Wenjun Zhu

Nanyang Business School, Nanyang Technological University

Associate Professor

91 Nanyang Avenue

Singapore, 639956

Singapore

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

  • Nanyang Business School, Nanyang Technological University

    • Email
    • Tel: (65) 6592-1859
SCHOLARLY PAPERS

26

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TOTAL CITATIONS
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Top 31,481

in Total Papers Citations

32

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.  ”

  • Nanyang Business School, Nanyang Technological University

    • Email
    • Tel: (65) 6592-1859

Scholarly Papers (26)

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1.

Managing Weather Risk with a Neural Network-Based Index Insurance

Management Science, accepted., Nanyang Business School Research Paper No. 20-28, HKUST Business School Research Paper No. 2023-114
Number of pages: 101 Posted: 24 Mar 2020 Last Revised: 30 Jun 2023
Zhanhui Chen, Yang Lu, Jinggong Zhang and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Department of Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 627 (91,541)
Citation 9

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

2.

Longevity Shocks and Corporate Debt Markets

HKUST Business School Research Paper , Nanyang Business School Research Paper No. 21-35
Number of pages: 70 Posted: 02 Aug 2021 Last Revised: 27 Mar 2024
Zhanhui Chen, Vidhan K. Goyal, Pingyi Lou and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Hong Kong University of Science and Technology, Fudan University - School of Economics and Nanyang Business School, Nanyang Technological University
Downloads 295 (220,188)

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debt maturity, duration risk, bond yields, longevity risk, life insurance companies

3.

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
Wenjun Zhu, Lysa Porth, Lysa Porth and Ken Seng Tan
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 281 (231,686)
Citation 5

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

4.

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
Wenjun Zhu, Ken Seng Tan, Lysa Porth and Lysa Porth
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 275 (236,898)
Citation 1

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

5.

Storm CAT Bond: Modeling and Valuation

North American Actuarial Journal, Forthcoming , Nanyang Business School Research Paper No. 21-38
Number of pages: 57 Posted: 27 Sep 2021 Last Revised: 13 Jan 2024
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 268 (243,218)
Citation 1

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

6.

Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps

North American Actuarial Journal, forthcoming, Nanyang Business School Research Paper No. 21-37
Number of pages: 52 Posted: 14 Jun 2021 Last Revised: 13 Jan 2024
Shimeng Huang, Ken Seng Tan, Jinggong Zhang and Wenjun Zhu
University of Wisconsin-Madison, University of Waterloo, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 264 (246,892)
Citation 3

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Securitization, Pandemic bond, Endemic swap, Coronavirus, Dengue

7.

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 250 (260,899)

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

8.

Cyber Risk Modeling: A Discrete Multivariate Count Process Approach

Scandinavian Actuarial Journal, forthcoming., Nanyang Business School Research Paper No. 21-36
Number of pages: 49 Posted: 27 Sep 2021 Last Revised: 13 Jan 2024
Yang Lu, Jinggong Zhang and Wenjun Zhu
Department of Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 233 (279,598)

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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

9.

Machine Learning in Long-Term Mortality Forecasting

The Geneva Papers on Risk and Insurance - Issues and Practice, forthcoming, Nanyang Business School Research Paper No. 23-15
Number of pages: 37 Posted: 16 Jun 2023 Last Revised: 13 Jan 2024
Yang Qiao, Chou‐Wen Wang and Wenjun Zhu
National Sun Yat-sen University, National Kaohsiung University of Science and Technology and Nanyang Business School, Nanyang Technological University
Downloads 215 (302,002)

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long-term mortality forecasting; neighbourhood effect; machine learning; ensemble models; tree boosting; longevity risk

10.

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
C. Brock Porth, Lysa Porth, Lysa Porth, Wenjun Zhu, Milton Boyd, Ken Seng Tan and Kai Liu
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 204 (317,489)
Citation 1

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

11.

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
Wenjun Zhu, Ken Seng Tan, Lysa Porth, Lysa Porth and Chou‐Wen Wang
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 195 (330,972)
Citation 3

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

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
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, Department of Maths & Statis, Concordia University and Nanyang Business School, Nanyang Technological University
Downloads 184 (349,188)
Citation 1

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

13.

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 171 (372,584)
Citation 1

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

14.

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 160 (396,817)
Citation 2

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

15.

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
Hong Li, Lysa Porth, Lysa Porth, Ken Seng Tan and Wenjun Zhu
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, 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 154 (407,687)

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Crop Yield Forecasting; Factor Model; Index-Based Insurance

16.

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
Lysa Porth, Lysa Porth, Ken Seng Tan and Wenjun Zhu
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 151 (414,402)

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

17.

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
Hong Li, Ken Seng Tan, Shripad Tuljapurkar and Wenjun Zhu
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, University of Waterloo, Stanford University and Nanyang Business School, Nanyang Technological University
Downloads 149 (418,900)
Citation 4

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Old Age Mortality Forecasting, Gompertz Law, Factor Model

18.

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
Chou‐Wen Wang, Jinggong Zhang and Wenjun Zhu
National Kaohsiung University of Science and Technology, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 141 (437,818)
Citation 1

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

19.

A Deep Factor Model for Crop Yield Forecasting and Insurance Ratemaking

North American Actuarial Journal, forthcoming
Number of pages: 35 Posted: 05 May 2022 Last Revised: 14 Jun 2023
Wenjun Zhu
Nanyang Business School, Nanyang Technological University
Downloads 116 (513,809)

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agricultural insurance, autoendocer, convolutional neural network, deep learning; ratemaking, spatial-temporal dependence

20.

Digital financial inclusion and domestic tourism demand: Through the lens of spatial spillover

Tourism Economics, forthcoming, Nanyang Business School Research Paper No. 24-05
Number of pages: 28 Posted: 13 Jan 2024 Last Revised: 19 Mar 2024
Yanzhao Li, Ju-e Guo and Wenjun Zhu
Xi'an Jiaotong University (XJTU) - School of Management, Xi'an Jiaotong University (XJTU) - School of Management and Nanyang Business School, Nanyang Technological University
Downloads 97 (581,089)

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Digital financial inclusion, domestic tourism demand, spatial spillover, spatial economics, sustainable tourism development

21.

From Meteorology to Market: A Geo-Hierarchical Deep Learning Approach for Flood Risk Pricing

Nanyang Business School Research Paper No. 24-04
Number of pages: 39 Posted: 27 Jan 2024 Last Revised: 20 Mar 2024
Yanbin Xu, Ken Seng Tan and Wenjun Zhu
Nanyang Technological University (NTU), University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 92 (601,045)

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Flood risk, Climate risk, Deep learning, Ratemaking, Colvency capital requirement

22.

A sustainable area-yield insurance program with optimal risk pooling: A behavior-based machine learning approach

Number of pages: 39 Posted: 16 Dec 2019 Last Revised: 13 Jan 2024
Yanbin Xu, Guangming Pan, Ken Seng Tan and Wenjun Zhu
Nanyang Technological University (NTU), Nanyang Technological University (NTU), University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 87 (622,212)

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sustainability, area yield, basis risk, crop insurance, machine learning

23.

Life Expectancy at Risk: The Enduring Impact of El Niño on Human Mortality

Number of pages: 50 Posted: 18 Feb 2025
Yanbin Xu, Wenjun Zhu, Benjamin P. Horton and Dhrubajyoti Samanta
Nanyang Business School, Nanyang Technological University, Nanyang Business School, Nanyang Technological University, Nanyang Technological University (NTU) and Nanyang Technological University (NTU)
Downloads 54 (811,282)

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sustainability, life expectancy, climate change, public health, climate economics, climate risk

24.

Characteristics and Predictive Modeling of Short-term Impacts of Hurricanes on the US Employment

Nanyang Business School Research Paper No. 24-03
Number of pages: 36 Posted: 27 Jan 2024 Last Revised: 20 Mar 2024
Gan Zhang and Wenjun Zhu
The University of Illinois at Urbana-Champaign and Nanyang Business School, Nanyang Technological University
Downloads 40 (919,074)

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Hurricane risk, Employment shork, Marchine learning, Climate change

25.

A Geo-Hierarchical Deep Learning Model for Flood Risk Modeling and Pricing

Nanyang Business School Research Paper No. 24-15
Number of pages: 46 Posted: 24 Jul 2024
Yanbin Xu, Ken Seng Tan and Wenjun Zhu
Nanyang Technological University (NTU), Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 38 (938,128)

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flood risk, climate change risk, deep learning, ratemaking, solvency capital requirement

26.

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

Posted: 22 Dec 2016 Last Revised: 27 Jul 2023
Wenjun Zhu, Ken Seng Tan, Lysa Porth and Lysa Porth
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

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