Pengyu Wei

University of Waterloo - Department of Statistics and Actuarial Science

Assistant Professor

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

Nanyang Technological University (NTU)

S3 B2-A28 Nanyang Avenue

Singapore, 639798

Singapore

SCHOLARLY PAPERS

8

DOWNLOADS

1,153

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.
Downloads 634 ( 62,160)
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 629 (62,024)
Citation 1

Abstract:

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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 5 (919,158)
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 134 (307,377)
Citation 2

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

3.

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 121 (331,537)

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

4.

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 96 (387,674)
Citation 3

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

5.

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 68 (473,541)

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6.

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 52 (538,219)
Citation 2

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7.

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 48 (556,770)

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

8.

Modeling Longevity and Disability with Generalized Autoregressive Score Models

Number of pages: 28
Yang Lu, Pengyu Wei and Mengyi Xu
Department of Maths & Statis, Concordia University, University of Waterloo - Department of Statistics and Actuarial Science and Purdue University
Downloads 0

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functional disability, mortality, score-driven autoregressive processes, generalized autoregressive score models, multi-state model