In the publication list below, authorship by graduate students and postdoctoral fellows are respectively marked by (*) and (**). A pre-published version can be found for most of my recent papers on my SSRN PAGE

(Most preprints can be distributed at request)
  • Jiang R., Weng, C. (2020). Climate change risk and agriculture-related stocks. SSRN

  • Shen, Z.*, Weng, C. (2020). A backward simulation method for stochastic optimal control problems. arXiv

  • Guo, D.*, Phelim B., Weng, C., Wirjanto, T.S. (2020). Age matters. SSRN

  • Guo, D.*, Phelim B., Weng, C., Wirjanto, T.S. (2019). When does the 1/N rule work? SSRN

  • Guo, D.*, Phelim B., Weng, C., Wirjanto, T.S. (2019). Eigen portfolio selection: A robust approach to Sharpe ratio maximization. SSRN

  • Guo, D.*, Weng, C., Wirjanto, T.S. (2018). Sample eigenvalues adjustment for portfolio performance improvement under factor models.

  • Zhang, J.*, Tan, K.S., Weng, C. (2019). Optimal dynamic longevity hedge with basis risk. SSRN

  • Neuman, E., Schied, A., Weng.,C., Xue, X. (2020+). A central bank strategy for defending a currency target zone. Accepted by Systems & Control Letters. SSRN

  • Diao, L., Meng, Y., Weng, C. (2020+). A DSA algorithm for mortality forecasting. Accepted by North American Actuarial Journal. SSRN

  • Lin, H.*, Saunders, D., Weng, C. (2020+). Mean-expectile portfolio selection. Applied Mathematics and Optimization. In press.

  • Lin, H.*, Saunders, D., Weng, C. (2020). BSDE approach to utility maximization with square-root factor processes. Operations Research Letters 48(2), 130-135. 

  • Shen, Z.*, Weng, C. (2020). Pricing bounds and bang-bang analysis of the Polaris variable annuities.   Quantitative Finance 20(1), 147-171.

  • Shen, Z.*, Liu, Y., Weng, C. (2019). Nonparametric inference for  VaR, CTE and expectile with high-order precision. The North American Actuarial Journal 23(3), 364-385. ​​

  • Lin, H.*, Saunders, D., Weng, C. (2019). Portfolio optimization with performance ratios. International Journal of Theoretical and Applied Finance 22(5), 1-38. 

  • Chen S., Liu, Y., Weng, C., (2019). Dynamic risk-sharing game and reinsurance contract design. Insurance: Mathematics and Economics 86, 216-231. 

  • Zhang, J., Tan, K.S., Weng, C. (2019). Index insurance design. ASTIN Bulletin 49(2), 491-523.

  • Diao, L., Weng, C. (2019). Regression tree credibility model. The North American Actuarial Journal 23(2), 169-196. 

  • Xue, X.*, Wei, P.*, Weng, C. (2019). Derivatives trading for insurers. Insurance: Mathematics and Economics 84, 40-53. 

  • Xue, X.*, Zhang, J.*, Weng, C. (2019). Mean-variance hedging with basis risk. Applied Stochastic Models in Business and Industry 35(3), 704-716.

  • Wu, H., Weng, C., Zeng, Y. (2018). Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions. OR Spectrum 40(2), 541–582

  • Zhang, J.*, Tan, K.S., Weng, C. (2017). Optimal hedging with basis risk under mean-variance criterion. Insurance: Mathematics and Economics 75, 1-15.

  • Weng, C., Zhuang, S.C.**, (2017). CDF formulation for solving an optimal reinsurance problem. Scandinavian Actuarial Journal 2017 (5), 395-418. 

  • Han, D.*, Tan, K.S., Weng, C., (2017). Vine copula models with GLM and sparsity. Communications in Statistics-Theory and Methods 46(13), 6358-6381.

  • Lin, H.*, Saunders, D., Weng, C., (2017). Optimal investment strategies for participating contracts. Insurance: Mathematics and Economics 73, 137-155. 

  • Weng, C.,  Porth, L., Tan K.S., and Samaratunga, R.*, (2017). Modelling the sustainability of the Canadian crop insurance program: A reserve fund process under a public-private partnership model. Geneva Papers on Risk and Insurance - Issues and Practices 42(2), 226-246.  

  • Sun, H.*, Weng, C., Zhang, Y., (2017). Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework. Insurance: Mathematics and Economics 72, 197-214.

  • Zhao, H., Weng, C., Shen, Y., Zeng, Y., (2016). Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. Science China Mathematics 60(2), 317-344.

  • Cai, J., Weng, C., (2016). Optimal reinsurance with expectile. Scandinavian Actuarial Journal 2016(7), 624-645.

  • Zhuang, S. C., Weng, C., Tan, K.S., Assa, H., (2015). Marginal indemnification function formulation for optimal reinsurance. Insurance: Mathematics and Economics 67, 65-76.

  • Zhu, Y.*, Chi, Y., Weng, C., (2014). Multivariate reinsurance designs for minimizing an insurer’s capital requirement. Insurance: Mathematics and Economics 59, 144-155.

  • Tan, K.S., Weng, C., (2014). Empirical approach for optimal reinsurance design. North American Actuarial Journal 18(2), 315-342.

  • Huang, W., Weng, C., Zhang, Y., (2014). Multivariate risk models under heavy-tailed risks. Applied Stochastic Models in Business and Industry 30(3), 341-360.

  • Cong, J.*, Tan, K.S., Weng, C., (2014). Conditional value-at-risk-based optimal partial hedging. The Journal of Risk 16(3), 49-83.

  • Huang S.-H., Pang, T.-X., Weng, C., (2014). Limit theory for moderate deviations from a unit root with possibly heavy-tailed innovations. Methodology and Computing in Applied Probability 16(1), 187-206.

  • Weng, C., (2013). Constant proportion portfolio insurance under regime switching exponential Lévy process. Insurance: Mathematics and Economics 52(3), 508-521.

  • Chi, Y., Weng, C., (2013). Optimal reinsurance subject to Vajda condition. Insurance: Mathematics and Economics 53(1), 179-189.

  • Porth, L., Tan, K.S., Weng, C., (2013). Optimal reinsurance analysis from a crop insurer’s perspective. Agricultural Finance Review 73(2), 310-328.

  • Weng, C., Zhang, Y., Tan, K.S., (2013). Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications. Methodology and Computing in Applied Probability 15(3), 655-682.

  • Cong, J.*, Tan, K.S., Weng, C., (2013). VaR-based optimal partial hedging. ASTIN Bulletin 43(3), 271-299.

  • Weng, C., Zhang, Y., (2012). Characterization of multivariate heavy-tailed distribution families via copula.  Journal of Multivariate Analysis 106, 178-186.

  • Tan, K.S., Weng, C., (2012). Enhancing insurer value using reinsurance and Value-at-Risk criterion. The Geneva Risk and Insurance Review 37(1), 109-140.

  • Tan, K.S., Weng, C., Zhang, Y. (2011). Optimality of general reinsurance contracts under CTE risk measure. Insurance: Mathematics and Economics 49(2), 175-187.

2010 and earlier
  • Tan, K.S., Weng, C., Zhang, Y., (2009). VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. North American Actuarial Journal 13(4), 450-482.

  • Weng, C., Zhang, Y., Tan, K.S., (2009). Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Scandinavian Actuarial Journal 2009(3), 205-218.

  • Zhang, Y., Shen, X.*, Weng, C., (2009). Approximation of the tail probability of randomly weighted sums and applications. Stochastic Process and their Applications 119(2), 655-675.

  • Cai, J., Tan, K.S., Weng, C., Zhang, Y., (2008). Optimal reinsurance under VaR and CTE risk measures. Insurance: Mathematics and Economics 43(1), 185-196.

  • Zhang, Y., Weng, C., (2006). An application of the α-power approximation in multiple life insurance. Insurance: Mathematics and Economics 38(1), 98-112.

  • Zhang, Y., Weng, C., (2006). On the correlation order. Statistics and Probability Letters 76, 1410-1416.

  • Zhang, Y., Lin, Z., Weng, C., (2006). Some limiting properties on the bounds of present value functions of a life insurance portfolio. Journal of Applied Probability 43(4), 1155-1164.

Unpublished (forever)​​
  • Weng, C., (2015). Developing Analytic Formulae of Risk and Reward Measures for Discrete-Time CPPI with Regime Switching and Transaction Cost, 28 pages. PDF

© 2019 by Chengguo Weng.  This website is updated on August 1st, 2020.

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