Pengyu Wei
TitleCited byYear
Risk management with weighted VaR
P Wei
Mathematical Finance 28 (4), 1020-1060, 2018
Wikipedia and stock return: Wikipedia usage pattern helps to predict the individual stock movement
P Wei, N Wang
Proceedings of the 25th International Conference Companion on World Wide Web …, 2016
Derivatives trading for insurers
X Xue, P Wei, C Weng
Insurance: Mathematics and Economics 84, 40-53, 2019
Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle
KS Tan, P Wei, W Wei, SC Zhuang
European Journal of Operational Research 282 (1), 345-362, 2020
Equilibrium analysis of expected shortfall
P Wei
Available at SSRN 2956970, 2017
A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
M Sherris, P Wei
Available at SSRN 3445761, 2019
How Does Consumption Habit Affect the Household's Demand for Life-Contingent Claims?
KS Tan, P Wei, SC Zhuang
Available at SSRN 3211009, 2018
Robust Portfolio Choice and Consumption with Derivative Trading Under Stochastic Volatility and Jumps
P Wei, Y Zhuang
Available at SSRN 3210021, 2018
Essays on risk management
P Wei
University of Oxford, 2017
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