Chengguo Weng
University of Waterloo
RESEARCH
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.
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

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

Zhang, J., Tan, K.S., Weng, C. (2019+). Optimal index insurance design. ASTIN Bulletin 49(2), 491523.

It is one of the four papers recommended by the Casualty Actuarial Society (CAS)’s 20192020 Charles A. Hachemeister Prize committee for valuable reading by actuaries. The four papers along with the Charles A. Hachemeister Prize paper were selected from all 2019 ASTIN Bulletin or ASTIN or AFIR Colloquium paper(s) based on several criteria but with emphasis placed on the paper’s impact for North American actuaries and its practicality of application; Click Here for an official announcement by CAS.


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), 624645.

Zhuang, S. C., Weng, C., Tan, K.S., Assa, H., (2015). Marginal indemnification function formulation for optimal reinsurance. Insurance: Mathematics and Economics 67, 6576.

Tan, K.S., Weng, C., (2014). Empirical approach for optimal reinsurance design. North American Actuarial Journal 18(2), 315342.

Weng, C., (2013). Constant proportion portfolio insurance under regime switching exponential Lévy process. Insurance: Mathematics and Economics 52(3), 508521.

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), 655675.

Cai, J., Tan, K.S., Weng, C., Zhang, Y., (2008). Optimal reinsurance under VaR and CTE risk measures. Insurance: Mathematics and Economics 43(1), 185196.