董迎辉

作者:时间:2019-03-29点击数:

董迎辉1_副本.jpg

最高学历、学位

研究生、理学博士

职 称

教授

职 务

统计系主任

电子邮箱

dongyinghui1030@163.com


一、基本情况

苏州科技大学数学科学学院教授。2012年6月毕业于苏州大学概率统计专业,获理学博士学位。2013.03-2015.03上海交通大学安泰经管学院博士后(合作导师:吴冲锋),2017.11-2018.10帝国理工学院数学系访问学者(合作导师:Harry Zheng教授),2013.06-2013.08,香港大学统计与精算系访问学者,2015.06-2015.08,香港大学统计与精算系访问学者,2016.01-2016.02,香港大学统计与精算系访问学者。2015年被遴选为硕士生导师。2016年入选江苏省高校“青蓝工程”优秀青年教师,2018年入选江苏省高校“青蓝工程”中青年学术带头人,2017年评为苏州市先进教育工作者。

二、主要研究领域及学术成就

主要从事风险管理,金融风险量化分析,衍生品定价以及最优投资组合方面的研究工作,,在《ASTIN Bulletin》,《Economic Modelling》, 《Applied Stochastic Models in Business and Industry》,《Journal of Applied Probability》,《Methodology and Computing in Applied Probability》、 《Stochastic Analysis and Applications》,《中国科学》等等经济管理与概率统计重要期刊已发表学术论文30余篇,其中 SCI(SSCI) 收录论文 20余篇, 主持江苏省优秀青年基金1项,主持完成国家自然科学基金青年基金1项,江苏省省自然基金青年基金1项,中国博士后基金1项,江苏省省高校自然基金1项,以主要参与人参与国家自然科学基金项目1项,江苏省省自然基金2项。

三、代表性科研成果

[1] Yinghui Dong*, Kam Chuen Yuen, Guojing Wang.Regime-switching pure jump processes and applications in the valuation of mortality-linked products, Communications in Statistics-Theory and Methods, 2018,47(6):1372-1391.(SCI)

[2] Jie Guo, Yinghui Dong, Guojing Wang. Basket CDS pricing with default intensities using a regime-switching shot-noise model, Communications in Statistics-Theory and Methods, 2018,47(18):4443-4458.(SCI)

[3] Yinghui Dong*, Kam Chuen Yuen, Guojing Wang.Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities, Front. Math. China,2017, 12(5): 1085–1112.

[4] Yinghui Dong*, Kam C Yuen, Guojing Wang. Pricing credit derivatives under a correlated regime-switching hazard processes model, Journal of Industrial and Management Optimation, 2017,13,1395-1415.(SCI)

[5] Yinghui Dong*, Guojing Wang, Kam Chuen Yuen. A regime-switching model with jumps and its application to bond pricing and insurance,Stochastics and Dynamics, 2016,16(6),1650023.(SCI)

[6] Yinghui Dong*, Kam Chuen Yuen, Guojing Wang, Chongfeng Wu. A reduced- form model for correlated defaults with regime-switching shot noise intensities, Methodology and Computing in Applied Probability, 2016,18,459-486.(SCI)

[7] Yinghui Dong*, Min Han, A hyper-Erlang jump-diffusion process and applications in finance, Journal of Systems Science and Complexity, 2016,29, 557-572.(SCI)

[8]董迎辉*. 马氏调制强度的传染模型 CDS 的 CVA 计算, 中国科学- 数学 , 2015,45(1):65-82.

[9] Yinghui Dong*,Yao Chen, Haifei Zhu, Hyper-exponential jump- diffusion model under the barrier dividend strategy. Applied Mathematics-A Journal of Chinese Universities,2015,30(1):17-26.(SCI)

[10] Yinghui Dong*, Kam Chuen Yuen, Chongfeng Wu, Regime-switching shot- noise processes and longevity bond pricing. Lithuanian Mathematical Journal, 2014, 54: 383-402.(SCI)

[11] Yinghui Dong*, Guojing Wang. Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain, Economic Modelling,2014, 40:91-100.(SSCI)

[12] Yinghui Dong*, Guojing Wang, Kam Chuen Yuen. Bilateral counterparty risk valuation on a CDS with a common shock model, Methodology and Computing in AppliedProbability,2014,16:643-673.(SCI)

[13] Yinghui Dong*, Kam Chuen Yuen, Chongfeng Wu. A multivariate regime-switching mean reverting process and its application to the valuation of credit risk, Stochastic Analysis and Applications,2014,32:687-710.(SCI)

[14] Yinghui Dong*, Kam Chuen Yuen, Chongfeng Wu. Unilateral counterparty risk valuation of CDS using a regime-switching intensity model, Statistics and Probability Letters,2014,85:25-35.(SCI)

[15] Yinghui Dong*, Guojing Wang. A contagion model with Markov regime- switching intensities, Frontiers of Mathematics in China, 2014, 9:45-62.(SCI)

[16] Xue Liang*, Yinghui Dong. A Markov chain Copula model for credit default swaps with bilateral counterparty Risk,Communications in Statistics-Theory and Methods,2014,43:498-514.(SCI)

[17]董迎辉*,徐亚娟,障碍分红策略下的相关双边跳扩散模型,数学学报,2014,3,581-592.

[18] Xue Liang*,Guojing Wang, Yinghui Dong. A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives,Statistics and Probability Letters,2013,83(1):373-381.(SCI)

[19] Yinghui Dong*, Guojing Wang, Fair valuation of life insurance contracts under a two-sided jump diffusion model. Communicationsin Statistics-Theory and Methods, 2013,42:3926-3948.(SCI)

[20] Yinghui Dong*, Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model, Chinese Journal of Applied Probability and Statistics, 2013,29:237-245.

[21] Yinghui Dong*, Guojing Wang. The dependence of assets and default threshold with thinning- dependence structure. Journal of Industrial and Management Optimization,2012,8(2):391-410.(SCI)

[22] Yinghui Dong*, Xue Liang. Decomposition of default probability under a structural credit riskmodel withjumps. Lithuanian Mathematical Journal, 2012,52(4): 369-384.(SCI)

[23] Yinghui Dong*, Xue Liang, Guojing Wang. Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Asia-Pacific Financial Markets, 2012,19:391-415.

[24] Yinghui Dong*, Fair valuation of life insurance contracts under a correlated jump diffusion model,ASTIN Bulletin,2011,41:429-447.(SSCI)

[25] Yinghui Dong*,Guojing Wang,Rong Wu.Pricinig the zero-coupon bond and its fair premium under a structural credit risk model with jumps,Journal of Applied Probability,2011,48(2):404-419.(SCI)

[26]董迎辉,王过京,常数分红下相依理赔量的Erlang(2)模型,数学物理学报,2010,30(3):656-665.(CSCD)

[27]董迎辉,王过京,常利率下带干扰负风险和模型的破产概率,应用数学学报,2010,1:55-58.(CSCD)

[28] Yinghui Dong*, Guojing Wang ,Kam C Yuen.On the renewal risk model under a threshold strategy,Journal of Computational and Applied Mathematics,2009,230(1):22-33.(SCI)

[29] Yinghui Dong*,Ruin probability for correlated negative risk sums model with Erlang processes,Applied Mathematics-A Journal of Chinese Universities Series B,2009,24(1):14-20.(SCI)

[30] Yinghui Dong*, Guojing Wang,On a compounding assets model with positive jumps,Applied Stochastic Models in Business and Industry,2008,24:24-30.(SCI)

[31] Yinghui Dong*,Kam Chuen Yuen, The classical risk model with constant interest and threshold strategy. Proceedings in Computational Statistics, 2008.(ISTP)

[32] Yinghui Dong*, Guojing Wang,Ruin probability for renewal risk model with negative risk sums,Journal of Industrial and Management Optimization,2006,2(2):229-236.(SCI)


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