CV

Research Interests:  Insurance, Risk Measurement & Management, Decision Theory, Ambiguity and Model Uncertainty, Behavioral Economics, Quantitative Behavioral Finance, Mathematical Finance, Risk Theory

Professional Designations:  

  • Fellow of the Society of Actuaries (FSA)
  • Fellow of the Canadian Institute of Actuaries (FCIA)
  • Chartered Enterprise Risk Analyst (CERA)
  • Financial Risk Manager (FRM) - Certified by the Global Association of Risk Professionals

 

Academic Experience:

  • University of Waterloo - Department of Statistics and Actuarial Science - Associate Professor, with tenure (As of July 2022)
  • University of Waterloo - Department of Statistics and Actuarial Science - Assistant Professor (May 2017 - June 2022)
  • Concordia University - Department of Mathematics and Statistics - Affiliate Assistant Professor (As of Sept. 2016)
  • Imperial College London - Assistant Professor of Finance  (Aug. 2013 - Aug. 2016)
  • Université de Montréal - SSHRC Postdoctoral Fellow - Department of Economics  (Aug. 2011 - Jul. 2013)


Education:

  • University of Waterloo, Ph.D. - Actuarial Science  (2008 - 2011)
  • University of Michigan, M.S. - Mathematics  (2005 - 2006)
  • Institut d'Études Politiques de Paris (Sciences Po), Cycle International d'Études Politiques  (2004 - 2005)
  • Notre Dame University, B.S. - Actuarial Science - Summa Cum Laude  (2000 - 2004)

 

Grants:
  • MITACS Accelerate (2021-2022)
  • NSERC Discovery Grant (2018-2023), Natural Sciences and Engineering Research Council of Canada
  • Society of Actuaries / The Actuarial Foundation Individual Grant - Managing Model Uncertainty in Insurance-Linked Securities (with Enrico Biffis)


Honors and Awards:

  • Excellent Teaching Performance Prize  (2014 - 2015) - Imperial College London
  • SSHRC Postdoctoral Fellowship  (2011 - 2013) - Social Sciences and Humanities Research Council of Canada (SSHRC)
  • NSERC Doctoral Scholarship  (2008 - 2011) - Natural Sciences and Engineering Research Council of Canada (NSERC)
  • President's Scholarship  (2008-2011) - University of Waterloo
  • WatRISQ Doctoral Scholarship  (2010 - 2011) - University of Waterloo's Research Institute in Insurance, Securities and Quantitative Finance
  • Mathematics Graduate Experience Award  (Fall 2010) - University of Waterloo
  • Graduate Scholarship  (Winter 2010) - University of Waterloo
  • Statistics and Actuarial Science Chair's Award  (Fall 2009) - University of Waterloo
  • IQFI Doctoral Scholarship  (2009) - University of Waterloo's Institute for Quantitative Finance and Insurance
  • Dean's List of Distinguished Students and Tuition Scholarship  (2000 - 2004) - Notre Dame University


Visiting Positions:

  • CREST - ENSAE,  Department of Finance and Insurance (June & July 2022)

  • Centre d'Economie de la Sorbonne, Department of Microeconomic Theory (June 2022)

  • KU Leuven - Faculty of Economics and Business, Department of Accountancy, Finance & Insurance,  Actuarial Research Group (May & June 2022)

  • Université Catholique de Louvain - Institute of Statistics, Biostatistics and Actuarial Sciences (April and May 2022)

  • University of Montreal - CIREQ (October & November 2019)

  • University of Amsterdam - Faculty of Economics and Business - Section Quantitative Economics (September 2019)
  • Chinese University of Hong Kong - Dept. of Systems Engineering and Engineering Management (April 2019)

  • Northwestern University - Visiting Postdoctoral Fellow - Center of Mathematical Studies in Economics and Management - Dept. of Managerial Economics and Decision Sciences - Kellogg School of Management  (Fall 2012)

  • Université de Montréal - Dept. of Economics (Sept. 2010)

  • Bocconi University - Dept. of Decision Sciences (Jul. 2010)


Talks and Seminars:

  • Bowley vs. Pareto Optima in Reinsurance Contracting - 24th International Congress on Insurance: Mathematics and Economics (Jul. 2021), Centre Interdisciplinaire en Modélisation Mathématique de l'Université Laval (Feb. 2022), Workshop on Risk Measures and  Uncertainty in Insurance at the House of Insurance of the University of Hannover (May 2022), 11th Conference in Actuarial Science & Finance on Samos (May 2022), KU Leuven (June 2022), Amsterdam School of Economics (June 2022)

  • No-Betting Pareto Optima - Bielefeld Stochastic Afternoon: Math Finance session, University of Bielefeld (Apr. 2021), 2021 Annual Meeting of the American Risk and Insurance Association (Aug. 2021), 48th Annual Seminar of the European Group of Risk and Insurance Economists (Sept. 2021)

  • Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints - 4th World Risk and Insurance Economics Congress (WRIEC 2020), 55th Actuarial Research Conference (ARC 2020), Ryerson University (October 2020), University of Connecticut (November 2020)

  • Optimal Reinsurance with Multiple Reinsurers: Distortion Risk Measures, Distortion Premium Principles, and Heterogeneous Beliefs - 6th Annual Workshop on Insurance Mathematics (February 2020), Online International Conference in Actuarial Science, Data Science and Finance (April 2020)

  • Optimal Insurance with an Upper Limit on the Retained Loss - 23rd International Congress on Insurance: Mathematics and Economics (July 2019)

  • Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints - Université Laval (March 2019), Hong Kong University (April 2019), 46th Annual Seminar of the European Group of Risk & Insurance Economists (September 2019 - Nominated for the SCOR/EGRIE Best Paper Award), Quantact Research Seminar at Université du Québec à Montréal (October 2019)

  • Optimal Insurance with Belief Heterogeneity (July-October 2018) - 22nd International Congress on Insurance: Mathematics and Economics (IME 2018), 2nd International Workshop on Optimal (Re)Insurance at the Central University of Finance and Economics in Beijing, 53rd Actuarial Research Conference (ARC 2018), University of Amsterdam, Western University

  • Optimal Insurance without the Nonnegativity Constraint on Indemnities: Ambiguity and Belief Heterogeneity (December 2017) - 2017 CEAR/MRIC Behavioral Insurance Workshop

  • Optimal Insurance: Belief Heterogeneity, Ambiguity, and Arrow's Theorem - University of Waterloo, Dept. of Statistics & Actuarial Science (January 2017), Western University, Dept. of Statistical & Actuarial Sciences (December 2016), University of Michigan, Financial & Actuarial Mathematics Seminar (April 2016)

  • Insurer Ambiguity and the Demand for Insurance - 2014 CEAR/MRIC Behavioral Insurance Workshop (December 2014)

  • Cost-Efficient Contingent Claims under Nonlinear Pricing  (June 2014) - University of Manchester, Economic Theory Seminar (April 2014), Risk, Uncertainty and Decisions Conference (May 2014), Foundations of Utility and Risk Conference (June 2014), 8th World Congress of the Bachelier Finance Society (June 2014), 20th Conference of the International Federation of Operational Research Societies (July 2014), 2014 European Meeting of the Econometric Society (August 2014)

  • Arrow's Theorem of the Deductible with Heterogeneous Beliefs - Cass Business School, Faculty of Actuarial Science and Insurance (March 2014)

  • Belief Heterogeneity in the Arrow-Borch-Raviv Insurance Model - University of British Columbia (April 2012), 2013 EGRIE Meeting (September 2013)

  • Cost-Efficient Contingent Claims under Knightian Uncertainty: A Distributional Analysis - 2013 Quantitative Behavioural Finance Conference - University of Waterloo (April 2013), 2013 Mathematical Finance Days - Institut de Finance Mathématique de Montréal (May 2013), 13th SAET Conference on Current Trends in Economics (July 2013)

  • Belief Heterogeneity in the Arrow-Borch-Raviv Insurance Model, and Some Extensions - RUD 2012, Northwestern University (June 2012), HEC Montréal - Finance (September 2012), Imperial College Business School - Finance Group (December 2012), Risk Theory Society Annual Seminar (April 2013)

  • On a Class of Monotone Comparative Statics Problems under Heterogeneous Uncertainty, with an Application to Insurance - University of Michigan (February 2012), Concordia University (March 2012), Université de Montréal (November 2011)

  • Contracting for Innovation under Knightian Uncertainty  (Oct. 2011) - Université de Montréal

  • Contracting under Heterogeneous Beliefs  (Apr. 2011) - University of Waterloo

  • Cooperative Game Theory: A Mathematical Introduction  (Mar. 2010) - Graduate Student Seminar - University of Waterloo

  • Free Will, Uncertainty and the Foundations of Utility: An Introduction to Decision Theory  (Oct. 2009) - Graduate Student Seminar - University of Waterloo

  • Static Portfolio Choice under Cumulative Prospect Theory  (Apr. 2009) - University of Waterloo (April 2009), IAREP/SABE 2009 conference (July 2009)

  • The Omega Measure and its Generalization  (Nov. 2008) - University of Waterloo

  • Dual Duration and Liability-Matching Portfolios  (Mar. 2007) - Investment Consulting Group, Hewitt Associates, Toronto


Teaching:

  • University of Waterloo (Spring 2021), Topics in Risk Sharing and (Re)Insurance (Graduate)

  • University of Waterloo (Winter 2021), Finance II (Graduate)

  • University of Waterloo (Spring 2019, Spring 2020, Spring 2021), Financial Mathematics III  (Graduate)

  • University of Waterloo (Winter 2019), Topics in Robust Optimal (Re)Insurance Design  (Graduate)

  • University of Waterloo  (Winter 2018, Fall 2018, Winter 2020, Spring 2020), Mathematics of Financial Markets  (Undergraduate)

  • University of Waterloo  (Fall 2017), Economics  (Master's of Actuarial Science program)

  • Imperial College London  (Autumn 2013 & Autumn 2014), Stochastic Calculus for Finance  (Master's)

  • Imperial College London  (Autumn 2013 & Autumn 2014), Stochastic Calculus  (Master's)

  • Imperial College London, (September 2014), Application of MATLAB for Finance  (Master's) 

  • Imperial College London  (Summer 2014), Derivatives  (Master's)

  • Imperial College London  (Autumn 2013), Quantitative Methods  (Master's)

  • Université de Montréal  (Spring 2012), Theory of Interest / Mathématiques Financières  (Undergraduate)

  • University of Waterloo  (Fall 2009 and Fall 2010), Teaching Assistant (TA) - Theory of Probability  (PhD)

  • University of Waterloo  (Spring 2009), TA - Loss Models II  (PhD)

  • University of Waterloo  (Winter 2008), TA - Corporate Finance  (Master’s)

  • University of Waterloo  (Winter 2008), TA - Mathematical Models in Finance  (PhD)

  • University of Michigan  (Fall 2006) - Support class on Financial Mathematics for Exam FM of the Society of Actuaries

  • University of Michigan  (Winter 2006) - Support class on Probability and Statistics for Exam P of the Society of Actuaries


Student Supervision:

  • Shuangjian Zhang - Postdoctoral Fellow, University of Waterloo

  • Corina Birghila - Postdoctoral Fellow, University of Waterloo

  • Michael Zhu - Current PhD student, University of Waterloo

  • Benxuan Shi - Current PhD student, University of Waterloo

  • Hongda Hu - Current PhD student, University of Waterloo

  • Oma Coke - Budget-Constrained Optimal Insurance with an Upper Limit on the Insurer's Exposure - Master's Thesis, University of Waterloo

  • Shon Czinner - Portfolio Choice under RDEU, Yaari, and EUT - Master's Thesis, University of Waterloo

  • Yu Chen - Measuring Model Risk in Risk Analytics  - Master's Thesis, University of Waterloo

  • Shenglong Li - Pareto-Optima under Rank-Dependent Utility - Master's Thesis, University of Waterloo

  • Jiaye Su - Portfolio Choice under Cumulative Prospective Theory - Master's Thesis, University of Waterloo

  • Michael Zhu - Cost-Efficient Contingent Claims with Choquet pricing - Master's Thesis, University of Waterloo

  • Harris Chen - Undergraduate research student, University of Waterloo

  • Qisi Deng - Undergraduate research student, University of Waterloo

  • Michael Zhu, Loss Aversion for Decision under Risk - Undergraduate research project, University of Waterloo

  • Hao Han, Pricing American Options by Least Squares Regression - Master's Thesis, Imperial College London

  • Grigory Budanov, Complex Adaptive Systems - Master's Thesis, Imperial College London

  • Weiqiong Shi, Counterparty Risk and Collateralization of Longevity Swaps - Master's Thesis, Imperial College London

  • Martina Skerlik, Solvency II - Master's Thesis, Imperial College London

  • Michael Tang, Inflation Hedging Through Asset and Sector Rotation - Master's Thesis, Imperial College London

  • Rebecca Stables, Pensions as an Asset Class - Master's Thesis, Imperial College London


Industry Experience:

  • The Great-West Life Assurance Company - Toronto, Canada (Oct. 2015 - Apr. 2017) - Director, ERM - Risk Modeling

  • Hewitt Associates - Toronto, Canada  (Feb. 2007 - Dec. 2007) - Actuarial Analyst

  • Watson Wyatt Worldwide - New York City, USA  (Summer 2006) - Actuarial Analyst

  • Hewitt Associates - Paris, France  (Feb. 2005 - June 2005) - Actuarial Analyst


Refereeing Activity:  Econometrica, Economic Theory, Journal of Economic Theory, Journal of Economic Dynamics and Control, Management Science, Mathematics of Operations Research, Operations Research, Operations Research Letters, Operational Research, Information Systems and Operational Research (INFOR), Journal of Applied Probability, Mathematical Finance, Finance and Stochastics, Mathematics and Financial Economics, Quantitative Finance, SIAM Journal on Financial Mathematics, Applied Mathematics and Optimization, Journal of Mathematical Economics, B.E Journal of Theoretical Economics, Journal of Risk and InsuranceInsurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, North American Actuarial Journal, European Actuarial Journal, Decisions in Economics and Finance, Economics Bulletin, European Journal of Finance, International Review of Economics and Finance, Review of Behavioral Finance, Mathematical Social Sciences, Handbook of Insurance, Journal of Applied Probability, Journal of Computational and Applied Mathematics, Natural Sciences and Engineering Research Council of Canada (NSERC), Swiss National Science Foundation

Erdös number: 5

  • Paul Erdös -> Peter C. Fishbrun  -> Eric S. Maskin  -> John G. Riley -> Edmund S. Phelps -> Mario Ghossoub
  • Paul Erdös -> Zoltan Furedi -> Felix Lazebnik -> Wembo V. Li -> Carole Bernard -> Mario Ghossoub

 

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