-Mar. 2016
Xiamen University, Associate Professor,  Sept. 2014--Now
Xiamen University, Assistant Professor,  Sept. 2013--2014
Wuhan University, Ph.D. in Mathematics, 2010-2013
Jiangxi Normal University, Master in Mathematics, 2007-2010
Jiangxi Normal University, Bachelor in Mathematics, 2003-2007
 
————————————————————————————————————— — — 
经费(Funding)
● PI: National Natural Science Foundation of China, No. 11661074, 400K (CNY), 2017-2020.
● PI: National Natural Science Foundation of China, No. 11401498, 220K (CNY), 2015-2017.
● PI: Fundamental Research Funds for the Central Universities, 130K (CNY), 01/2014-12/2016.
● PI: Fundamental Research Funds for the Central Universities, 80 K (CNY),  09/2013-12/2013.
 
————————————————————————————————————— — — 
文章(Publications)
● Ran Xu; Wang Wenyuan*; Jose Garrido; Optimal dividend strategy under Parisian ruin with affine penalty. Accepted. Methodology and Computing in Applied Probability (2021), 1-29. (91G05 93E20).
Wang Wenyuan; Ran Xu*; General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes. Online. Journal of Industrial and Management Optimization (2020), 1-29. (91B30 93E20).
● Chen Mi; Yuen Kamchuen; Wang, Wenyuan*; Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Scandinavian Actuarial Journal (2021), 2021(3), 198-217. (91B30 93E20).
Wang, Wenyuan; Wu, Xueyuan; Chi, Cheng; Optimal implementation delay of taxation with trade-off for Lévy risk processes. Online. European Actuarial Journal (2020), 1-33. (60G51 91B30).
Wang, Wenyuan; Zhou, Xiaowen; Draw-down Parisian ruin for spectrally negative Lévy processes. Advances in Applied Probability (2020), 52(4), 1164-1196. (60G51 97M30).
Wang, Wenyuan; Chen, Ping; Li, Shuanming; Generalized expected discounted penalty function at general drawdown for Lévy risk processes. Insurance: Mathematics and Economics (2020), 91, 12-25. (60G51 91B30).
Wang, Wenyuan; Zhou, Xiaowen; A draw-down reflected spectrally negative Lévy process. Online. Journal of Theoretical Probability (2019), 1-24. (60G51).
Wang, Wenyuan; Zhang, Zhimin; Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time. Advances in Applied Probability (2019), 51(3), 865-897. (60G51 93E20).
Wang, Wenyuan; Zhang, Zhimin; Computing the Gerber-Shiu Function by Frame Duality Projection. Scandinavian Actuarial Journal (2019), 2019(4), 291-307. (91-08 91B30 60G51).
Wang, Wenyuan; Zhou, Xiaowen; General draw-down based de Finetti optimization for spectrally negative Lévy risk processes. Journal of Applied Probability (2018), 55(2), 513-542. (60J99 93E20 60G51).
Wang, Wenyuan; Ming, Ruixing*; Two-side exit problems for taxed Lévy risk process involving the general draw-down time. Statistics & Probability Letters (2018), 138, 66-74. (60J60 60K15).
● Cui, Zhaolei; Edward Omey; Wang, Wenyuan; Wang, Yuebao; Asymptotics of convolution with the semi-regular-variation tail and its application to risk. Extremes (2018), 21(4), 509-532. (60E07 60F99).
● Peng, Xingchun; Chen Fenge; Wang, Wenyuan; Optimal investment and risk control for an insurer with partial information in an anticipating environment. Scandinavian Actuarial Journal (2018), 2018, 933-952.
Wang, Wenyuan; Wu, Xueyuan; Peng, Xingchun; Yuen, Kamchuen; A note on joint occupation times of spectrally negative Lévy risk processes with tax. Statistics & Probability Letters (2018), 140, 13-22. (60J60 60K15).
● Ming, Ruixing; Wang, Wenyuan*; Hu, Yijun; On Maximizing Expected Discounted Taxation in a Risk Process with Interest. Statistics & Probability Letters (2017), 122, 128-140. (60J60 60K15).
● Xiao, Liqun; Wang, Wenyuan*; Asymptotics for least product relative error estimation and empirical likelihood with longitudinal data. Journal of the Korean Statistical Society (2017), 46(3), 375-389. (60J60 60K15).
Wang, Wenyuan; Peng, Xingchun*; Reinsurer's optimal reinsurance strategy with upper and lower premium constraint under distortion risk measures. Journal of Computational and Applied Mathematics (2017), 315(1), 142-160. (60J60 60K15).
● Peng, Xingchun; Wang, Wenyuan*; Optimal investment and risk control for an insurer under inside information. Insurance: Mathematics and Economics 69 (2016), 104–116. (60J60 60K15).
Wang, Wenyuan*; Xiao, Liqun*; Optimal Reinsurance Under GlueVaR Distortion Risk Measures. Chinese Journal of applied probability and statistics  (2017), 33(3), 267-284. (60J60 60K15).
● Chen Mi; Wang Wenyuan; Ming Ruixin*; Optimal reinsurance under general law-invariant risk measure and TVaR premium principle. Risks (2016), 4(4), 50. (60J60 60K15).
● Maiwuludai; Wang, Wenyuan*; Optimal dividend strategy in a jump-diffusion model with a linear barrier constraint. Chinese Journal of applied probability and statistics 32 (2016), no. 4, 376–392. (60J60 60K15).
Wang, Wenyuan*; Zhang, Ai-li ; Hu, Yi-jun; On the Markov-modulated insurance risk model withinterest, debit interest and tax payments. Acta Mathematicae Applicatae Sinica, 2015, Recently Accepted.
● Peng, Xingchun; Wang, Wenyuan; Hu, Yijun; On the Markov-dependent risk model with tax. Applied Mathematics-A Journal of Chinese Universities Series B 30 (2015), no. 2, 187–196.
Wang, Wenyuan; Xiao, Liqun; Ming, Ruixing*; Hu, Yijun; On two actuarial quantities for the compound Poisson risk model with tax and a threshold dividend strategy. Applied Mathematics-A Journal of Chinese Universities Series B 28 (2013), no. 1, 27–39. (91B30 60K05).
● Zhang, Aili; Wang, Wenyuan; Hu, Yijun*; On the generalized risk measures. Applied Mathematics-A Journal of Chinese Universities Series B 27 (2012), no. 3, 281–289. (91B30 60E15).
● Wu, Hao*; Wang, Wenyuan; Ren, Jie; Anticipated backward stochastic differential equations with non-Lipschitz coefficients. Statistics & Probability Letters 82 (2012), no. 3, 672–682. (60H10).
Wang, Wenyuan*; Hu, Yijun; Optimal loss-carry-forward taxation for the Lévy risk model. Insurance: Mathematics and Economics 50 (2012), no. 1, 121–130. 91B30 (60G51 93E20).
Wang, Wenyuan; Ming, Ruixing*; Hu, Yijun; On the expected discounted penalty function for risk process with tax. Statistics & Probability Letters 81 (2011), no. 4, 489–501. (91B30 60K10).
● Ming, Ruixing*; Wang, Wenyuan; Xiao, Liqun; On the time value of absolute ruin with tax. Insurance: Mathematics and Economics 46 (2010), no. 1, 67–84. (91B30).
 

 
 
 
简介
 
系别:
概率统计系
办公室:物理机电航空大楼521
教师:王文元
职称:副教授
职务:教师
Phone:
Email:
wwywang@xmu.edu.cn
研究方向:
保险金融数学