Wing Fung Chong

Heriot-Watt University - Department of Actuarial Mathematics and Statistics

Edinburgh, Scotland EH14 4AS

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS

798

SSRN CITATIONS

25

CROSSREF CITATIONS

0

Scholarly Papers (11)

1.

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 167 (331,798)
Citation 1

Abstract:

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

2.

Pareto-Efficient Risk Sharing in Centralized Insurance Markets with Application to Flood Risk

Number of pages: 44 Posted: 15 Sep 2022 Last Revised: 27 Jan 2024
Tim J. Boonen, Wing Fung Chong and Mario Ghossoub
University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Waterloo
Downloads 149 (364,970)

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Climate change, flood risk, spatial diversification, risk sharing, Pareto optimality, layer-type indemnities

3.

Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures

Number of pages: 25 Posted: 30 Nov 2017
Ka Chun Cheung, Wing Fung Chong and Ambrose Lo
The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Iowa - Department of Statistics & Actuarial Science
Downloads 90 (527,308)
Citation 2

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Budget constraint; Distortion; TVaR; Mini-max Theorem; Neyman-Pearson

4.

Pricing and Hedging Equity-Linked Life Insurance Contracts Beyond the Classical Paradigm: The Principle of Equivalent Forward Preferences

Number of pages: 39 Posted: 02 Oct 2018 Last Revised: 20 May 2019
Wing Fung Chong
Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 78 (574,922)
Citation 2

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Equity-Linked Life Insurance; Pricing and Hedging; Indifference Approach; Forward Utility Preferences; Random Horizon BSDEs

5.

Risk Sharing with Multiple Indemnity Environments

European Journal of Operational Research, forthcoming
Number of pages: 41 Posted: 25 Jun 2020 Last Revised: 08 Mar 2021
City University London - The Business School, University of Hong Kong, Central University of Finance and Economics (CUFE) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 77 (579,154)
Citation 5

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Risk management, Optimal insurance, Multiple risk environments, Value-at-Risk, Tail Value-at-Risk, Heterogeneous beliefs, Environment-specific layer indemnities

6.

Convex Ordering for Insurance Preferences

Insurance: Mathematics and Economics, 64:409-416
Number of pages: 24 Posted: 23 Apr 2015 Last Revised: 26 Aug 2015
Ka Chun Cheung, Wing Fung Chong and S. C. P. Yam
The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and The Chinese University of Hong Kong. Department of Statistics
Downloads 58 (671,719)
Citation 2

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Convex ordering, Karlin-Novikoff-Stoyan-Taylor crossing conditions, Value-at-Risk, Average Value-at-Risk, Optimal insurance decision problem

7.

An Ergodic BSDE Approach to Forward Entropic Risk Measures: Representation and Large-Maturity Behavior

Number of pages: 34 Posted: 02 Dec 2016 Last Revised: 28 Jan 2021
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, Université de Rennes 1, University of Warwick - Department of Statistics and University of Texas at Austin (Mathematics and IROM)
Downloads 48 (731,607)
Citation 2

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8.

Pareto-Optimal Insurance Contracts With Premium Budget and Minimum Charge Constraints

Number of pages: 22 Posted: 13 Jan 2020
City University London - The Business School, The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Essex
Downloads 47 (738,034)
Citation 1

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Bargaining power, Minimum charge, Optimal insurance contract design, Pareto optimality, Premium budget, Proportional Hazard Transformation, Tail Value-at-Risk, Value-at-Risk

9.

Imbalanced Learning for Insurance Using Modified Loss Functions in Tree-Based Models

Number of pages: 36 Posted: 06 May 2022
Changyue Hu, Zhiyu Quan and Wing Fung Chong
University of Illinois at Urbana-Champaign - Department of Mathematics, The University of Illinois at Urbana-Champaign and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 33 (841,359)
Citation 1

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Predictive model of insurance claims, imbalanced learning, custom loss, Canberra distance, regression tree, tree-based algorithms.

10.

Delegated Investment in Retirement Savings: Is There Value Added?

Number of pages: 40 Posted: 13 May 2024
Tiancheng Huang, Gaurav Khemka and Wing Fung Chong
Australian National University (ANU), Australian National University (ANU) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 29 (875,436)

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retirement planning, delegated investment, optimal strategies, pension fund

11.

Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns

Number of pages: 12 Posted: 12 Jan 2024
Gaurav Khemka, Tiancheng Huang and Wing Fung Chong
Australian National University (ANU), Australian National University (ANU) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 22 (941,072)

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Endogenous grid method, Stochastic portfolio returns, Monotonicity proof, Multidimensional continuous choice