Pengyu Wei
Title
Cited by
Cited by
Year
Risk management with weighted VaR
P Wei
Mathematical Finance 28 (4), 1020-1060, 2018
132018
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
102016
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
9*2020
Derivatives trading for insurers
X Xue, P Wei, C Weng
Insurance: Mathematics and Economics 84, 40-53, 2019
42019
A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
M Sherris, P Wei
North American Actuarial Journal, 1-23, 2020
32020
Risk management with expected shortfall
P Wei
Mathematics and Financial Economics, 1-37, 2021
2*2021
Annuity and Insurance Choice Under Habit Formation
PP Boyle, KS Tan, P Wei, SC Zhuang
Available at SSRN 3570066, 2020
12020
Demand for non-life insurance under habit formation
W Li, KS Tan, P Wei
Insurance: Mathematics and Economics, 2020
2020
Optimal Dynamic Reinsurance under Heterogeneous Beliefs
H Meng, P Wei, W Zhang, SC Zhuang
Available at SSRN 3669837, 2020
2020
Robust Portfolio Choice and Consumption with Derivative Trading Under Stochastic Volatility and Jumps
P Wei, Y Zhuang
Available at SSRN 3210021, 2018
2018
Essays on risk management
P Wei
University of Oxford, 2017
2017
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Articles 1–11