Dr. Weng's research interests span a broad spectrum of scientific disciplines from actuarial science, finance to probability, statistics, and stochastic optimization. He is interested in both theoretical and applied research topics. His research team is currently working on the following programs:
Applications of Least squares Monte Carlo simulation for insurance and finance problems;
Portfolio selection in high dimensional settings;
Martingale approach for portfolio optimization;
Risk management in the presence of basis risk;
Recently Dr. Weng also developed an interest in predictive analytics for insurance applications and is currently working closely with some insurance companies for applied projects. Dr. Weng also provided consulting services to the insurance industry.
See my google scholar webpage by clicking here.