ARCHIVED NEWS

2021-06-9

[Conference Presentation] Dr. Cehnggou Weng presented a talk entitled "DSA Algorithms for Mortality Forecasting" on the 2021 Canadian Operational Research Society Annual Conference, on June 9, 2021.

2021-05-31

[Seminar] Dr. Chenggou Weng presented a talk entitled "Common Mortality Trend Model and
Mortality Prediction" at Longevity Risk Management and Quantitative Analysis Workshop, hosted by the Central University of Finance and Economics, on May 31, 2021.

2021-03-8

[Seminar] Dr. Chenggou Weng presented a seminar entitled "DSA Algorithms for Mortality Forecasting" at the Actuarial Science Seminar, Department of Mathematics, University of Connecticut, on March 8th, 2021. Dr. Weng's talk is based on a joint paper with Dr. Liqun Diao, and Ph.D. candidate Yechao Meng.

2021-03-8

[Influential Papers] Dr. Chenggou Weng presented a seminar entitled "DSA Algorithms for Mortality Forecasting" at the Actuarial Science Seminar, Department of Mathematics, University of Connecticut, on March 8th, 2021. Dr. Weng's talk is based on a joint paper with Dr. Liqun Diao, and Ph.D. candidate Yechao Meng.

2020-06-14

[Influential Papers] Dr. Chengguo Weng's paper entitled Optimal reinsurance under VaR and CTE risk measures coauthored with Dr. Jun Cai, Dr. Ken Seng Tan, and Dr. Yi Zhang, is among the 50 most cited among papers ever published on the actuarial leading journal Insurance: Mathematics and Economics (IME), as of June 2020. The paper is ranked at the 31st place. The same paper is also among the 50 most cited IME papers in the last two years and ranked at 37th place on the list. Dr. Chengguo Weng's other paper entitled Marginal Indemnification Function formulation for optimal reinsurance coauthored with Dr. Zhuang, Dr. Tan, and Dr. Assa, is also among the 50 most cited IME papers in the last two years and ranked at 23rd place on the list. The above information is released by CitEc (stands for Citations in Economics) that provides citation analysis for documents distributed in the RePEc digital library. The IME list can be found by clicking Here.

2020-06-14

[Student Award] Congratulate Mr. Yechao Meng, a Ph.D. student under the joint supervision of Dr. Chengguo Weng and Dr. Liqun Diao, for being selected as one of the SOA 2020-2021 James C. Hickman Scholars. Each selected Hickman Scholar will receive a $20,000 stipend for the 2020-2021 academic year and the award is renewable up to four times. The receipts were chosen from a significant number of highly qualified applicants currently in (or applying to) actuarial science (or related field) doctoral programs in the United States or Canada. Recipients have made good progress toward, or have already attained, an actuarial designation, such as associated (ASA) or fellow (FSA). Click Here for an official description of the Hickman Scholar program.

2019-11-30

[Conference Presentation] Dr. Chengguo Weng will present a talk entitled "When does the 1/N rule work?" on the 2019 Canadian Mathematical Society Winter Meeting to be held in Toronto during December 6-9, 2019. Dr. Weng's talk is based on a joint work with his former Ph.D. Danqiao Guo (co-supervised with Dr. Tony Wirjanto), Dr. Phelim Boyle and Dr. Tony Wirjanto. In this work, a ``1/N favorability index" is proposed to measure how favorable a market is to holding a 1/N portfolio. This index reflects the extent of difficulty for an optimized portfolio to outperform the 1/N portfolio in a specific market. The study implies that the reported good performance of the 1/N portfolio in the US equity market can be partially attributed to the long-run bullish trend in the market which gives rise to the high favorability of the market to the 1/N portfolio. Click Here for the abstract.

2019-10-17

[Conference Presentation] Ph.D. student Yechao Meng will present on the first Waterloo Student Conference in Statistics, Actuarial Science and Finance to be held in at Waterloo on the main campus, during October 18-19, 2019. Yechao's talk is based on a recent joint work with Dr. Liqun Diao and Dr. Chengguo Weng on longevity rate prediction. In this work, a Deletion-Substitution-Addition (DSA) algorithm is developed for an enhanced prediction performance of mortality rates. Click Here for the abstract.

2019-10-17

[Conference Presentation] Master student Ruihong Jiang will present on the first Waterloo Student Conference in Statistics, Actuarial Science and Finance to be held in at Waterloo on the main campus, during October 18-19, 2019. Ruihong's talk is about stock market efficiency regarding the newly released Actuaries Climate Index (ACI) and how the ACI can be used for constructing profitable portfolios of stocks in relevant sectors. Ruihong's thesis research is under the supervision of Dr. Chengguo Weng. Click Here for the abstract.

2019-08-05

[Conference Presentation] Dr. Chengguo Weng organized an invited session entitled "Predictive Methods in Insurance and Finance" for the 4th ICSA – Canada Chapter Symposium to held on Aug 9-11, 2019, at Kingston, Ontario, Canada. The speakers and talks of the session include:

Guojun Gan, University of Connecticut, Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets
Chengguo Weng, University of Waterloo, DSA Algorithms for Mortality Forecasting
Hong Li, University of Manitoba, Gompertz Law Revisited: Forecasting Mortality in a Multi-Factor
Jiandong Ren, Western University, Analysis of a Multivariate Compound Loss Model

2019-06-30

[Conference Presentation] Dr. Chengguo Weng will present a talk entitled "When does the 1/N rule work?" on the 2019 Actuarial Research Conference to be held in Indianapolis, USA, during August 15-17, 2019. Dr. Weng's talk is based on a joint work with his former Danqiao Guo (co-supervised with Dr. Tony Wirjanto), Dr. Phelim Boyle and Dr. Tony Wirjanto. In this work, a ``1/N favorability index" is proposed to measure how favorable a market is to holding a 1/N portfolio. This index reflects the extent of difficulty for an optimized portfolio to outperform the 1/N portfolio in a specific market. The study implies that the reported good performance of the 1/N portfolio in the US equity market can be partially attributed to the long-run bullish trend in the market which gives rise to the high favorability of the market to the 1/N portfolio. Click Here for the abstract.

2019-06-14

[Conference Presentation] Ph.D. student Yechao Meng will present on the 2019 Actuarial Research Conference to be held in Indianapolis, USA, during August 15-17, 2019. Yechao's talk is based on a recent joint work with Dr. Liqun Diao and Dr. Chengguo Weng on longevity rate prediction. In this work, a Deletion-Substitution-Addition (DSA) algorithm is developed for an enhanced prediction performance of mortality rates. Click Here for the abstract.

2019-06-14

[Conference Presentation] Master student Ruihong Jiang will present on the 2019 Actuarial Research Conference to be held in Indianapolis, USA, during August 15-17, 2019. Ruihong's talk is about stock market efficiency regarding the newly released Actuaries Climate Index (ACI) and how the ACI can be used for constructing profitable portfolios of stocks in relevant sectors. Ruihong's thesis research is under the supervision of Dr. Chengguo Weng. Click Here for the abstract.

2019-06-04

[Student Defense] Ph.D. student Zhiyi (Joey) Shen will defend his thesis on July 23, 2019. Dr. Chengguo Weng is the supervisor of Joey's thesis. The thesis is entitled "Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression".

2019-06-03

[Student Defense] Ph.D. student Danqiao Guo will defend her thesis on June 24, 2019. Danqiao's thesis, entitled "A Statistical Response to Challenges in Vast Portfolio Selection", is under the joint supervision of Dr. Tony Wirjanto and Dr. Chengguo Weng.

2019-04-01

[New Article] A new article co-authored by Dr. Chengguo Weng, with Danqiao Guo, Dr. Phelim Boyle. and Dr. Tony Wirjanto, entitled "Age matters" is posted to www.ssrn.com. This paper documents a significant relationship between stock age and returns since 1977. The age effect is shown to be more significant than the well-known size effect. Click SSRN to download.

2019-04-01

[Conference News] Dr. Chengguo Weng organized an invited session "Predictive methods in insurance and finance" for the ICSA-Canada Chapter 2019 Symposium , August 9-11, 2019, Queen's University, Kingston, Ontario, Canada. Dr. Weng will also speak over the invited session.

2019-06-04

[Conference News] Dr. Chengguo Weng will present on the SIAM Conference on Financial Mathematics & Engineering (FM19), June 5th, 2019. Dr. Weng's talk is on a joint work with Danqiao Guo, Phelim Boyle, and Tony Wirjanto, with a title of "Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization".

2019-02-23

[Conference News] The 2019 Risk Analytics Symposium organized by the Department of Mathematics, UIUC, will be held on May 16, 2019, in Chicago. Dr. Chengguo Weng serves on the scientific committee and plans to attend the symposium. Here is the link of the symposium website: https://math.illinois.edu/illinois-risk-lab/risk-analytics-symposium

2019-02-17

[Travel] Dr. Weng will visit the College of Business, University of Nebraska-Lincoln, on March 8th, 2019, and give a talk entitled "Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization".

2019-12-01

[Travel] Dr. Weng will visit the Department of Statistics and Actuarial Science, Hong Kong University, on February 27 and give a talk entitled "Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization".

2018-12-01

[Travel] Dr. Weng will visit Sun Yat-Sen Univerity on February 24 - 26, and give a talk entitled "Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization".

2018-12-01

[Travel] Dr. Weng will teach a short course and talk over a research workshop during February 19-25 in the city of Surabaya, Indonesia.

2018-12-01

[Conference Attendence] Dr. Weng will attend the AI Can2018, the 1st Annual Meeting of the Pan-Canadian AI Strategy on December 3, 2018, in Montreal.

2018-04-22

[Conference Presentation by Student] Ph.D. student Zhiyi Joey Shen supervised by Dr. Chengguo Weng is selected to present his thesis work ``Pricing Bounds and Bang-bang Analysis of the Polaris Variable Annuities" at the 10th World Congress of The Bachelier Finance Society to be held on 16-20 July 2018, Dublin, Ireland. Here is the conference website: http://bacheliercongress2018.com/

2018-04-22

[Conference Presentation by Student] Ph.D. student Danqiao Guo (jointly supervised by Dr. Chengguo Weng and Dr. Tony Wirjanto) is selected to present her thesis work ``Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization" at the 2018 Annual Meeting of the Financial Management Association International to be held in San Diego, California, USA, on 10-13 October 2018. Here is the conference website: http://www.fma.org/san-diego

2018-05-06

[Student News] Ph.D. candidate Jingong Zhang, jointly supervised by Dr. Chengguo Weng and Dr. Ken Seng Tan, has accepted a tenure-track faculty position from Nanyang Technological University (NTU), a top university in Singapore. Jingong will join NTU after his external thesis defense.

2018-05-06

[Student Thesis Defense] Ph.D. candidate Jingong Zhang, jointly supervised by Dr. Chengguo Weng and Dr. Ken Seng Tan, will take the external thesis examination at 9:30-12:30 on June 6th, 2018. The thesis is entitled ``Risk Management with Basis Risk".

2018-04-22

[Conference Presentation by Student] Ph.D. student Danqiao Guo (jointly supervised with Dr. Chengguo Weng and Dr. Tony Wirjanto) will give a presentation in an invited session of the 2nd International Conference on Econometrics and Statistics to held in Hong Kong, China, on 19-21 June 2018. Danqiao will present her thesis work ``Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization" at the conference. Here is the conference website: http://cmstatistics.org/EcoSta2018/

2018-04-22

[Conference Participation] Dr. Chengguo Weng will participate the Data Science and Predictive Analytics Academic-Industry Partnering Forum organized by the Department of Statistics and Actuarial Science to be held on Friday, April 27, in the M3 building at the campus of University of Waterloo. The aim of this event is to connect researchers with industry partners and foster relationships and collaborate on projects that are of mutual interest. Click here for the forum website. Click here for the slides which I will talk over.

2018-04-04

[Student Thesis Proposal News] Ph.D. student Danqiao Guo supervised by Dr. Tony Wirjanto and Dr. Chengguo Weng will defend her thesis proposal at 1:45pm-4: 45 pm on Thursday, April 19. The committee for Danqiao's thesis comprises Dr. Phelim Boyle, Dr. Ben Feng, and the two supervisors. Danqiao is working on vast portfolio selection problems. Her thesis proposal is entitled with "A Statistical Response to Challenges in Vast Portfolio Selection". Her thesis work has led to three working papers which are all posted on SSRN page https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2682401

2017-11-11

[Conference Participation] Dr. Chengguo Weng will attend the 10th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2017), at the University of London, UK, 16-18 December 2017. Dr. Weng will present a talk entitled "Enhanced Sharpe ratio via eigen portfolios selection", which is a project coauthored with Danqiao Guo, Phelim Boyle, Tony Wirjanto. Here is the link of the conference website: http://cmstatistics.org/CMStatistics2017/index.php

2017-05-06

[Conference News] Dr. Chengguo Weng is co-organizing the Advances in Predictive Analytics Conference to be held on December 1 and 2, 2017, Waterloo, Canada. Please visit www.uwaterloo.ca/apa for more information. Selected papers presented at the conference will be considered for publication in a special issue of the North American Actuarial Journal subject to the normal refereeing process. Click here to download a copy of Call for Papers.

2017-08-016

[Conference Participation] Dr. Chengguo Weng will attend Predictive Analytics Symposium organized by the Society of Actuaries to be held on September 14-15, 2017 in Chicago, USA.

2017-08-29

[Conference News] Dr. Chengguo Weng is co-organizing The 6th Canadian Symposium on Teaching and Research Excellence (CanSTARE VI) to be held on September 2&3, 2017, in the campus of University of Waterloo.

2017-08-04

[Conference Participation] Dr. Chengguo Weng will attend 2017 ARIA Annual Meeting on August 6-9, 2017, to be held in Toronto Marriott Downtown Eaton Centre Hotel, Toronto, Canada.

2017-08-04

[Conference Participation] Dr. Chengguo Weng had delivered a research talk entitled "Regression Tree Credibility Model" on 2017 Actuarial Research Conference held in Atlanta, Georgia, July 26–July 29, 2017.

2017-08-04

[Research Presentation] Dr. Chengguo Weng had delivered a research talk entitled "Improved Global Minimum Variance Portfolio via Tail Eigenvalues Amplification" at School of Mathematics, Zhejiang University, on June 24, 2017.

2017-05-24

[Research Presentation] Dr. Chengguo Weng will give a colloquium talk on "Regression Tree Credibility Model" at the Department of Statistical and Actuarial Sciences, Western University, London, Canada, 3:30-4: 30 pm, May 25, 2017. Click here for more details.

2017-04-01

[Travel News] Dr. Chengguo Weng will visit Shanghai, Hangzhou, Ningbo, Beijing, and Changchun during June and July 2017 for academic collaboration and industrial partnership.

2017-03-25

[Conference Participation] Dr. Chengguo Weng will speak on Conference on Frontiers of Big Data and Statistical Sciences held during Aug. 18-20, 2017 in Vancouver, Canada.