Pengyu Wei

Senior Research Associate at UNSW Business School

Pengyu Wei is a Senior Research Associate at the School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Business School, University of New South Wales. He obtained his D.Phil. in Mathematics at the Mathematical Institute, University of Oxford in 2018, under the supervision of Xunyu Zhou and Hanqing Jin. His D.Phil. thesis titled "Essays on risk management" won the first prize of G-Research DPhil Prize in Quantitative Finance in 2018. His current research interests include actuarial science, quantitative finance, risk management and insurance.


Working Paper

Wei, P (2017). Risk management with weighted VaR.
Wei, P (2017). Eqilibrium analysis of expected shortfall.
Wei, P Xue, X and Weng, C (2018). Derivatives trading for insurers.
Wei, P Seng Tan, K Wei, W and Zhuang, S (2018). Optimal dynamic reinsurance policies under Mean-CVaR - a generalized Denneberg’s absolute deviation principle.

Published Research

Wei, P and Wang, N (2018). Wikipedia and stock return: Wikipedia usage pattern helps to predict the individual stock movement. International World Wide Web Conferences Steering Committee. Proceedings of the 25th International Conference Companion. pp. 591-594.