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  • Click Here for the Full List of my publications. 

  • A pre-published version can be found for most of my recent papers on my SSRN PAGE. 

Selected Preprints

  • Guo, D., Phelim B., Weng, C., Wirjanto, T.S. (2019). Age Matters.

  • Guo, D., Phelim B., Weng, C., Wirjanto, T.S. (2018). When does the 1/N rule work? 

  • Shen, Z., Weng, C. (2018). A backward simulation method for stochastic optimal control problems.

  • Guo, D., Phelim B., Weng, C., Wirjanto, T.S. (2018). Eigen portfolio selection: A robust approach to Sharpe ratio maximization.

  • Zhang, J., Tan, K.S., Weng, C. (2018). Optimal dynamic longevity hedge with basis risk.

 
Selected Papers​​​
 

  • Zhang, J., Tan, K.S., Weng, C. (2019+). Optimal index insurance design. ASTIN Bulletin. In press.

  • Diao, L., Weng, C. (2019+). Regression tree credibility model. The North American Actuarial Journal. In press.

  • 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.

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

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

  • Zhang, Y., Shen, X., Weng, C., (2009). Approximation of the tail probability of randomly weighted sums and applications. Stochastic Processes 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.

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