科研(Research)

科研项目(Research projects)

  • 国家自然科学基金面上项目“网络相依结构下金融风险度量及回溯检验研究与应用”（批准号：71771203 ） 2018.1-2021.12, 项目主持人
  • 国家自然科学基金面上项目“极值理论在风险理论中的应用研究”（批准号：11171321） 2012.1-2015.12, 项目主持人
  • 国家青年科学基金项目 “重尾场合下随机金融风险模型中的破产风险问题”（批准号：10801124）2009.1-2011.12, 项目主持人
  • 中科院创新基金项目“数学及其应用中的若干前沿问题”, 2007-2010
  • 国家自然科学基金项目“复杂随机结构及其相关领域中的极限定理”, 2007-2009

论文发表(2006年之后)

  • Yu Chen, Zhicheng Wang, Zhengjun Zhang.  Mark to market value at risk, Journal of Econometrics,  2019, (208):299-321.
  • Yu Chen, Yu Gao, Wenxue Gao, Weiping Zhang. Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks, Mathematical Problems in Engineering, 2018, Article ID 4689479.
  • Yu Chen, Yingying Yang. Ruin probabilities with insurance and financial risks having an FGM dependence structure, Science China Mathematics, 2014, 57(5):1071-1082.
  • Yu Chen, Weiping Zhang, Chun Su. Precise large deviations for generalized dependent compound renewal risk model with consistent variation, Frontier Mathematics China, 2014, 9(1):31-44.
  • Zhihui Qu,  Yu Chen, Approximations of the tail probability of the product of dependent extremal random variables  and applications, Insurance: Mathematics and Economics. 2013, 169-178
  • Yu Chen, Yin Huang, Weiping Zhang.  Asymptotic ruin probabilities for proportional investment under interest force with dominatedly - varying-tailed claims, Journal of the Korean Statistical Society, 2012, 41(1), 87-95
  • Laisheng Wei, Weiping Zhang, Yu Chen. The Superiorities of Bayes Linear Unbiased Estimator in Multivariate Linear Models, Acta Mathematicae Applicatae Sinica-English Series, 2012, 383-394.
  • Weiping Zhang, Laisheng Wei, Yu Chen (2011), The Superiorities of Bayes Linear Unbiased Estimator in Multivariate Linear Models, Acta Mathematica Applicatae Sinica, to appear.
  • Yi, L, Chen, Y., and Su, C., (2011). Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation. J. Math. Anal. Appl. 376, 365-372.
  • Yu Chen , Yin Huang, Zhang Weiping, (2011) Asymptotic Ruin Probabilities for Proportional Investment Under Interest Force With Dominatedly-varying-tailed Claims. Journal of the Korean Statistical Society
  • Yu Chen, Weiping Zhang, Jie Liu (2010), Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables, Asia-Pacific Journal of Risk and Insurance. Vol.4 :Iss. 2.
  • 陈昱，吴进（2011）. 常数投资风险资产策略下保险公司的破产概率, 中国科学技术大学学报，已录用.
  • Weiping Zhang, Yu Chen, 2010, Double sampling method for genetic association analysis with defferential genotyping errors, Biostati., bioinform, and biomathematics, Vol 1, 43-54
  • Yu Chen, Weiping Zhang, 2007, Large deviations for random sums of negatively dependent random variables with consistently varying tails, Statist. Probab. Letters，Vol 77(5): 530-538.
  • Chen Yu, Su Chun, 2006, Finite time ruin probability with heavy-tailed insurance and financial risks, Statist. Probab. Letters, 76: 1812-1820.
  • Su Chun, Chen Yu, 2006, On the behavior of the product of independent random variables, Science in China, Series A, 49(3): 342-359.
  • Jie Liu, Chun Su, Yu Chen, Limiting theorems for the nodes in binary search trees. Science in China Series A: Mathematics. Vol. 51, No.1, 101-114(2008).
  • Su Chun, Hu Zhishui, Chen Yu, Liang Hanying, 2007, A wide class of heavy-ailed distributions and its applications, Front. Math. China, 2(2): 257-286
  • Su Chun, Chen Yu, 2007, Behaviors of the Product of Independent Random Variables, Int. Journal of Math. Analysis, 1: 21 – 35.
  • 陈昱, 苏淳, 2006,有利息力情形下的有限时间破产概率.中国科学技术大学学报, 36(9), 909－916.

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