JOHNNY S.-H. LI PhD, FSA (Principal Investigator) - Johnny Li is a Professor in the Department of Statistics and Actuarial Science. He holds a PhD in Actuarial Science from the University of Waterloo and is a Fellow of the Society of Actuaries (FSA). He is a Co-Editor of the North American Actuarial Journal and was a member of the board of directors of the Asia-Pacific Risk and Insurance Association. He has made significant research contributions to the area of longevity risk. His research in this area has brought him several awards, including an Annual Prize from the North American Actuarial Journal, the Harold D. Skipper Best Paper Award from the Asia-Pacific Risk and Insurance Association, and the Edward A. Lew Award from the Society of Actuaries. Recently, he has joined Eckler’s Club Vita Canada as an advisor on the company’s modelling work for Canadian DB pension plans. Among others, he is now collaborating with the Society of Actuaries to analyze historical mortality improvements and with the Life and Longevity Markets Association to quantify effectiveness of standardized longevity hedges.
BEN FENG PhD, ASA, MAAA - Ben Feng is an Assistant Professor in the Department of Statistics and Actuarial Science. His research interest lies in the intersection between efficient simulation designs and nonlinear optimization, with focuses on financial and insurance applications. In particular, he has developed an efficient algorithm for Value at Risk optimization and proposed effective simulation design for catastrophe bond pricing and credit risk evaluation. He obtained his PhD in 2016 in the Department of Industrial Engineering and Management Sciences at Northwestern University. He has been a Hickman Scholar during his PhD and is currently an Associate of the Society of Actuaries (ASA) and a member of the American Academy of
ADAM KOLKIEWICZ PhD - Adam Kolkiewicz is an Associate Professor in the Department of Statistics and Actuarial Science. His research interests are primarily in the areas of statistics and financial mathematics. In statistics, he has focused on statistical tools for time series analysis and robust methods of estimation. In his research on financial risks, he has worked on valuation and hedging problems in the context of incomplete markets. Such situations typically arise in realistic models of asset prices, such as stochastic volatility models, or in insurance contracts that are linked to equity markets and provide some form of protection. Recently he has developed optimal methods of hedging in presence of basis risk. He has also done research on efficient computational methods for high-dimensional integration problems.
DAVID LANDRIAULT PhD, FSA, FCIA - David Landriault is a Professor in the Department of Statistics and Actuarial Science. He is currently the holder of a Canada Research Chair in Insurance Risk Processes. He is a Fellow of both the Society of Actuaries (SOA) and the Canadian Institute of Actuaries (CIA). Over his 10 years as an academic, he has published over 50 refereed publications in the top tier journals in the broad area of Actuarial Science and Applied Probability. Professor Landriault’s research areas of expertise include insurance risk theory, ruin theory and financial mathematics.
BIN LI PhD - Bin Li is an Assistant Professor in the Department of Statistics and Actuarial Science. Bin obtained his PhD in Applied Mathematics from the University of Iowa in May 2013. He has over ten refereed publications on top tier journals of actuarial science, applied probability, and financial mathematics.
LAURA MIDDLETON PhD - Laura Middleton is an Assistant Professor in the Department of Kinesiology. She obtained her PhD at Dalhousie University, and investigates the impact of physical activity on cognitive function and dementia. She is interested in the balance of risk of morbidity, increase longevity, and the idea of “compression of morbidity”. Her expertise will help the team explain the results from the predictive models for mortality and longevity risks. It will also help the team better understand how and why the mortality/morbidity of older people evolve, shedding light on how the age-pyramid may change in the future.
DAVID SAUNDERS PhD - David Saunders is an Associate Professor in the Department of Statistics and Actuarial Science. He is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing. He regularly serves as a consultant to the financial industry on the topics of credit risk and mathematical finance. Dr. Saunders holds a PhD in Mathematics from the University of Toronto.
KEN SENG TAN PhD, ASA, CERA - Ken Seng Tan, Sun Life Fellow in International Actuarial Science and Chief Actuarial Advisor of Risk Management, Economical Sustainability, and Actuarial Science Development in Indonesia (READI), and the Associate Director of the Waterloo Research Institute in Insurance, Securities and Quantitative finance, University of Waterloo. Formerly he held the Canada Research Chair Professor in Quantitative Risk Management (2005-2010). Professor Tan’s research interests include agricultural insurance, computational finance, stochastic mortality modelling, optimal reinsurance and quantitative risk management. He publishes frequently in leading actuarial, finance and mathematics journals including Management Science, Journal of Economic Dynamics and Control, Journal of Risk and Insurance, North American Actuarial Journal, Insurance: Mathematics and Economics, ASTIN Bulletin, etc. Dr. Tan has received several awards, including the 1996-97 Redington Prize, the NAAJ Annual Prizes 2001 and 2003, and the 2012 Charles A. Hachemeister Prize.
JASON THISTLETHWAITE PhD - Jason Thistlethwaite is an Assistant Professor in the School of Environment, Enterprise and Development and the Director of the Climate Change Adaptation Project. His research assesses the economic effects of climate change, natural disasters and extreme weather. He is specifically interested in measuring the local costs of extreme weather, and the viability of property insurance and disaster assistance as a means of reducing vulnerability in the era of climate change. His current research projects include an assessment of the insured costs associated with extreme weather in Canadian cities. He is currently working with Guy Carpenter (a reinsurance broker) and the insurance industry to incorporate climate change assumptions for changes in the frequency and intensity of precipitation into a hydrologicinsurance model. This process will help to assess the costs of extreme weather, and how they will be divided between property owners, insurers, and governments. In addition, he is conducting an examination of how municipal risktransfer
systems, specifically insurance and provincial and federal disaster assistance, can withstand the growing
costs of extreme weather.
RUODU WANG PhD - Dr. Ruodu Wang is Associate Professor in the Department of Statistics and Actuarial Science. He received his PhD in Mathematics from the Georgia Institute of Technology in the USA. His research interest lies mainly in Quantitative Risk Management, with particular focus on solvency, model uncertainty, market equilibria, risk measurement, dependence modelling, and risk aggregation. He has published more than 30 papers in leading academic journals in related fields, including the Annals of Applied Probability, the Annals of Statistics, Statistical Science, Mathematics of Operations Research, Mathematical Finance, and Finance and Stochastics. He holds editorial positions of leading academic journals in Actuarial Science, including Co-Editor of the European Actuarial Journal (since Aug 2016), and Co-Editor of ASTIN Bulletin-The Journal of the International Actuarial Association (starting Jan 2018). His research is currently funded by the Natural Sciences and Engineering Research Council of Canada.
CHENGGUO WENG PhD - Dr. Chengguo Weng is an Associate Professor of Actuarial Science at the University of Waterloo. He received a PhD degree in Actuarial Science from the University of Waterloo in 2009. His research interests span a broad spectrum of scientific disciplines including actuarial science, finance, probability, statistics and stochastic optimization. He is interested in both theoretical and applied research topics. Dr. Weng has published extensively on top actuarial journals including NAAJ, IME, SAJ, and ASTIN Bulletin. Dr. Weng’s research team is currently working on the following projects: optimal dynamic longevity hedge with basis risk, portfolio selection in high dimensional settings, least square Monte Carlo simulation, statistical inference for
stochastic optimization problems, and martingale approach for portfolio optimization. Recently, Dr. Chengguo Weng has also developed an interest in predictive analytics for insurance applications.
TONY WIRJANTO PhD - Tony Wirjanto is a Professor in the School of Accounting and Finance and the Department of Statistics and Actuarial Science. He received his PhD degree in Pure Mathematics (in the field of Differential Geometry and Complex Spaces) from Stanford University in 1990 and his PhD degree in Economics (in the field of Econometrics Theory and Statistics, with a minor in Finance) from Queen’s University in 1993. His primary research focuses on computational finance and financial econometrics, and his secondary research is in mathematical finance.
FAN YANG PhD - Fan Yang is an Assistant Professor in the Department of Statistics and Actuarial Science. Fan obtained her PhD in Applied Mathematical and Computational Sciences with concentration in Actuarial Science/Financial Mathematics from the University of Iowa in 2013. Before working at Waterloo, she was an Assistant Professor at Drake University, USA. Her research focuses on extreme value theory and its application in actuarial science and quantitative risk management. She has seven papers published in journals in actuarial science and statistics. She was a principal or co-investigator of two earlier SOA individual grants.