**Contact Information:**

Chengguo Weng

Chengguo Weng's personal website

## Research interests

Professor Weng’s research interests span a broad spectrum of scientific disciplines from actuarial science, finance to probability, statistics and stochastic optimization. The primary objective of Professor Weng’s research is to develop innovative risk assessment methods and prioritization strategies for actuarial and financial risk management. Professor Weng is interested in both theoretical and applied research projects, and his latest research focuses on the following programs:

• Stochastic optimization problems in insurance and finance

• Predictive modelling and prediction for insurance risks

• Portfolio optimization in high-dimensional settings

• Statistical inference for stochastic optimization problems.

## Education/biography

- PhD (Actuarial Science), 2006-2009, University of Waterloo, Waterloo, Canada.
- MMath (in Statistics), 2001-2004, Zhejiang University, Hangzhou, China.
- BS (in Statistics), 1997-2001, Zhejiang University, Hangzhou, China.

## Selected publications

- Weng, C., Zhuang, S.C., (2017+). CDF Formulation for solving an optimal reinsurance problem.
*Scandinavian Actuarial Journal*. Forthcoming.
- Lin, H., Saunders, D., Weng, C., (2017). Optimal investment strategies for participating contracts.
*Insurance: Mathematics and Economics *73, 137-155.
- Sun, H., Weng, C., Zhang, Y., (2016). Optimal multivariate quota-share reinsurance: A nonparametric mean- CVaR framework.
*Insurance: Mathematics and Economics *72, 197-214.
- Cai, J., Weng, C., (2016). Optimal reinsurance with expectile.
*Scandinavian Actuarial Journal *2016(7), 624-645.
- Zhuang, S. C., Weng, C., Tan, K.S., Assa, H., (2015). Marginal indemnification function formulation for optimal reinsurance.
*Insurance: Mathematics and Economics *67, 65-76.
- Tan, K.S., Weng, C., (2014). Empirical approach for optimal reinsurance design.
*North American Actuarial Journal *18(2), 315-342.
- Weng, C., (2013). Constant proportion portfolio insurance under regime switching exponential Lévy process.
*Insurance: Mathematics and Economics *52(3), 508-521.
- Porth, L., Tan, K.S., Weng, C., (2013). Optimal reinsurance analysis from a crop insurer’s perspective.
*Agricultural Finance Review *73(2), 310-328.
- Tan, K.S., Weng, C., Zhang, Y. (2011). Optimality of general reinsurance contracts under CTE risk measure.
*Insurance: Mathematics and Economics *49(2), 175-187.
- Weng, C., Zhang, Y., Tan, K.S., (2009). Ruin probabilities in a discrete time risk model with dependent risks of heavy tail.
*Scandinavian Actuarial Journal *2009(3), 205-218.
- Zhang, Y., Shen, X.*, Weng, C., (2009). Approximation of the tail probability of randomly weighted sums and applications.
*Stochastic Process and their Applications *119(2), 655-675.
- Cai, J., Tan, K.S., Weng, C., Zhang, Y., (2008). Optimal reinsurance under VaR and CTE risk measures.
*Insurance: Mathematics and Economics *43(1), 185-196.