Yuyu Chen

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.

• Robust risk aggregation
• Dependence modelling
• Financial derivatives

Publications and Manuscripts

• Chen, Y., Embrechts, P., and Wang, R. (2022). An unexpected stochastic dominance: Pareto distributions, catastrophes, and risk exchange. 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
• 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

R package

pmerge: This package contains several useful functions/methods to merge p-values that are either independent or arbitrarily dependent in multiple hypothesis testing. The development version and its instruction are available at Github.

Presentations

• 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

Teaching Experience

• 2023.01-present: Instructor at the University of Melbourne
  -ACTL40004/90003 (Advanced Financial Mathematics/Mathematics of Finance III)

• 2018.09-2022.08: Teaching Assistant at the University of Waterloo
  -ACTSC 231 (Introductory Financial Mathematics)
  -ACTSC 232 (Life Contingencies 1)
  -ACTSC 371 (Introduction to Investments)
  -ACTSC 372 (Corporate Finance)
  -ACTSC 446/846 (Mathematics of Financial Markets)
  -MATBUS 471 (Fixed Income Securities)
  -STAT 330 (Mathematical Statistics)
  -STAT 333 (Applied Probability)

• 2016.09-2018.06: Teaching Assistant at the University of Calgary
  -STAT 213 (Introduction to Statistics I)
  -STAT 217 (Introduction to Statistics II)

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
• Scandinavian Journal of Statistics

Selected Awards

• Best Paper Award (First Place), the 13th China International Conference on Insurance and Risk Management (CICIRM 2023)
• Sprott Scholarship, University of Waterloo
• Best Paper Award, the 2021 International Actuarial Association Joint Section Colloquium AFIR-ERM Section
• 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

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