Pengyu Wei

University of Waterloo - Department of Statistics and Actuarial Science

Assistant Professor

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

Senior Research Associate

Level 6, Central Lobby (enter via East Lobby)

Australian School of Business Building

Sydney, New South Wales NSW 2052

Australia

University of Oxford - Oxford-Man Institute of Quantitative Finance

Associate Member

University of Oxford, Eagle House

Walton Well Road

Oxford, OX2 6ED

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS

1,135

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.
Downloads 623 ( 55,186)
Citation 3

Risk Management with Weighted VaR

Number of pages: 62 Posted: 17 Apr 2017 Last Revised: 22 Dec 2017
Pengyu Wei
University of Waterloo - Department of Statistics and Actuarial Science
Downloads 623 (54,503)
Citation 1

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portfolio selection, risk measure, weighted Value-at-Risk, Value-at-Risk, Expected Shortfall, portfolio insurance, regulatory capital arbitrage

Risk Management with Weighted VAR

Mathematical Finance, Vol. 28, Issue 4, pp. 1020-1060, 2018
Number of pages: 41 Posted: 17 Sep 2018
Pengyu Wei
University of Waterloo - Department of Statistics and Actuarial Science
Downloads 0
Citation 2
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expected shortfall, portfolio insurance, portfolio selection, regulatory capital arbitrage, risk measure, value‐at‐risk, weighted value‐at‐risk

2.

Equilibrium Analysis of Expected Shortfall

Number of pages: 40 Posted: 24 Apr 2017
Pengyu Wei
University of Waterloo - Department of Statistics and Actuarial Science
Downloads 129 (279,415)
Citation 2

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portfolio selection, risk measure, value-at-risk, expected shortfall, general equilibrium, asset pricing

3.

Optimal Dynamic Reinsurance Policies Under Mean – CVaR – A Generalized Denneberg’s Absolute Deviation Principle

Number of pages: 31 Posted: 14 Mar 2018
University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 90 (357,238)
Citation 3

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Dynamical Reinsurance, Mean-CVaR Premium Principle, Denneberg’s Absolute Deviation Principle, Ruin Probability

4.

Annuity and Insurance Choice Under Habit Formation

Number of pages: 44 Posted: 01 May 2020
Wilfrid Laurier University - School of Business & Economics, University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 75 (397,941)

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Habit Formation; Life-Cycle Model; Life Insurance; Annuity

5.

Robust Portfolio Choice and Consumption with Derivative Trading Under Stochastic Volatility and Jumps

Number of pages: 42 Posted: 28 Jul 2018
Pengyu Wei and Yi Zhuang
University of Waterloo - Department of Statistics and Actuarial Science and Shandong University
Downloads 71 (410,231)

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Robust Control, Ambiguity, Portfolio Choice, Recursive Preferences, Stochastic Volatility, Jump-Diffusions Model, Model Completeness, Utility Loss

6.

How Does Consumption Habit Affect the Household's Demand for Life-Contingent Claims?

Number of pages: 45 Posted: 31 Jul 2018
University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 63 (436,751)

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7.

A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty

Number of pages: 41 Posted: 07 Sep 2019
Michael Sherris and Pengyu Wei
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 43 (516,547)
Citation 2

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8.

Derivatives Trading for Insurers

Insurance: Mathematics and Economics, Vol. 84, 40-53, 2019
Number of pages: 30 Posted: 22 Jun 2018 Last Revised: 10 May 2019
Xiaole Xue, Pengyu Wei and Chengguo Weng
Shandong University, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo
Downloads 41 (525,917)

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Derivatives trading, HJB equations, Investment-reinsurance, Stochastic control, Stochastic volatility