Chengguo Weng | Statistics and Actuarial Science

Assistant Professor

Department of Statistics and Actuarial Science
University of Waterloo
Waterloo, Ontario
CANADA N2L 3G1

(519) 888-4567, ext. 31132
FAX: (519) 746-1875

E-Mail:
Office: M3 3136
Personal Website: sas.uwaterloo.ca/~c2weng/

Research and Scholarly Activity

Professor Weng’s research interests lie in developing effective quantitative tools in evaluating and managing risks on problems related to insurance and finance. Currently Professor Weng are particularly interested in these topics: (1) optimal reinsurance design; (2) portfolio selection with parameter uncertainty; (3) copula method in regime-switching models. Professor Weng is also working on stochastic ordering theory and tail risk of aggregate claims in actuarial science.

Recent Publications

Ken Seng Tan, and Chengguo Weng, 2010. Enhancing insurer value using reinsurance and Value-at-Risk criterion, conditionally accepted by the Geneva Risk and Insurance Review.
Ken Seng Tan, Chengguo Weng, and Yi Zhang, 2009. VaR and CTE criteria for optimal quota-share and stop-loss reinsurance, the North American Actuarial Journal 13(4), 450-482.
Chengguo Weng, Yi Zhang, and Ken Seng Tan, 2009. Ruin probabilities in a discrete time risk model with dependent risks of heavy tail, Scandinavian Actuarial Journal 3, 205-218.
Yi Zhang, Xinmei Shen, and Chengguo Weng, 2009. Approximation of the tail probability of randomly weighted sums and applications, Stochastic Process and their Applications 119 (2), 655-675.