University of Melbourne
- 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
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.
- Chen, Y., Liu, P., Tan, K. S., and Wang, R. (2022). Trade-off between validity and efficiency of merging p-values under arbitrary dependence. Statistica Sinica, forthcoming.
- Chen, Y., Liu, P., Liu, Y., and Wang, R. (2022). Ordering and inequalities for mixtures on risk aggregation. Mathematical Finance.
- Chen, Y., Lin, L., and Wang, R. (2022). Risk aggregation under dependence uncertainty and an order constraint. Insurance: Mathematics and Economics.
- Badescu, A., Chen, Y., Couch, M., and Cui, Z. (2019). Variance swaps valuation under non-affine GARCH models and their diffusion limits. Quantitative Finance.
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.
- 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
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)
- Insurance: Mathematics and Economics
- ASTIN Bulletin - The Journal of the International Actuarial Association
- Journal of Mathematical Economics
- Scandinavian Journal of Statistics
- 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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