Wing Fung Chong

Heriot-Watt University - Department of Actuarial Mathematics and Statistics

Edinburgh, Scotland EH14 4AS

United Kingdom

  • Heriot-Watt University - Department of Actuarial Mathematics and Statistics

SCHOLARLY PAPERS

12

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1,177

TOTAL CITATIONS

16

Scholarly Papers (12)

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1.

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 182 (356,473)

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

2.

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, Tsinghua University - Tsinghua University School of Economics and Management and University of Illinois at Urbana-Champaign
Downloads 174 (370,967)
Citation 1

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

3.

Portfolio Selection Based on the Herd Behavior Index

Number of pages: 46 Posted: 15 Jan 2025
Wing Fung Chong, Churui Li and Daniel Linders
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, KU Leuven, Faculty of Business and Economics (FEB), Students and University of Amsterdam
Downloads 165 (388,706)

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portfolio optimization, Herd Behavior Index, Diversification measure, Mean-HIX efficient frontier, Comonotonicity

4.

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 104 (560,358)
Citation 2

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

5.

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 92 (608,091)
Citation 2

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

6.

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 84 (643,084)

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retirement planning, delegated investment, optimal strategies, pension fund

7.

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
Alexandru Vali Asimit, Tim J. Boonen, Yichun Chi and Wing Fung Chong
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 84 (643,084)
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

8.

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 76 (681,358)
Citation 1

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

9.

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 73 (696,846)
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

10.

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
Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou
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 59 (779,960)
Citation 2

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11.

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

Number of pages: 22 Posted: 13 Jan 2020
Alexandru Vali Asimit, Ka Chun Cheung, Wing Fung Chong and Junlei Hu
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 51 (837,654)
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

12.

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 33 (1,002,416)

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