Wing Fung Chong

Heriot-Watt University - Department of Actuarial Mathematics and Statistics

Edinburgh, Scotland EH14 4AS

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

526

SSRN CITATIONS

8

CROSSREF CITATIONS

0

Scholarly Papers (9)

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 135 (319,279)
Citation 1

Abstract:

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

2.

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 75 (471,641)
Citation 2

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

3.

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
Cass Business School, City, University of London, University of Amsterdam, Central University of Finance and Economics (CUFE) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 72 (482,451)

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

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 60 (529,675)

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

5.

Flood Risk Insurance: A Micro-Economic Foundation

Number of pages: 35 Posted: 15 Sep 2022
Tim J. Boonen, Wing Fung Chong and Mario Ghossoub
University of Amsterdam, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Waterloo
Downloads 57 (547,233)

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Climate change, flood risk, spatial diversification, Pareto optimality, layer-type 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 42 (623,199)
Citation 1

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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 - Red McCombs School of Business
Downloads 39 (634,575)
Citation 2

Abstract:

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8.

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

Number of pages: 22 Posted: 13 Jan 2020
Cass Business School, City, University of London, The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Essex
Downloads 36 (652,486)

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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 10 (862,645)

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