教育背景

2012.09-2016.06，清华大学统计学专业，理学博士学位

2008.09-2012.07，清华大学数学与应用数学专业，理学学士学位

 

工作经历

2021.08至今，太阳成集团tyc122cc，副教授

2020.06-2021.08，太阳成集团tyc122cc，讲师

2018.03-2020.05，太阳成集团tyc122cc，团队博士后

2016.08-2017.07，新加坡国立大学风险管理中心，博士后

研究方向

养老金管理、最优再保险、资产配置

 

科研项目

1. 养老金管理中的两类控制优化问题研究，国家自然科学基金项目面上项目， 主持， 2024-2027

2. 两类模型不确定下保险公司的最优再保险和投资策略研究，国家自然科学基金项目青年科学基金项目，主持，2020-2022

3. 光滑模糊下保险公司的最优再保险和投资策略研究，第64批博士后面上一等资助，主持，2018-2019

4. 保险公司的最优投资决策问题研究，太阳成集团122cc官网入口科学研究基金项目，主持，2018-2020

 

科研发表

[29] Guan G, Hu J, Liang Z. N-player and mean field games among fund managers considering excess logarithmic returns. Annals of Operations Research, 2025, 349(3): 1663-1691.

[28] Guan G, Liang Z, Xia Y. Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets. Mathematics and Financial Economics, 2025.

[27] Guan G, Xie J. Time-consistent portfolio and contribution selection for defined benefit pension plans under partial information. Scandinavian Actuarial Journal, 2025.

[26] Guan G, Liang Z, Xia Y. Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty. Scandinavian Actuarial Journal, 2025: 1-41.

[25] Guan G, Liang Z, Xia J. Equilibrium portfolio selection for smooth ambiguity preferences. Mathematics of Operations Research, 2025, 50(2): 1042-1071.

[24] Guan G, Hu J, Liang Z. N-player and mean field games among fund managers considering excess logarithmic returns. Annals of Operations Research, 2025: 1-29.

[23] Guan G, Liang Z, Ma X. Optimal annuitization and asset allocation under linear habit formation. Insurance: Mathematics and Economics, 2024, 114: 176-191.

[22] Guan G, Liang Z, Xia Y. Optimal management of DB pension fund under both underfunded and overfunded cases. Scandinavian Actuarial Journal, 2024, 2024(6): 583-624.

[21] Guan G, Liang Z, Song Y. A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility. Scandinavian Actuarial Journal, 2023: 1-36.

[20] Guan G, He L, Liang Z, et al. Robust dividend, financing, and reinsurance strategies under model uncertainty with proportional transaction costs. North American Actuarial Journal, 2024, 28(2): 261-284.

[19] Guan G, Hu X. Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity. The North American Journal of Economics and Finance, 2022, 63: 101793.

[18] Guan G, Hu J, Liang Z. Robust equilibrium strategies in a defined benefit pension plan game. Insurance: Mathematics and Economics, 2022, 106: 193-217.

[17] Guan G, Li B. Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution. Journal of Economic Dynamics and Control, 2022: 104515.

[16] Guan G, Liang Z, Xia Y. Optimal management of DC pension fund under the relative performance ratio and VaR constraint. European Journal of Operational Research, 2022.

[15] Yu L, Lin L, Guan G, et al. Time-consistent lifetime portfolio selection under smooth ambiguity. Mathematical Control and Related Fields, 2022.

[14] Guan G, Hu X. Time-consistent investment and reinsurance strategies for mean–variance insurers in N-agent and mean-field games. North American Actuarial Journal, 2022, 26(4): 537-569.

[13] Guan G, Hu X. On the analysis of a discrete-time risk model with INAR (1) processes. Scandinavian Actuarial Journal, 2021: 1-24.

[12] 关国卉、詹家煊、王晓军. 退休计划中整合消费,投资和年金的最优决策研究. 数理统计与管理, 2020, 230: 86-98.

[11] Guan G. Equilibrium and pre-commitment mean-variance portfolio selection problem with partially observed price index and multiple assets. Methodology and Computing in Applied Probability, 2020, 22: 25-47.

[10] Guan G, Wang X. Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Scandinavian Actuarial Journal, 2020: 1-23.

[9] Zhu J, Guan G, Li S, et al. Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. Journal of Computational and Applied Mathematics, 2020.

[8] Guan G, Liang Z. Robust optimal reinsurance and investment strategies for an AAI with multiple risks. Insurance Mathematics & Economics, 2019: 63-78.

[7] Guan G, Liang Z, Feng J. Time-consistent proportional reinsurance and investment strategies under ambiguous environment. Insurance Mathematics & Economics, 2018: 122-133.

[6] 关国卉, 王晓军. 基于仿射模型的我国商业养老年金风险测度分析. 系统工程, 2018, 036: 97-106.

[5] Guan G, Liang Z. Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints. Insurance Mathematics & Economics, 2016: 224-237.

[4] Guan G, Liang Z. A stochastic Nash equilibrium portfolio game between two DC pension funds. Insurance Mathematics & Economics, 2016: 237-244.

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

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

[1] Guan G, Liang Z. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Insurance Mathematics & Economics, 2014: 105-115.

 

著作教材

1. 肖争艳、关国卉编著，量化风险管理，太阳成集团122cc官网入口出版社，2024

2. 关国卉著，保险公司风险建模与资金管理，科学出版社，2023

 

教学课程

1. 本科课程：随机过程、精算模型

2. 研究生课程：量化风险管理、金融计量学