Education

Ph.D. in Statistics, Tsinghua University, Sept. 2012 – June 2016

B.Sc. in Mathematics and Applied Mathematics, Tsinghua University, Sept. 2008 – July 2012

Work Experience

Aug. 2021 – Present: Associate Professor, School of Statistics, Renmin University of China

June 2020 – Aug. 2021: Lecturer, School of Statistics, Renmin University of China

Mar. 2018 – May 2020: Postdoctoral Fellow, School of Statistics, Renmin University of China

Aug. 2016 – July 2017: Postdoctoral Fellow, Risk Management Institute, National University of Singapore

Research Interests

Pension fund management, optimal reinsurance, and asset allocation

Funding

Studies on Two Types of Control Optimization Problems in Pension Management,
National Natural Science Foundation of China (General Program), PI, 2024–2027

Optimal Reinsurance and Investment Strategies for Insurance Companies under Two Types of Model Uncertainty,
National Natural Science Foundation of China (Youth Program), PI, 2020–2022

Optimal Reinsurance and Investment Strategies for Insurance Companies under Smooth Ambiguity,
Postdoctoral Research Grant (First-Class Support, 64th Batch), PI, 2018–2019

Research on Optimal Investment Decisions of Insurance Companies,
Renmin University of China Scientific Research Fund, PI, 2018–2020

Publications

[32] Guan G, Liang Z. Robust n-Agent Heterogeneous Investment-Consumption Game Under α-Maxmin Mean-Variance-Utility Criterion: G. Guan, Z. Liang[J]. Journal of Optimization Theory and Applications, 2026, 208(1): 7.

[31] Guan G, Liang Z, Song Y. The continuous-time pre-commitment KMM problem in incomplete markets[J]. The Annals of Applied Probability, 2025, 35(4): 2923-2966.

[30] Chen X, Guan G*, Liang Z. Equilibrium portfolio selection under beliefs-dependent utilities[J]. Mathematics of Operations Research, 2025.

[29] Guan G, Huang Q, Liang Z, et al. Retirement decision with addictive habit persistence in a jump diffusion market[J]. SIAM Journal on Financial Mathematics, 2025, 16(3): 912-958.

[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] Guan G, Zhan J, Wang X. Optimal Decisions Integrating Consumption, Investment, and Annuity in Retirement Plans. Journal of Mathematical Statistics and Management, 2021, 39(3), 86–98. (Chinese)

[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] Guan G, Wang X. Risk Measurement Analysis of China’s Commercial Pension Annuities Based on an Affine Model. Systems Engineering, 2018, 36, 97–106. (Chinese)

[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.

 

Books and Textbooks

Xiao, Z., Guan, G. (2024). Quantitative Risk Management. Renmin University of China Press.

Guan, G. (2023). Risk Modeling and Capital Management for Insurance Companies. Science Press.

Teaching

Undergraduate Courses: Stochastic Processes; Actuarial Models

Graduate Courses: Quantitative Risk Management; Financial Econometrics