Yuyu Chen | University of Melbourne

Employment

Lecturer, Centre for Actuarial Studies, University of Melbourne, 2023.01–present
Research Assistant, University of Waterloo, 2022.09–2022.12

Education and Professional Designation

Ph.D. in Actuarial Science, University of Waterloo, 2022
-Supervisors: Ruodu Wang and Ken Seng Tan
M.Sc. in Statistics, University of Calgary, 2018
-Supervisors: Alexandru Badescu
B.Ec. in Actuarial Science, Southwestern University of Finance and Economics, 2016
Associate of the Society of Actuaries, 2021

Research Interests

I am interested in the research of actuarial science and risk management.

Portfolio risk analysis
Risk aggregation
Model uncertainty

Manuscripts

Chen, Y., Hu, T., Shneer, S., and Zou, Z. (2025). Stochastic dominance for linear combinations of infinite-mean risks. arXiv
Chen, Y., Embrechts, P., and Wang, R. (2024). Risk exchange under infinite-mean Pareto models. arXiv

Publications

Chen, Y. and Shneer, S. (2025). Risk aggregation and stochastic dominance for a class of heavy-tailed distributions. ASTIN Bulletin (forthcoming). arXiv
Boonen, T.J., Chen, Y., Han, X., and Wang, Q. (2025). Optimal insurance design with Lambda-Value-at-Risk. European Journal of Operational Research (forthcoming). arXiv
Chen, Y., Wang, R., Wang, Y., and Zhu, W. (2025). Sub-uniformity of harmonic mean p-values. Canadian Journal of Statistics (forthcoming). arXiv
Chen, Y., Embrechts, P., and Wang, R. (2025). An unexpected stochastic dominance: Pareto distributions, dependence, and diversification. Operations Research. arXiv
Chen, Y., Hu, T., Wang, R., and Zou, Z. (2025). Diversification for infinite-mean Pareto models without risk aversion. European Journal of Operational Research. arXiv
Chen, Y. and Wang, R. (2025). Infinite-mean models in risk management: Discussions and recent advances. Risk Sciences. arXiv
Chen, Y., Liu, P., Tan, K. S., and Wang, R. (2023). Trade-off between validity and efficiency of merging p-values under arbitrary dependence. Statistica Sinica. arXiv (R package)
Chen, Y., Liu, P., Liu, Y., and Wang, R. (2022). Ordering and inequalities for mixtures on risk aggregation. Mathematical Finance. arXiv
Chen, Y., Lin, L., and Wang, R. (2022). Risk aggregation under dependence uncertainty and an order constraint. Insurance: Mathematics and Economics. arXiv
Badescu, A., Chen, Y., Couch, M., and Cui, Z. (2019). Variance swaps valuation under non-affine GARCH models and their diffusion limits. Quantitative Finance. PDF

Teaching Experience

2023.01-present: Subject Coordinator at the University of Melbourne
-ACTL40004/90003 (Advanced Financial Mathematics/Mathematics of Finance III)
-ACTL20004/90021 (Topics in Actuarial Studies/Topics in Insurance and Finance)
2018.09-2022.08: Teaching Assistant at the University of Waterloo
2016.09-2018.06: Teaching Assistant at the University of Calgary

Selected Awards

Best Paper Award (First Place), the 13th China International Conference on Insurance and Risk Management (CICIRM 2023)
Best Paper Award, the 2021 International Actuarial Association Joint Section Colloquium AFIR-ERM Section
Sprott Scholarship, University of Waterloo
Maplesoft Best Student Paper Award, the 24th Congress on Insurance: Mathematics and Economics
Honorable mention of the Best Student Presentation Award, the 56th Actuarial Research Conference

Peer-review Service

Insurance: Mathematics and Economics
ASTIN Bulletin - The Journal of the International Actuarial Association
Scandinavian Actuarial Journal
European Actuarial Journal
Journal of Mathematical Economics
Electronic Journal of Statistics
Scandinavian Journal of Statistics