Yuyu Chen

Employment

• 2025.09 - present    Senior Lecturer, Department of Economics, University of Melbourne
• 2023.01 - 2025.08    Lecturer, Department of Economics, University of Melbourne
• 2022.09 - 2022.12    Research Assistant, Department of Statistics and Actuarial Science, University of Waterloo

Education and Professional Designation

• 2018.09 - 2022.10Ph.D. in Actuarial Science, University of Waterloo. Advisors: Ruodu Wang and Ken Seng Tan
• 2016.09 - 2018.07M.Sc. in Statistics, University of Calgary. Advisors: Alexandru Badescu
• 2012.09 - 2016.06B.Ec. in Actuarial Science, Southwestern University of Finance and Economics
• 2021Associate of the Society of Actuaries

Research Interests

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

• Portfolio risk analysis
• Risk aggregation
• Model uncertainty

Manuscripts

• [2] Calderín-Ojeda, E., Chen, Y., and Tan, S. W. (2026). Capital allocation and tail central moments for the multivariate normal mean-variance mixture distribution. [arXiv]
• [1] Chen, Y., Hu, T., Shneer, S., and Zou, Z. (2025). Stochastic dominance for linear combinations of infinite-mean risks. [arXiv]

Publications

• [12] Miao, Z., Li, H., and Chen, Y. (2026). Gradient boosted multi-population mortality modelling with high-frequency data. ASTIN Bulletin (forthcoming). [arXiv]
• [11] Chen, Y., Wang, R., Wang, Y., and Zhu, W. (2026). Sub-uniformity of harmonic mean p-values. Canadian Journal of Statistics. [doi] [arXiv]
• [10] Chen, Y. and Shneer, S. (2026). Risk aggregation and stochastic dominance for a class of heavy-tailed distributions. ASTIN Bulletin. [doi] [arXiv]
• [9] Chen, Y., Embrechts, P., and Wang, R. (2025). Risk exchange under infinite-mean Pareto models. Insurance: Mathematics and Economics. [doi] [arXiv]
• [8] Boonen, T.J., Chen, Y., Han, X., and Wang, Q. (2025). Optimal insurance design with Lambda-Value-at-Risk. European Journal of Operational Research. [doi] [arXiv]
• [7] Chen, Y., Embrechts, P., and Wang, R. (2025). An unexpected stochastic dominance: Pareto distributions, dependence, and diversification. Operations Research. [doi] [arXiv]
• [6] Chen, Y., Hu, T., Wang, R., and Zou, Z. (2025). Diversification for infinite-mean Pareto models without risk aversion. European Journal of Operational Research. [doi] [arXiv]
• [5] Chen, Y. and Wang, R. (2025). Infinite-mean models in risk management: Discussions and recent advances. Risk Sciences. [doi] [arXiv]
• [4] 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. [doi] [arXiv] [R package]
• [3] Chen, Y., Liu, P., Liu, Y., and Wang, R. (2022). Ordering and inequalities for mixtures on risk aggregation. Mathematical Finance. [doi] [arXiv]
• [2] Chen, Y., Lin, L., and Wang, R. (2022). Risk aggregation under dependence uncertainty and an order constraint. Insurance: Mathematics and Economics. [doi] [arXiv]
• [1] Badescu, A., Chen, Y., Couch, M., and Cui, Z. (2019). Variance swaps valuation under non-affine GARCH models and their diffusion limits. Quantitative Finance. [doi] [PDF]

Teaching Experience

• 2023.01 - presentSubject Coordinator, 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 - 2022.08Teaching Assistant, University of Waterloo
• 2016.09 - 2018.06Teaching Assistant, 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

Peer-review Service

• Insurance: Mathematics and Economics
• ASTIN Bulletin - The Journal of the International Actuarial Association
• Scandinavian Actuarial Journal
• North American Actuarial Journal
• European Actuarial Journal
• Operations Research
• European Journal of Operational Research
• Journal of Mathematical Economics
• Electronic Journal of Statistics
• Scandinavian Journal of Statistics
• Risk Sciences