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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, Faculty of Economics and Management, 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, female, an associate professor in East China Normal University. Her main research fields are financial engineering and actuarial science. She has published more than 30 academic papers, and is undertaking National Natural Science Foundation Youth Project and Shanghai Chenguang 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 Engineering, Actuarial Science

    Enrollment and Training

    Course

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

    Scientific

    National Natural Science Foundation of China (Youth Fund Project), Research on Optimal Centralization and Decentralization of Pension Fund Investment Strategies under Fuzzy Aversion Scenarios, 2019.1-2021.12

    Academic Achievements

    2019---

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

    2. Danping Li, Yongzeng Lai, Lin Li* (2019). Optimal asset allocation with heterogeneous discounting and stochasticincome under CEV model. Journal of the Operational Research Society, forthcoming.

    3. Yajie Wang, Ximin Rong, Hui Zhao, Danping Li* (2019). Optimal investmentproblem between two insurers with value-added service. Communications in Statistics-Theory and Methods, forthcoming.

    4. Jiaqin Wei, Danping Li, Yan Zeng* (2019). Robust optimal consumption-investment strategy with non-exponential discounting. Journal of Industrial and Management Optimization, forthcoming.



    2014-2018

    1. 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.

    2. 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.

    3. 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.

    4. 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.

    5. 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.

    6. 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.

    7. Danping Li, Ximin Rong, Hui Zhao* (2017). Equilibrium excess-of-loss reinsurance -investment strategy for a mean-variance insurer under stochastic volatility model. Communications in Statistics-Theory and Methods, 46(19), 9459-9475.

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

    9. 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.

    10.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.

    11.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.

    12.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.

    13.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.

    14.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.

    15.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.

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

    17.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.

    18.Danping Li, Ximin Rong, Hui Zhao* (2014). Optimal reinsurance-investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model. Journal of Computational and Applied Mathematics, 255, 671-683. 



    Honor

    Excellent Doctoral Thesis of Tianjin

    Excellent Doctoral Thesis of Tianjin University