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  • Resume
  • Research Fields
  • Enrollment and Training
  • Course
  • Scientific
  • Academic Achievements
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Danping Li

  • About

    • Department: School of Statistics
    • Gender: female
    • Post:
    • Graduate School: Tianjin University
    • Degree: Ph.D.
    • Academic Credentials:
    • Tel:
    • Email: dpli@fem.ecnu.edu.cn
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    • Address:
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    WorkExperience

    Postdoctoral Fellow, Department of Statistics and Actuarial Science, University of Waterloo, Canada


    Associate Professor, School of Statistics, East China Normal University


    Professor, School of Statistics, East China Normal University


    Education

    Tianjin University, Bachelor of Science in Mathematics and Applied Mathematics


    Nankai University, Bachelor of Economics in Finance


    Tianjin University, Master of Science in Operations Research and Cybernetics


    Tianjin University, Doctor of Science in Financial Mathematics


    University of Waterloo, Visitng Ph.D. student


    Resume

    Danping Li is a professor in East China Normal University. Her main research fields are financial mathmatics and actuarial science. She has published more than 40 academic papers, and is undertaking National Natural Science Foundation Project.

    Other Appointments

    Reviewer for Insurance: Mathematics and Economics、Journal of Computational and Applied Mathematics、Journal of Industrial and Management Optimization, Journal of Applied Mathematics and Computing、Communications in Statistics-Theory and Methods、 Asia Pacific Management Review and so on

    Research Fields

    Financial Mathematics, Actuarial Science

    Enrollment and Training

    Course

    Econometrics,Securities Investment Analysis,Investment,Probability Theory and Statistics

    Scientific

    National Natural Science Foundation of China

    Academic Achievements


    Selected Publications

    1. Lv Chen, Danping Li*, Yumin Wang, Xiaobai Zhu (2024). Optimal VIX-linked structure for the target benefit pension plan. Astin Bulletin, 54, 75-93.

    2. Xia Han, David Landriault, Danping Li* (2024). Optimal reinsurance contract in a Stackelberg game framework: a view of social planner. Scandinavian Actuarial Journal, 2024(2), 124-148. 

    3. Danping Li, Lv Chen*, Linyi Qian, Wei Wang (2024). Equilibrium reinsurance strategy and mean residual life function. Acta Mathematicae Applicatae Sinica, 40(3), 758-777.

    4. Zhou Yang, Danping Li*, Yan Zeng, Guanting Liu (2024). Optimal investment strategy for α-robust utility maximization problem. Mathematics of Operations Research, Publish online.

    5. Lv Chen, Danping Li*, Yumin Wang, Xiaobai Zhu (2023). The optimal cyclical design for a target benefit pension plan. Journal of Pension Economics and Finance, 22(3), 284-303.

    6. Lin Xie, Lv Chen, Linyi Qian, Danping Li*, Zhixin Yang (2023). Optimal investment and consumption strategies for pooled annuity with partial information. Insurance: Mathematics and Economics, 108, 129-155.

    7. Danping Li, Virginia R. Young* (2022). Stackelberg differential game for reinsurance: Mean-variance framework and random horizon. Insurance: Mathematics and Economics, 102, 42-55.

    8. Junna Bi, Danping Li*, Nan Zhang (2022). Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles. RAIRO Operations Research, 56, 1-22.

    9. Haixiang Yao, Danping Li, Huiling Wu* (2022). Dynamic trading with uncertain exit time and transaction costs in a general Markov market. International Review of Financial Analysis, 84, 102371

    10. Lv Chen, David Landriault, Bin Li, Danping Li* (2021). Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Mathematical Finance, 31(2), 649-682.

    11. Danping Li, Virginia R. Young* (2021). Bowley solution of a mean-variance game in insurance. Insurance: Mathematics and Economics, 98, 35-43.

    12. Danping Li*, Bin Li, Yang Shen (2021). A stochastic differential game for insurance market with competitive premium. Journal of Computational and Applied Mathematics, 389, 113349.

    13. Danping Li, Junna Bi*, Mengcong Hu (2021). Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk. RAIRO Operations Research, 55, S2983-S2997.

    14. Danping Li, Yongzeng Lai, Lin Li* (2020). Optimal asset allocation with heterogeneous discounting and stochasticincome under CEV model. Journal of the Operational Research Society, 71(12), 2013-2026.

    15. Ling Zhang, Danping Li*, Yongzeng Lai (2020). Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochasticvolatility, Journal of Computational and Applied Mathematics, 368, 112536.

    16. Danping Li, Virginia R. Young* (2019). Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. Insurance: Mathematics and Economics, 87, 143-152.

    17. Danping Li, Yan Zeng*, Yang Shen (2018). Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility. Insurance: Mathematics and Economics, 78, 72-86.

    18. Danping Li, Yan Zeng*, Hailiang Yang (2018). Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Scandinavian Actuarial Journal, 2018(2), 145-171.

    19. Yan Zeng, Danping Li* Zheng Chen, Zhou Yang (2018). Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. Journal of Economic Dynamics and Control, 88, 70-103.

    20. David Landriault, Bin Li, Danping Li, Virginia R. Young* (2018). Equilibrium strategies for the mean-variance investment problem over a random horizon. SIAM Journal of Financial Mathematics, 9(3), 1046-1073.

    21. Danping Li, Dongchen Li, Virginia R. Young* (2017). Optimality of excess-loss reinsurance under a mean-variance criterion. Insurance: Mathematics and Economics, 75, 82-89.

    22. Danping Li, Ximin Rong, Hui Zhao, Bo Yi* (2017). Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. Insurance: Mathematics and Economics, 72, 6-20.

    23. Bin Li, Danping Li*, Dewen Xiong (2016). Alpha-robust mean -variance reinsurance-investment strategy. Journal of Economic Dynamics and Control, 70, 101-123.

    24. David Landriault, Bin Li, Danping Li*, Dongchen Li (2016). A pair of optimal reinsurance-investment strategies in the two-sided exit framework. Insurance: Mathematics and Economics, 71, 284-294.

    25.Yan Zeng, Danping Li*, Ailing Gu (2016). Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Insurance: Mathematics and Economics, 66, 138-152.

    26.Danping Li, Ximin Rong, Hui Zhao* (2016). The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model.IMA Journal of Management Mathematics, 27(2), 255-280.

    27.Danping Li, Ximin Rong, Hui Zhao* (2016). Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model. Computational and Applied Mathematics, 35(2), 533-557.

    28.Danping Li, Ximin Rong, Hui Zhao* (2016). Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model. Journal of Systems Science and Complexity, 29(2), 428-454.

    29.Danping Li, Ximin Rong, Hui Zhao* (2015). Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk. Insurance: Mathematics and Economics, 64, 28-44.

    30.Danping Li, Ximin Rong, Hui Zhao* (2015). Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model. Journal of Computational and Applied Mathematics, 283, 142-162.

    31.Danping Li, Ximin Rong, Hui Zhao* (2015). Stochastic differential game formulation on the reinsurance and investment problem. International Journal of Control, 88, 1861-1877.

    32.Danping Li*, Ximin Rong, Hui Zhao (2015). Optimal investment problem for an insurer and a reinsurer. Journal of Systems Science and Complexity, 28(6), 1326-1343.



    Honor

    Excellent Doctoral Thesis of Tianjin

    Excellent Doctoral Thesis of Tianjin University