Current Ph.D. Students and Postdoctoral Fellow

  • Ruihong Jiang, Ph.D. student (co-supervised with David Saunders), started in January 2020. The intended research area is reinforcement learning to the fields of insurance and finance. 

  • Xiaoxue Deng, Ph.D. student (co-supervised with Ken Seng Tan), started in September 2018. Xiaoxue is working on sample average method for stochastic optimization problems arising in insurance and finance. 


  • Yechao Meng,  Ph.D. student (co-supervised with Dr. Liqun Diao), started in May 2018. Yechao is working machine learning methods for the forecasting of human mortality.

  • Xiaole Xue,  Postdoctoral Fellow (co-supervised with Dr. Alexander Schield), started in Feb 2019. Xiaole is working on optimal control problems in finance.

Former Postdoctoral Fellow
  • Zhihan Gao

    • Sep 2015 - Aug 2016

    • Current employment: Senior Data Scientist, Royal Bank of Canada

Former Ph.D. Students


  • Zhiyi (Joey) Shen Ph.D. student. Click here for his homepage. Joey is working on the Least Square Monte Carol simulation methods for optimal control problems and their applications in finance and insurance. 

    • Thesis title: Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression        

    • Click Here to Download

    • Graduation year: 2019

  • Danqiao Guo (co-supervised with Dr. Tony Wirjanto). 

    • Thesis title: A Statistical Response to Challenges in Vast Portfolio Selection         
      Click Here to Download

    • Graduation year: 2019

    • Current employment: Point 72, Singapore

  • Hongcan Lin (co-supervised with Dr. David Saunders)

    • Thesis title: Applications of Stochastic Control to Portfolio Selection Problems
      Click Here to Download

    • Graduation year: 2018

    • Current employment: TD Bank, Toronto, Canada

  • Jingong Zhang (co-supervised with Dr. Ken Seng Tan) 

    • Thesis title: Risk Management with Basis Risk
      Click Here to Download

    • Graduation year: 2018

    • Current employment: Assistant Professor, Nanyang Business School, Nanyang Technological University of Singapore 

  • Dezhao Han (co-supervised with Dr. Ken Seng Tan) 

    • Thesis title: Sparse Models in High-Dimensional Dependence Modelling and Index Tracking
      Click Here to Download

    • Graduation year: 2016

    • Current employment: TD Bank, Toronto, Canada

  • Chao Qiu  (co-supervised with Mary Hardy), under my supervision for about 1.5 years

    • Graduation year: 2012

    • Thesis title: Option Pricing under Regime-Switching Models and Hedging Analysis

Visiting Ph.D. Students
  • Peiqi Wang (from Tianjin University, Tianjin, China)

    • Visit Waterloo during Sep. 2019 -  Aug. 2020

    • Work on optimal control problems in insurance and finance

  • Ying Zou (from Zhejiang University, Hangzhou, China)

    • Visit Waterloo during Oct. 2018 -  Sep. 2019

    • Work on financial econometrics


  • Chuiliu Kong (from Shandong University, Jinan, China)

    • Visit Waterloo during Sep. 2017 - Aug. 2018

    • Work on optimal control with partial information


  • Xiaole Xue (from Shandong University, Jinan, China)

    • Visit Waterloo during Sep. 2016 - Aug. 2017

    • Work on actuarial/finance applications of backward stochastic differential equations


  • Haoze Sun (from Zhejiang University, Hangzhou, China)

    • Visit Waterloo during Nov. 2015 - Apr. 2016

    • Work on statistical inference for empirical optimization models in finance and insurance


  • Yunzhou Zhou (from Zhejiang University, Hangzhou, China)

    • Visit Waterloo during Nov. 2012 - Jun. 2013

    • Work on the topic of optimal reinsurance design

Current and Former Master Students
  • 2019, Ruihong Jiang, Climate change risk in stock markets

  • 2019, Zixin Xu,  Subspace mean–variance portfolio: A solution to “Markowitz optimization enigma"?

  • 2018, Hailin Yang, A review: cyber risk management and cyber insurance

  • 2017, Yechao Meng, Residual estimation error in capital adequacy

  • 2017, Shuying Yan, Regression credibility model

  • 2016, Di Ai, Matching quantiles estimation and index tracking

  • 2016, Tianshi Yao, Dynamic longevity hedging with q-forwards and CBD model

  • 2016, Chenjing Cui, A hypothesis test for threshold selection in peak-over-threshold extreme value models

  • 2016, Tiantian Yang, Hedging longevity/mortality risk with mortality immunization

  • 2016, Xinle Sheng, Estimation of operational risk capital

  • 2016, Yiming Wang, Inflation forecasting with ARIMA and GARCH models

  • 2015, Bing Wang, Optimal reinsurance design under expectile risk measure

  • 2015, Chi Zhang, Portfolio selection with expectiles

  • 2015, Ya Yu, Robust portfolio selection in estimation errors

  • 2015, Yi Zhang, Pricing California earthquake catastrophe bond by Gamma approximation

  • 2014, Ning Chang, An empirical optimal reinsurance under Dutch premium principle

  • 2014, Jing Lin, Minimize tracking error using nonnegative-lasso

  • 2014, Hongcan Lin, CPPI with regime switching multiplier

  • 2014, Guanglin Chen, Empirical optimal reinsurance model

  • 2013, Siying Wei, A non-parametric approach for optimal sparse mean-CVaR portfolio selection

  • 2013, Wenrui Chen, Discrete-time CPPI with proportional trading cost and exposure cap

  • 2013, Ye Dong, Dependence modelling using vine copulas

  • 2013, Wanxuan Wang, Two tests on time-varying dependence structure

  • 2013, Wenjing Miao, Discrete CPPI strategy with regime switching

  • 2013, Rui Xu, Life contingent option pricing under double-exponential jump-diffusion models

  • 2013, Anderson St. Hill, Modeling insurance claims by combining mixture Erlang and the generalized Pareto distributions

  • 2012, Ryan Samaratunga, Uncovering the value of private reinsurance using a federal-provincial reserve fund process for crop insurance in Canada

  • 2012, Tianmeng Jiang, Sensitivity analysis for an investment-consumption optimization problem

  • 2012, Hanhui Xie, Effectiveness of discrete time CPPI under skewed distributions

  • 2012, Yan Wang, Discrete CPPI and adaptive CPPI with jump diffusion

  • 2012, Qiang Fu, Adaptive discrete-time and continuous-time CPPI method with proportional transaction costs