Name

Yan, Jun

Research Interests

Stochastic analysis, large deviation and their applications in finance and insurance

Education

(content)

2000.9-2004.7 Qingdao University, Bachelor

2004.9-2006.7 Wuhan University, Master

2006.9-2009.7 Wuhan University, Ph.D

2014.9-2015.2 Wayne State University, visitor (visit Prof. Gang George Yin)

Working Experience

2009.9 Yangzhou University

Teaching

Probability and Statistics, Statistical Software, Time Series Analysis, Stochastic Process, etc

Research Projects

1. National Natural Science Foundation of China (2014.1-2016.12)

2. Jiangsu Natural Science Foundation (2013.7-2016.6)

3. Jiangsu College Natural Science Foundation (2013.8-2015.12)

4. National Natural Science Foundation of China (Tian Yuan) (2011.1-2011.12)

Publications

Yan,Jun. Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times, Statistics and Probability Letters,125,71-79,2017.

Yan,Jun. Exponential martingale for compound Poisson process with latent variable and its applications, Appl. Math. J. Chinese Univ. 30, 210-216, 2015.

Yan,Jun. Deviations of convex and coherent entropic risk measures, Statistics and Probability Letters,100,56-66,2015.

Yan,Jun. Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables, Statistics and Probability Letters, 91,171-180,2014.

严钧.部分转移的风险过程的中偏差, 数学学报（中文版）,57,675-680,2014.

严钧,殷弘. 财产索赔服务期权定价的鞅方法,应用数学, 27,152-156,2014.

Yan,Jun. Gao,Fuqing. The minimal entropy martingale measure of a jump process influenced by jump times. Statistics and Probability Letters,83, 83–88, 2013.

Yan,Jun, Gao,Fuqing. Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity. Journal of Mathematical Analysis and Applications, 394, 74-83, 2012.

严钧，汪宝彬. 部分转移的风险过程的大偏差. 数学杂志. 32, 1021-1026, 2012

严钧. 基于Esscher变换的指数Ornstein-Uhlenbeck过程的定价. 扬州大学学报（自然科学版）15, 17-19, 2012

Yan,Jun. The minimal martingale measure for the pricing process with Poisson shot noise jumps. Communications on Stochastic Analysis，5(4), 671-681, 2011

Gao,Fuqing, Yan,Jun. Sample path large and moderate deviations for risk model with delayed claims. Insurance: Mathematics and Economics. 45,  74–80, 2009.

Qian,Bin*, Yan,Jun.  Moderate Deviation Principle for Self-Normalized Sums of Sums of i.i.d. Random Variables. Applied Mathematics  Letters. 22 ,  715–718, 2009.

Gao,Fuqing, Yan,Jun. Functional large deviations and moderate deviations for Markov-modulated risk models with reinsurance. Journal of Applied Probability, 45, 800-817, 2008.

Honors and Awards

1.   Ministry of Education, Science and Technology Outstanding Achievement Award (Science and Technology), Second Prize in Natural Science (No. 5), Name: Research on Large Deviation in Stochastic Process and Statistics;

2.  Yangzhou University "Technology Pioneer"

Address

No. 180, Siwangting Road, Hanjiang District, Yangzhou City, Jiangsu Province, School of Mathematical Sciences, Yangzhou University,

Email

junyan@yzu.edu.cn