Bolihua

June, 2009. Ph.D.in Probability Theory \& Mathematical Statistics, Nankai University, Tianjin, China

Ph.D. thesis title: Applications of Stochastic Control Theory in Finance and Insurance

Supervisor: Prof. Dr. Junyi Guo

June, 2003. B.S. in Applied Mathematics, Hebei Normal University, Shijiazhuang, Hebei Province, China

 Professor,                  School of Mathematical Sciences, Nankai University     2018/01-

Associate Professor, School of Mathematical Sciences, Nankai University    2012/01-2017/12

Assistant Professor, School of Mathematical Sciences, Nankai University     2009/7-2011/12

Stochastic Processes; Stochastic Control Theory; Actuarial Science; Mathematical Finance

Probability; Stochastic Process; Acturial Mathematics

1 Program for 100 pioneer of youths course in Nankai University, 500,000RMB, 01/01/2016-12/30/2019

2 Program for The Top Young Talents in Tianjin, 1000, 000RMB,01/01/2017-12/31/2019

3 The Optimal problem in Non-Markovian risk process (11471171) (National Natural Science

Foundation of China),650, 000RMB, 01/01/2015-12/31/2018

4 The optimal and game problems with solvency constrains in insurance (11001136) (National Natural Science Foundation of China), 160,000RMB, 01/01/2011-12/31/2013

1 L H. Bai , J. Ma & X.J. Xing2017 Optimal Dividend and Investment Problems under Sparre Andersen Model. Annals of Applied Probability 27(6),3588-3632

2 X.L. Liang& L.H. Bai, 2017, Minimizing expected time to reach a given capital level before ruin, Journal of Industrial and Mnagement Optimization, 73(1),1771-1791

3 X. F. Peng, L. H. Bai & J. Y. Guo, 2016. Optimal Control with Restrictions for a Diffusion Risk Model Under Constant Interest Force Applied Mathematics & Optimization 73(1), 115-136.

4 X. Q. Liang, L. H. Bai & J. Y. Guo 2014 Optimal Time-consistent Portfolio and Contribution Selection for defined Benefit Pension Schemes under Mean-Variance criterion ANZIAM Journal 56(1), 66-90

5 L. H. Bai & J. Ma, 2015. Stochastic Differential Equations Driven by fBM and Poisson Point Process Bernoulli, 21(1), 303-334

6 L. H. Bai, J. Cai & M. Zhou, 2013. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic settingInsurance: Math. Econ. 53 :664–670

7 L. H. Bai & M. Hunting & J. Paulsen, 2012. Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints. Finance Stoch.16(3): 477-511.

8 L. H. Bai & J. Paulsen, 2012. On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs. Stochastic Processes and theirApplications122, 4005–4027.

9 J. Z. Liu L. H. Bai & K. C. Yiu 2012 Optimal investment with a value -at-risk constraint Journal  of Industrial and Mnagement Optimization8(3), 531-547

10 Z. B. Liang, L. H. Bai & J. Y. Guo, 2011. Optimal investment and proportional reinsurance with constrained control variables. Optimal Control Appl. Methods 32(5), 587-608.

11 J. N. Bi, J. Y. Guo & L. H. Bai, 2011. Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer. Journal of Systems Science and Cpmplexity 24(2), 291-307.

12 L. H. Bai & J. Paulsen, 2010. Optimal dividend policies with transaction costs for a class of diffusion processes. SIAM J. Control Optim. 48(8) 4987-5008

13 L. H. Bai & J. Y. Guo & H. Y. Zhang, 2010. Optimal excess-of-loss reinsurance and dividend payments when payments are subject to both transaction cost and taxes. Quant. Finance10(1), 1163 - 1172.

14 L. H. Bai & J. Y. Guo, 2010. Optimal dividend payments in the classical risk model when payments are subject to both transaction cost and taxes. Scandinavian Actuarial Journal 1, 36-55.

15 L. H. Bai & J. Y. Guo, 2010. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection under short- selling prohibition. Science in China Ser A: Mathematics 53(7), 1787-1804.

16 H. Y. Zhang & L. H. Bai, 2009. Insurance control for classical risk model with fractional Brownian motion perturbation. Statist. Probab. Lett. 79(4), 473-480.

17 L. H. Bai & J. Y. Guo, 2008. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insurance: Math. Econ. 42(3), 968-975.

18 L. H. Bai & H. Y. Zhang, 2008. Dynamic mean-variance with constrained risk control for the insurer. Math. Methods Oper. Res. 68(1), 181-2050

（

19 H. Y. Zhang & L. H. Bai, 2008. Dynamic mean-variance optimization under classical risk model with fractional Brownian motion perturbation. Infin. Dimens. Anal. Quantum Probab. Relat. Top. 11(4), 589-602.

  

20 L. H. Bai & J. Y. Guo, 2007. Utility maximization with partial information: the HJB equation approach.Frontiers of Mathematics in China. 2(4), 527-537.

1  2017,  Young Excellent science and technology talent in Tianjin

2 2017,   The first Prize, Youth Academic Award in Tianjin.

3   2016 100 pioneer of youths course in Nankai University

4  2015,  The Top Young Talents in Tianjin

5   2013 Program for New Century Excellent Talents in University.

6  2012 National Excellent Doctoral Dissertation Award nomination.

 Sepember, 2017 --October 2017.Department of Mathematics,

University of Southern California, America.

January, 2017 --February 2017.Department of Mathematics,

University of Southern California, America.

January, 2016 --February, 2016.Department of Mathematics,

University of Southern California, America.

2011 --December, 2011.Department of Mathematics,

University of Southern California, America.

November, 2011 --November, 2011.Department of Statistics,

University of Chicago, America.

January, 2010 -- March, 2010.Department of Statistics and Actuarial Science,

Waterloo University, Waterloo, Ontario, Canada.

September, 2008 -- March, 2009. Department of Mathematics,

Bergen University, Bergen, Norway.

June, 2008. Department of Applied Mathematics, Hong Kong Polytechnic University, Hong Kong, China.