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Pengyu Wei

Assistant Professor

Pengyu WeiContact Information:
Pengyu Wei

Pengyu's personal website
Pengyu's Google Scholar page

Research Interests 

  • Actuarial Science
  • Quantitative Finance
  • Risk Management and Insurance


  • 2018 DPhil in Mathematics, University of Oxford, UK
  • 2013 B.S. in Statistics, Peking University, China
  • 2013 B.Ec. in Economics, Peking University, China

Selected Publications

  • 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. Forthcoming.
  • 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: 1020–1060.
  • A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty, (with Michael Sherris), under review.
  • Risk management with expected shortfall, under review.
  • Annuity and insurance choice under habit formation, (with Phelim Boyle, Ken Seng Tan, Shengchao Zhuang), under review.
  • Robust portfolio choice and consumption with derivative trading under stochastic volatility and jumps, (with Yi Zhuang), working paper.
  • Retirement planning with systematic disability and mortality risk, (with Michael Sherris, Mengyi Xu), working paper.
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