Pengyu Wei

Pengyu is an Assistant Professor in Nanyang Business School at Nanyang Technological University, Singapore. He obtained his DPhil from the University of Oxford in 2018. Prior to joining NBS, he taught at the University of Waterloo (Canada) and the University of New South Wales (Australia).

Research Interests

• Actuarial Science
• Insurance Economics
• Quantitative Finance
• Risk Management

Education

• University of OxfordUniversity of Oxford
  DPhil, Mathematical and Computational Finance
• University of WaterlooUniversity of Waterloo
  Visiting Student, Actuarial Science
• Peking UniversityPeking University
  Bachelor of Economics, Economics
• Peking UniversityPeking University
  Bachelor of Science (BS), Statistics

Current Grants

• Optimal dividend strategies under weighted discounting: resolving time-inconsistency from present bias, group diversity, and uncertain discount rates

Publications

Optimal dynamic reinsurance under heterogeneous beliefs and CRRA utility, (with Hui Meng, Wanlu Zhang, Shengchao Zhuang), SIAM Journal on Financial Mathematics. Forthcoming

Robust consumption and portfolio choice with derivatives trading, (with Charles Yang and Yi Zhuang), European Journal of Operational Research. Forthcoming.

Annuity and insurance choice under habit formation, (with Phelim Boyle, Ken Seng Tan, Shengchao Zhuang), Insurance: Mathematics and Economics. 2022; 105: 211-237.

Demand for non-life insurance under habit formation, (with Wenyuan Li and Ken Seng Tan), Insurance: Mathematics and Economics. 2021; 101: 38-54.

Risk management with expected shortfall, Mathematics and Financial Economics. 2021; 15: 847–883.

A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty, (with Michael Sherris), North American Actuarial Journal. 2021; 25(1): 17-39.

Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle, (with Ken Seng Tan, Wei Wei, Shengchao Zhuang), European Journal of Operational Research. 2020; 282(1): 345-362.

Derivatives trading for insurers, (with Xiaole Xue, Chengguo Weng), Insurance: Mathematics and Economics. 2019; 84: 40-53.

Risk management with weighted VaR, Mathematical Finance. 2018; 28(4): 1020–1060.

Companies

• Assistant Professor Nanyang Business School (2021)
• Assistant Professor University of Waterloo (2019 — 2021)
• Senior Research Associate UNSW Business School (2018 — 2019)
• Visiting Research Associate University of Waterloo (2018 — 2018)
• Tutor University of Oxford (2016 — 2017)
• Teaching Assistant University of Oxford (2014 — 2016)
• Data Scientist Financial Data Technologies, Ltd. (FDT) (2015 — 2015)
• Operations and Market Research Analyst Intel (2013 — 2013)