Runhuan Feng

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL 61820

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 33,836

SSRN RANKINGS

Top 33,836

in Total Papers Downloads

2,256

SSRN CITATIONS
Rank 29,008

SSRN RANKINGS

Top 29,008

in Total Papers Citations

13

CROSSREF CITATIONS

17

Scholarly Papers (15)

1.

Peer-to-Peer Multi-Risk Insurance and Mutual Aid

Samal Abdikerimova, Runhuan Feng, Peer-to-Peer Multi-Risk Insurance and Mutual Aid, European Journal of Operational Research, 2021, ISSN 0377-2217,https://doi.org/10.1016/j.ejor.2021.09.017.
Number of pages: 35 Posted: 19 Dec 2019 Last Revised: 04 Oct 2021
Samal Abdikerimova and Runhuan Feng
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 687 (57,748)
Citation 6

Abstract:

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peer-to-peer; insurance; decentralization; disintermediation; mutual aid; law of large numbers; insurtech fintech

A Unified Theory of Decentralized Insurance

Number of pages: 43 Posted: 28 Jan 2022
Runhuan Feng, Ming Liu and Ning Zhang
University of Illinois at Urbana-Champaign, Central University of Finance and Economics (CUFE) and Hunan University
Downloads 335 (135,966)

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risk sharing; decentralization; risk pooling; risk transfer; P2P insurance; takaful; mutual aid.

A Unified Theory of Decentralized Insurance

Number of pages: 61 Posted: 27 Sep 2022
Runhuan Feng, ming liu and Ning Zhang
University of Illinois at Urbana-Champaign, Guizhou University of Finance and Economics and Hunan University
Downloads 8 (912,293)

Abstract:

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risk sharing, decentralization, risk pooling, risk transfer, P2P insurance, takaful, mutual aid

3.

Peer-to-Peer Risk Sharing with an Application to Flood Risk Pooling

Number of pages: 42 Posted: 18 Feb 2021
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Mathematics and Stevens Institute of Technology
Downloads 222 (207,428)

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peer-to-peer insurance, risk sharing, Pareto optimality

4.

Modeling Financial Market Movement with Winning Streaks: Sticky Maximum Process

Number of pages: 34 Posted: 03 Apr 2020 Last Revised: 08 Feb 2021
Runhuan Feng, Pingping Jiang and Hans Volkmer
University of Illinois at Urbana-Champaign, Nankai University - School of Mathematical Sciences and affiliation not provided to SSRN
Downloads 181 (249,547)

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sticky maximum process; sticky diffusion process; financial market movement; option valuation; stochastic process inference

5.

Holistic Principle for Risk Aggregation and Capital Allocation

Number of pages: 30 Posted: 23 Mar 2020 Last Revised: 28 Jan 2021
Wing Fung Chong, Runhuan Feng and Longhao Jin
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 133 (321,509)
Citation 1

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Risk Management, Risk Aggregation, Capital Allocation, Pareto Optimality, Diversification Benefit

6.

Analytical Calculation of Risk Measures for Variable Annuity Guaranteed Benefits

Insurance: Mathematics and Economics, 51(3), 636–648
Number of pages: 30 Posted: 02 Oct 2012 Last Revised: 14 Oct 2012
Runhuan Feng and Hans Volkmer
University of Illinois at Urbana-Champaign and affiliation not provided to SSRN
Downloads 125 (336,775)
Citation 1

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variable annuity guaranteed benefit, Asian option, risk measures, value at risk, conditional tail expectation, geometric Brownian motion, integral of geometric Brownian motion, Hartman-Watson density, modified Bessel functions

7.

Cost-Effectiveness, Fairness and Adverse Selection in Mutual Aid

European Financial Management Association Annual Meeting 2021; Insurance Mathematic and Economics Congress 2021; CICIRM10th(2020/2021)
Number of pages: 59 Posted: 20 Sep 2021 Last Revised: 13 Sep 2022
Ze Chen, Runhuan Feng, Li Wei and Jiaqi Zhao
Renmin University of China - School of Finance, University of Illinois at Urbana-Champaign, Renmin University of China and affiliation not provided to SSRN
Downloads 120 (346,984)

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Mutual aid; Insur Tech; Adverse Selection; Risk sharing; Information Disclosure

8.

Multi-period Peer-to-Peer Risk Sharing

Number of pages: 38 Posted: 06 Apr 2022
Samal Abdikerimova, Tim J. Boonen and Runhuan Feng
University of Illinois at Urbana-Champaign, University of Amsterdam and University of Illinois at Urbana-Champaign
Downloads 115 (357,657)

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Risk sharing; peer-to-peer insurance; mean-variance optimization; multi-period model; catastrophe risk pooling

9.

Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

Number of pages: 36 Posted: 02 Nov 2016 Last Revised: 16 Nov 2016
Zhenyu Cui, Runhuan Feng and Anne MacKay
Stevens Institute of Technology - School of Business, University of Illinois at Urbana-Champaign and University of Quebec at Montreal (UQAM)
Downloads 103 (388,640)
Citation 6

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Variable Annuity, VIX Index, Dynamic Fee, Segregated Funds, Stochastic Volatility, Heston Model

10.

Modeling Credit Value Adjustment with Downgrade-Triggered Termination Clause

Insurance: Mathematics and Economics, Vol. 51, No. 2, 2012
Number of pages: 29 Posted: 02 Oct 2012
Runhuan Feng and Hans Volkmer
University of Illinois at Urbana-Champaign and affiliation not provided to SSRN
Downloads 93 (412,812)

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credit risk management, counterparty credit risk, credit value adjustment, ruin theory, complex analysis, Laplace transform inversion, finite-time ruin probability

11.

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Number of pages: 33 Posted: 15 Mar 2015
Runhuan Feng, Xiaochen Jing and Jan Dhaene
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Mathematics and Katholieke Universiteit Leuven
Downloads 53 (558,249)
Citation 2

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Variable annuity guaranteed benefit, risk measures, value at risk, conditional tail expectation, geometric Brownian motion, comonotonicity, dynamic policyholder behavior

12.

A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefit s by a PDE Method

North American Actuarial Journal, Vol. 18, issue 4, 2014
Number of pages: 22 Posted: 05 May 2014 Last Revised: 07 Jun 2014
Runhuan Feng
University of Illinois at Urbana-Champaign
Downloads 41 (620,032)
Citation 1

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Variable annuity guaranteed benefit, actuarial risk management, numerical PDE method, quantile risk measure, conditional tail expectation.

13.

Exponential Functionals of Levy Processes and Variable Annuity Guaranteed Benefits

R. Feng, A. Kuznestov, F. Yang. (2019) Exponential functionals of Levy processes and variable annuity guaranteed benefits. Stochastic Processes and their Applications, 129 (2), 604–625.
Number of pages: 22 Posted: 10 Jan 2019
Runhuan Feng, Alexey Kuznetsov and Fenghao Yang
University of Illinois at Urbana-Champaign, York University and York University - Department of Mathematics and Statistics
Downloads 16 (801,214)

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exponential functionals, Levy processes, Ornstein-Uhlenbeck process, Mellin transform, Barnes G-function, variable annuity guaranteed benefits

14.

Coping with Longevity via Hedging: Fair Dynamic Valuation of Variable Annuities

Number of pages: 37 Posted: 14 Dec 2022
Ze Chen, Runhuan Feng, Hong Li and Tianyu Yang
Renmin University of China - School of Finance, University of Illinois at Urbana-Champaign, University of Guelph and Shanghai University of Finance and Economics
Downloads 12 (839,157)

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Dynamic fair valuation, Market-consistency, Variable annuity, Actuarial-consistency, Longevity risk, Time-consistency

15.

Applications of Central Limit Theorems for Equity-Linked Insurance

R. Feng, Y. Shimizu. (2016) Applications of central limit theorems for equity-linked insurance. Insurance: Mathematics and Economics, 69, 138–148.
Number of pages: 24 Posted: 10 Jan 2019
Runhuan Feng and Yasutaka Shimizu
University of Illinois at Urbana-Champaign and Osaka University - School of Engineering Science
Downloads 12 (839,157)

Abstract:

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equity-linked insurance; variable annuity guaranteed benefits; risk measures; strong law of large numbers; central limit theorem; individual model; aggregate model