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

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

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

Chen, Y. and Shneer, S. (2024). Stochastic dominance for super heavy-tailed random variables. arXiv
Boonen, T.J., Chen, Y., Han, X., and Wang, Q. (2024). Optimal insurance design with Lambda-Value-at-Risk. arXiv
Chen, Y., Wang, R., Wang, Y., and Zhu, W. (2024). Sub-uniformity of harmonic mean p-values. arXiv
Chen, Y., Hu, T., Wang, R., and Zhou, Z. (2024). Dominance between combinations of infinite-mean Pareto random variables. arXiv
Chen, Y., Embrechts, P., and Wang, R. (2024). Risk exchange under infinite-mean Pareto models. arXiv

Chen, Y., Embrechts, P., and Wang, R. (2024). An unexpected stochastic dominance: Pareto distributions, dependence, and diversification. Operations Research (forthcoming). arXiv
Chen, Y. and Wang, R. (2024). 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

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

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

Mathematical and Computational Finance Lab Seminar, University of Calgary, September 2022
Extreme Value Theory and Quantitative Risk Management Workshop, online, August 2022
The International Actuarial Association Joint Section Colloquium, online, October 2021
The 56th Actuarial Research Conference, online, August 2021
The 24th International Congress on Insurance: Mathematics and Economics, online, July 2021
The 5th PKU-NUS Annual International Conference on Quantitative Finance and Economics, online, May 2021
University of Waterloo SAS Research Presentation Day, Waterloo, Canada, February 2020
The 2018 Alberta Mathematics Dialogue, Calgary, Canada, May 2018