Wenjun Zhu

Nanyang Business School, Nanyang Technological University

Assistant Professor

50 Nanyang Avenue

Singapore, 639798

Singapore

http://sites.google.com/view/wenjun-zhu

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 41,453

in Total Papers Downloads

1,419

SSRN CITATIONS

9

CROSSREF CITATIONS

2

Ideas:
“  My current research interest include systemic risks in finance and insurance, commodity futures market, actuarial ratemaking in agricultural insurance, high dimensional modeling with copulas, and longevity risk management.  ”

Scholarly Papers (18)

1.

A Credibility-Based Yield Forecasting Model for Crop Reinsurance Pricing and Weather Risk Management

Agricultural Finance Review, 79(1), 2-26.
Number of pages: 36 Posted: 23 Sep 2015 Last Revised: 16 Jul 2020
Nanyang Business School, Nanyang Technological University, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research and University of Waterloo
Downloads 186 (203,328)
Citation 3

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yield forecasting, model selection, principal component analysis, cross validation, credibility theory

2.

Spatial Dependence & Aggregation in Weather Risk Hedging: A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach

Astin Bulletin, 48 (2), 779-815.
Number of pages: 43 Posted: 05 Oct 2015 Last Revised: 25 Jan 2019
Nanyang Business School, Nanyang Technological University, University of Waterloo, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research and National Kaohsiung University of Science and Technology
Downloads 138 (260,949)

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Systemic weather risk, Hedging strategies, Hierarchical Archimedean copulas, Lévy subordinators

3.

Remote Sensing Applications for Insurance: A Predictive Model for Pasture Yield in the Presence of Systemic Weather

North American Actuarial Journal, 24(2), 333-354.
Number of pages: 46 Posted: 27 Jun 2018 Last Revised: 15 Sep 2020
University of Manitoba - Department of Biosystems Engineering, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, Nanyang Business School, Nanyang Technological University, University of Manitoba - Department of Agribusiness and Agricultural Economics, University of Waterloo and University of Prince Edward Island
Downloads 125 (281,320)
Citation 1

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Crop Yield Prediction; Forage Insurance; Remote Sensing; Index-Based Insurance; Principal Component Analysis; Predictive Analytics

4.

On a Class of Premium Calculation Principles Based on the Multivariate Weighted Distribution

Number of pages: 29 Posted: 22 Dec 2016 Last Revised: 23 Jun 2018
Nanyang Business School, Nanyang Technological University, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research
Downloads 123 (284,702)
Citation 1

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Premium Principle, Weighted Distribution, Weighted Transform, Stochastic Dominance, Insurance Pricing, Economic Premium

5.

Structure and Estimation of Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC): Theory and Empirical Tests

Journal of Banking and Finance, 69 (2016): 20-36.
Number of pages: 45 Posted: 27 Sep 2015 Last Revised: 16 Jul 2020
Wenjun Zhu, Chou‐Wen Wang and Ken Seng Tan
Nanyang Business School, Nanyang Technological University, National Kaohsiung University of Science and Technology and University of Waterloo
Downloads 118 (293,363)
Citation 1

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High dimensional modeling, Hierarchical Archimedean copulas, Lévy subordinators, Downside risk

6.

A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance

North American Actuarial Journal, 23(4), 551-572.
Number of pages: 44 Posted: 28 May 2016 Last Revised: 21 May 2020
University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 112 (304,285)
Citation 1

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Relational Model, Aggregation Bias, Shortness of Data, Euclidean Distance, Crop Insurance, Yield Forecasting, Ratemaking

7.

Modeling Multi-Country Longevity Risk with Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach

Journal of Risk and Insurance, 84, 477-493.
Number of pages: 23 Posted: 04 Oct 2015 Last Revised: 11 Feb 2020
Wenjun Zhu, Ken Seng Tan and Chou‐Wen Wang
Nanyang Business School, Nanyang Technological University, University of Waterloo and National Kaohsiung University of Science and Technology
Downloads 110 (308,138)
Citation 2

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Geographical Mortality Dependence; Longevity Securitization; Hierarchical Archimedean copulas; Lévy subordinators

8.

Agricultural Insurance Ratemaking: Development of a New Premium Principle

North American Actuarial Journal, 23(4), 512-534.
Posted: 08 Sep 2016 Last Revised: 11 Feb 2020
Nanyang Business School, Nanyang Technological University, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research
Downloads 103 (322,291)
Citation 1

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Agricultural insurance, Loss reweighting, Ratemaking, Premium principles, Weighted distribution, Weighed premium

9.

Duration-Hedging Trades, Return Momentum and Reversal

Nanyang Business School Research Paper No. 20-27
Number of pages: 59 Posted: 28 Feb 2020 Last Revised: 23 Aug 2021
Zhanhui Chen, Pingyi Lou and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Fudan University - School of Economics and Nanyang Business School, Nanyang Technological University
Downloads 78 (382,844)

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momentum; stock duration; longevity risk; pensions; life insurers

10.

Improved Index Insurance Design and Yield Estimation Using a Dynamic Factor Forecasting Approach

Insurance: Mathematics and Economics, 96, 208-221
Number of pages: 33 Posted: 27 Jun 2018 Last Revised: 12 Jan 2021
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 73 (397,439)

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Crop Yield Forecasting; Factor Model; Index-Based Insurance

11.

Gompertz Law Revisited: Forecasting Mortality with a Multi-factor Exponential Model

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 29 Posted: 16 Dec 2019 Last Revised: 12 Jan 2021
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Waterloo, Stanford University and Nanyang Business School, Nanyang Technological University
Downloads 65 (422,985)
Citation 1

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Old Age Mortality Forecasting, Gompertz Law, Factor Model

12.

Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach

North American Actuarial Journal, Forthcoming
Number of pages: 36 Posted: 12 Jan 2019 Last Revised: 11 Feb 2020
Hong Li, Yang Lu and Wenjun Zhu
Warren Centre for Actuarial Studies and Research, University of Manitoba, Dept. Maths & Statis, Concordia University and Nanyang Business School, Nanyang Technological University
Downloads 54 (462,320)

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Markov Chain Discretization, Bayesian Premium, Dynamic Random Effect, Risk Heterogeneity

13.

Neighbouring Prediction for Mortality

ASTIN Bulletin, the Journal of the IAA, forthcoming., Nanyang Business School Research Paper No. 20-07
Number of pages: 41 Posted: 11 May 2020 Last Revised: 05 Apr 2021
National Kaohsiung University of Science and Technology, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 45 (499,569)
Citation 2

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artificial intelligence, convolutional neural network, longevity risk, multi-population mortality modelling

14.

Debt Market Responses to Longevity Shocks

Number of pages: 63 Posted: 02 Aug 2021
Hong Kong University of Science & Technology (HKUST) - Department of Finance, HKUSTHong Kong University of Science & Technology (HKUST) - Department of Finance, Fudan University - School of Economics and Nanyang Business School, Nanyang Technological University
Downloads 36 (542,299)

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debt maturity, longevity risk, life insurers, bond yields, duration

15.

Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps

Number of pages: 38 Posted: 14 Jun 2021
University of Wisconsin-Madison, University of Waterloo, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 36 (542,299)

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Securitization, Pandemic bond, Endemic swap, Coronavirus, Dengue

16.

Managing Weather Risk with a Neural Network-Based Index Insurance

Nanyang Business School Research Paper No. 20-28
Number of pages: 78 Posted: 24 Mar 2020 Last Revised: 24 Aug 2021
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Dept. Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 10 (715,987)

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weather risk; index insurance; basis risk; neural networks; machine learning

17.

Cyber Risk Modeling: A Discrete Multivariate Count Process Approach

Number of pages: 42 Posted: 27 Sep 2021
Yang Lu, Jinggong Zhang and Wenjun Zhu
Dept. Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 4 (763,148)

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Operational risk, Cyber risk, Systemic and pairwise contagion, Self-excitation, Negative binomial autoregressive process, Generalized Poisson inverse-Gaussian distribution, Discrete stable distribution, Generalized method of moments

18.

Storm CAT Bond: Modeling and Valuation

Number of pages: 47 Posted: 27 Sep 2021
Shimeng Huang, Jinggong Zhang and Wenjun Zhu
University of Wisconsin-Madison, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 3 (771,047)

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climate change, catastrophe risk, CAT bond, spatio-temporal model, copula

Other Papers (1)

Total Downloads: 33
1.

Optimal Risk Pooling for Area-Yield Insurance Design: A Machine-Learning Approach

Number of pages: 40 Posted: 16 Dec 2019
Yanbin Xu, Guangming Pan and Wenjun Zhu
Nanyang Technological University (NTU), Nanyang Technological University (NTU) and Nanyang Business School, Nanyang Technological University
Downloads 33 (584,127)

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Area-Yield Insurance, weather risk, machine learning, risk pooling, K-means, Gaussian Mixture Model