Chengguo Weng

Associate Professor

Chengguo WengContact 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.


  • 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.
University of Waterloo
Contact information: