Zhiyi Shen

University of Waterloo

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

145

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Ideas:
“  I am currently working on the Least Square Monte Carlo method for general stochastic control problems.  ”

Scholarly Papers (3)

1.

Pricing Bounds and Bang-Bang Analysis of the Polaris Variable Annuities

Number of pages: 44 Posted: 25 Oct 2017 Last Revised: 15 Jul 2019
Zhiyi Shen and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 87 (300,742)
Citation 1

Abstract:

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Variable Annuities; Bang-bang Solution; Least Squares Monte Carlo; Sieve Estimation

2.

Nonparametric Inference for VaR, CTE, and Expectile with High-order Precision

The North American Actuarial Journal, In press.
Number of pages: 34 Posted: 29 Jan 2019 Last Revised: 10 May 2019
Zhiyi Shen, Yukun Liu and Chengguo Weng
University of Waterloo, School of Statistics, East China Normal University and University of Waterloo
Downloads 35 (461,332)

Abstract:

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Empirical Likelihood, Risk Measure Estimation, Value-at-Risk, Conditional Tail Expectation, Expectile

3.

A Backward Simulation Method for Stochastic Optimal Control Problems

Number of pages: 48 Posted: 13 Feb 2019
Zhiyi Shen and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 23 (523,223)
Citation 1

Abstract:

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Stochastic Optimal Control, Monte Carlo Simulation, Nonparametric Sieve Estimation