English 清华大学 旧版入口 人才招聘

梁宗霞

  • 教授
  • 电话:62796925
  • 邮箱:liangzongxia@tsinghua.edu.cn

基本信息


博士(中国科学院应用数学所,1996), 清华大学数学科学系教授,博士生导师

办公室: 清华大学理科楼 A-121



工作履历

1998-目前,清华大学数学科学系,讲师,副教授,教授

1996-1998, 北京大学数学科学学院概率统计系,博士后

2008.09-2009.08, 韩国国立首尔大学(SNU), 客座研究员

2002.09-2003.11, 美国麻省理工学院(MIT)数学系,客座研究员


研究领域

概率论与随机分析,精算科学,数理金融(金融数学),随机控制与优化,风险管理与保险数学,数理经济学

所授课程

概率论1(本科生), 概率论2(研究生), 高等概率论(研究生),  随机分析(研究生),  测度论(研究生),  实变函数(本科生), 复变函数(本科生), 金融数学(研究生), 风险理论(研究生), 概率论与数理统计(本科生),  微积分(本科生)


奖励与荣誉

1. 主持一项国家自然科学基金委青年基金项目及四项国家自然科学基金委面上项目,...。

2. 2019年度和2021年度清华大学优秀博士学位论文指导教师,2009年度清华大学优秀硕士学位论文指导教师, ...。

学术成果

一. 学术研究成果

(1)在金融数学的旗舰学术期刊 Mathematical Finance, 精算科学领域的四大学术期刊 如Insurance:Mathematics and Economics, Scandinavian Actuarial Journal, North American Actuarial Journal概率论与泛函分析领域的国际一流学术期刊Stochastic Processes and their Applications, Ann.Inst.Henri Poincaré(B) Probab.Stat., Journal of Functional Analysis, 控制及优化领域的国际顶级学术期刊 SIAM Journal on Control and Optimization等杂志上发表论文六十余篇.

(2)在最优分红与再保险,DC(DB)养老金管理与投资,数理金融,量化风险管理,最优资产配置与消费,最优投资组合与最优随机控制,高度非凸(凹)非线性随机控制与优化,金融与保险领域里不确定性度量与随机稳健控制问题,局部过程与随机微分方程等方向做出了系列原创性工作.

(3)精算科学研究领域,梁宗霞教授及其研究团队的研究位于世界前列,取得了清华大学精算科学最新四个5年周期(2012-2016, 2013-2017, 2014-2018,2015-2019)世界非商学院类排名中分别世界排名第三,第五,第六,第八,大陆高校及研究机构排名第一的研究成果.见 https://business.unl.edu/academic-programs/departments/finance/actuarial-science/research-rankings

二.部分论著 

[41] Lin He, Zongxia Liang, Yilun Song and Qi Ye.  Optimal contribution rate of PAYGO pension. Scandinavian Actuarial Journal, forthcoming.

[40]  Zongxia Liang and Yang Liu. A classification approach to general S-shaped utility optimization with principals' constraints. SIAM Journal on Control and Optimization 58(6)(2020)3734-3762.

[39] Zongxia Liang and Ming Ma. Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets.  Mathematical Finance 30(2020)1035-1072.

[38] Lin He, Zongxia Liang and Fengyi Yuan. Optimal DB-PAYGO pension management towards a habitual contribution rate.  Insurance:Mathematics and Economics 94(2020)125-141.

[37] Lin He, Zongxia Liang, Yang Liu and Ming Ma. Weighted utility optimization of the participating endowment contract.  Scandinavian Actuarial Journal 7(2020)577-613.

[36] Guohui Guan, Zongxia Liang. Robust optimal reinsurance and investment strategies for an AAI with multiple risks. Insurance:Mathematics and Economics 89(2019)63-78.

[35] Zongxia  Liang, Ming Ma.  Consumption-investment problem with pathwise ambiguity under logarithmic utility. Mathematics and Financial Economics 13(4)(2019)519-541.

[34] Lin He, Zongxia Liang, Yang Liu and Ming Ma.  Optimal control of DC pension plan management under two incentive schemes.  North American Actuarial Journal 23(1)(2019)120-141.

[33] Guohui  Guan, Zongxia Liang and Jian Feng.  Time-consistent proportional reinsurance and investment strategies under ambiguous environment. Insurance:Mathematics and Economics 83(2018)122-133.

[32] Zongxia Liang,  Xiaoyang Zhao.  Optimal mean-variance efficiency of a family with life insurance under inflation risk.  Insurance:Mathematics and Economics 71(2016)164-178.

[31] Guan, Zongxia Liang.  A stochastic Nash equilibrium portfolio game between two DC pension funds. Insurance:Mathematics and Economics 70(2016) 237-244.

[30] Guohui Guan, Zongxia Liang.  Optimal management of DC pension plan under loss aversion and value-at-risk constraints.  Insurance:Mathematics and Economics 69(2016)224-237.

[29] Zongxia Liang, Wenlong Sheng.  Valuing inflation-linked death benefits under a stochastic volatility framework. Insurance:Mathematics and Economics 69(2016)45-58.

[28] Zongxia Liang, Mingsi Long.  Minimization of absolute ruin probability under negative correlation assumption. Insurance:Mathematics and Economics 65(2015) 247-258.

[27] Zongxia Liang, Min Song.  Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information.  Insurance:Mathematics and Economics 65(2015)66-76.

[26] Zongxia Liang, Ming Ma. Optimal dynamic asset allocation of pension fund in mortality and salary risks framework. Insurance:Mathematics and Economics 64(2015)151-161.

[25] Lin He, Zongxia Liang.  Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims. Insurance:Mathematics and Economics 61(2015)227-234.

[24] Guohui Guan, Zongxia Liang.  Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. Insurance:Mathematics and Economics 61(2015)99-109.

[23] Guohui Guan, Zongxia Liang.  Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. Insurance:Mathematics and Economics 57(2014)58-66. 

[22] Guohui Guan, Zongxia Liang. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Insurance:Mathematics and Economics 55(2014)105-115.

[21] Huiqi Guan, Zongxia Liang. Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs. Insurance:Mathematics and Economics 54(2014)109-122.

[20] Lin He, Zongxia Liang.  Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework. Insurance:Mathematics and Economics 53(2013)643-649.

[19] Lin He, Zongxia Liang.  Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase. Insurance:Mathematics and Economics 52(2013)404-410.

[18] Zongxia Liang, Weiming Wu. Variational inequalities in stock loan models. Optimization and Engineering 13(3)(2012)459-470.

[17] Zongxia Liang, Jianping Huang. Optimal dividend and investing control of an insurance company with higher solvency constraints.  Insurance:Mathematics and Economics 49(2011)501-511.

[16] Zongxia Liang, Weiming Wu and Shuqing Jiang.  Stock loan with automatic termination clause, cap and margin.  Computers and Mathematics with Applications 60(12)(2010)3160-3176.

[15] Lin He, Zongxia Liang.  Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs. Insurance: Mathematics and Economics 44(2009)88-94. 

[14] Lin He, Ping Hou and Zongxia Liang.  Optimal control of the insurance company with proportional reinsurance policy under solvency constraints. Insurance: Mathematics and Economics 43(2008)474-479.

[13] Lin He, Zongxia Liang. Optimal financing and dividend control of the insurance company with proportional reinsurance policy. Insurance:Mathematics and Economics 42(2008)976-983.

[12] Zongxia Liang.  Anticipating multidimensional stochastic differential equations with reflections. Stochastics and Dynamics 8(2)(2008)295-318.

[11] Zongxia Liang.  Spatial asymptotic behavior of homeomorphic global flow for non-Lipschitz SDEs.  Bulletin des Sciences Mathématiques 132(2)(2008)146-163.

[10] Guilan Cao, Kai He and Zongxia Liang.  Quasi sure analysis of local times of anticipating smooth semimartingales.  Bulletin des Sciences Mathématiques 131(8)(2007)697-715.

[9] Zongxia Liang. Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic. Potential Analysis(4)(2007)307-322.

[8] Zongxia Liang.   Besov regularity for the generalized local time of the indefinite Skorohod integral.  Annales de l'Institut Henri Poincaré Probabilités et Statistiques 43(1)(2007)77-86.

[7] Zongxia Liang.  Fractional smoothness for the generalized local time of the Indefinite Skorohod integral. Journal of Functional Analysis 239(1)(2006)247-267.

[6] Zongxia Liang.  Stochastic differential equation driven by countably many Brownian motions with non-Lipschitzian coefficients. Stochastic Analysis and Applications 24(3)(2006)501-529.

[5] Zongxia Liang. Homeomorphic property of solutions of SDE driven by countably many Brownian motions with non-Lipschitzian coefficients. Bulletin des Sciences Mathématiques 129(6)(2005)523-538.

[4] Zongxia Liang.  Exit problems for nonlinear stochastic evolution equations on Hilbert spaces. Science in China. Series A. Mathematics 45(10)(2002)1238-1254.

[3] Zongxia Liang.  Existence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane. Stochastic Processes and their Applications 83(2)(1999)303-317. 

[2] Zongxia Liang.  Quasi-sure quadratic variations of two parameter smooth martingales on the Wiener space. Journal of Mathematics of Kyoto University 36(3)(1996)619-640.

[1] Zongxia Liang, Mingli Zheng.  Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane. Stochastic Processes and their Applications 62(2)(1996)263-276.


人才培养

(1)培养和指导博士后,博士研究生和硕士研究生48名(包括在读),其中博士研究生19名,博士后1名,他们分别在中国科学院、新加坡国立大学、中国人民大学、复旦大学、中国人民银行(总部)、中国保险监督管理委员会、中国人寿保险公司(总部)、中国平安保险公司(总部),中国银行(总部)等科研机构、著名高校、国家金融机构和跨国金融机构任教授,副教授及高管等职务工作.

(2)博士研究生招生学科:数学和统计学.招生研究方向Actuarial Science; Mathematical Finance; Stochastic Controls and Optimization; Applied Probability and Stochastic Analysis; Risk Management and Insurance Mathematics.