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Pengyu Wei

Observed name: Wei, Pengyu
ORCID: 0000-0002-9738-2177
Observed ORCID: 0000-0002-9738-2177
OpenAlex ID: A5069358717
Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle
2019 · Ken Seng Tan, Pengyu Wei, et al. · European Journal of Operational Research · 60
Risk management with weighted VaR
2017 · Pengyu Wei · Mathematical Finance · 34
A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty
2019 · Michael Sherris, Pengyu Wei · North American Actuarial Journal · 25
Robust consumption and portfolio choice with derivatives trading
2022 · Pengyu Wei, Charles Yang, et al. · European Journal of Operational Research · 22
Annuity and insurance choice under habit formation
2022 · Phelim Boyle, Ken Seng Tan, et al. · Insurance Mathematics and Economics · 21
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
2022 · Hui Meng, Pengyu Wei, et al. · SIAM Journal on Financial Mathematics · 17
Risk management with expected shortfall
2021 · Pengyu Wei · Mathematics and Financial Economics · 16
Wikipedia and Stock Return
2016 · Pengyu Wei, Ning Wang · 16
Demand for non-life insurance under habit formation
2020 · Wenyuan Li, Ken Seng Tan, et al. · Insurance Mathematics and Economics · 15
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Derivatives Trading for Insurers
2018 · Xiaole Xue, Pengyu Wei, et al. · Insurance Mathematics and Economics · 11
Medicare Advantage, Medical Loss Ratio, Service Efficiency, and Efficiently Positive Health Outcomes
2022 · Patrick Brockett, Linda Golden, et al. · North American Actuarial Journal · 8
State subsidized reinsurance programs: Impacts on efficiency, premiums, and expenses of the U.S. health insurance markets
2022 · Derrick W.H. Fung, Pengyu Wei, et al. · European Journal of Operational Research · 8
Optimal investment for defined-contribution pension plans under money illusion
2023 · Pengyu Wei, Charles Yang · Review of Quantitative Finance and Accounting · 6
Tail mean-variance portfolio selection with estimation risk
2024 · Zhenzhen Huang, Pengyu Wei, et al. · Insurance Mathematics and Economics · 4
Optimal life insurance and annuity decisions under money illusion
2025 · Wenyuan Li, Pengyu Wei · Insurance Mathematics and Economics · 3
Robust Risk Control with Reinsurance and CAT Bonds
2024 · Yongwu Li, Pengyu Wei · North American Actuarial Journal · 3
Optimal defined-contribution pension management with financial and mortality risks
2024 · Wenyuan Li, Pengyu Wei · Astin Bulletin · 3
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Optimal Dynamic Reinsurance Policies Under Mean CVaR A Generalized Denneberggs Absolute Deviation Principle
2018 · Ken Seng Tan, Pengyu Wei, et al. · SSRN Electronic Journal · 3
Relative Growth Rate Optimization Under Behavioral Criterion
2023 · Jing Peng, Pengyu Wei, et al. · SIAM Journal on Financial Mathematics · 2
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Essays on risk management
2017 · Wei, Pengyu · Oxford University Research Archive (ORA) (University of Oxford) · 2
A Stochastic Model of Mutual Insurance under Heterogeneous Time Preferences
2025 · Pengyu Wei, Wei Wei, et al. · North American Actuarial Journal · 1
ESG-constrained Portfolio Choice with Estimation Risk
2025 · Zhenzhen Huang, Pengyu Wei, et al. · SSRN Electronic Journal · 1
Dynamic growth-optimal portfolio choice under risk control
2024 · Pengyu Wei, Zuo Quan Xu · European Journal of Operational Research · 1
Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
2024 · Peng, Yunfei, Wei, Pengyu, et al. · RePEc: Research Papers in Economics · 1
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Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
2024 · Wei Wei, Pengyu Wei, et al. · SSRN Electronic Journal · 1
Works count: 39
Citation count: 285
H-index: 10
I10-index: 10
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