Pengyu Wei
University of Waterloo
H-index: 8
North America-Canada
Top articles of Pengyu Wei
Tail mean-variance portfolio selection with estimation risk
Insurance: Mathematics and Economics
2024/5/1
Pengyu Wei
H-Index: 4
Chengguo Weng
H-Index: 14
Relative growth rate optimization under behavioral criterion
SIAM Journal on Financial Mathematics
2023/12/31
Jing Peng
H-Index: 15
Pengyu Wei
H-Index: 4
Optimal Liquidity and Risk Management: The Use of Cat Bonds
Available at SSRN 4581117
2023/9/21
Pengyu Wei
H-Index: 4
Winning Probability Weighted Combined Portfolio
Available at SSRN 4607278
2023/8/18
Pengyu Wei
H-Index: 4
Chengguo Weng
H-Index: 14
Optimal investment for defined-contribution pension plans under money illusion
Review of Quantitative Finance and Accounting
2023/8
Pengyu Wei
H-Index: 4
Charles Yang
H-Index: 4
Robust Risk Control With Reinsurance and CAT Bonds
Available at SSRN 4586227
2023/7/27
Pengyu Wei
H-Index: 4
Medicare advantage, medical loss ratio, service efficiency, and efficiently positive health outcomes
North American Actuarial Journal
2023/7/3
Pengyu Wei
H-Index: 4
Charles Yang
H-Index: 4
State subsidized reinsurance programs: Impacts on efficiency, premiums, and expenses of the US health insurance markets
European Journal of Operational Research
2023/4/16
Pengyu Wei
H-Index: 4
Robust consumption and portfolio choice with derivatives trading
European Journal of Operational Research
2023/1/16
Annuity and insurance choice under habit formation
Insurance: Mathematics and Economics
2022/7/1
Ken Seng Tan
H-Index: 20
Pengyu Wei
H-Index: 4
Modeling longevity and disability with generalized autoregressive score models
Available at SSRN 4282024
2022
Optimal dynamic reinsurance under heterogeneous beliefs and CARA utility
SIAM Journal on Financial Mathematics
2022
Hui Meng
H-Index: 7
Pengyu Wei
H-Index: 4
Dynamic growth-optimum portfolio choice under risk control
arXiv preprint arXiv:2112.14451
2021/12/29
Pengyu Wei
H-Index: 4
Demand for non-life insurance under habit formation
Insurance: Mathematics and Economics
2021/11/1
Risk management with expected shortfall
Mathematics and Financial Economics
2021/4/30
Pengyu Wei
H-Index: 4
A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
North American Actuarial Journal
2021/1/2
Pengyu Wei
H-Index: 4
Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle
European Journal of Operational Research
2020/4/1