10 citations · 18 across the 11 of their papers we have counts for
12 papers
Capital-Allocation-Induced Risk Sharing
Wing Fung Chong, Runhuan Feng, Kenneth Tsz Hin Ng
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante alloca…
Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security
Feng Runhuan, Liang Zongxia, Song Yilun
This paper presents a novel framework for decentralized annuities, aiming to address the limitations of traditional pension systems such as defined contribution (DC) and defined be…
Privacy-Enhancing Collaborative Information Sharing through Federated Learning -- A Case of the Insurance Industry
Panyi Dong, Zhiyu Quan, Brandon Edwards +5
The report demonstrates the benefits (in terms of improved claims loss modeling) of harnessing the value of Federated Learning (FL) to learn a single model across multiple insuranc…
Cyber Risk Assessment for Capital Management
Wing Fung Chong, Runhuan Feng, Hins Hu +1
This paper introduces a two-pillar cyber risk management framework to address the pervasive challenges in managing cyber risk. The first pillar, cyber risk assessment, combines ins…
Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations
Runhuan Feng, Peng Li
Nested stochastic modeling has been on the rise in many fields of the financial industry. Such modeling arises whenever certain components of a stochastic model are stochastically…
Geometric Brownian motion with affine drift and its time-integral
Runhuan Feng, Pingping Jiang, Hans Volkmer
The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit soluti…
Pandemic risk management: resources contingency planning and allocation
Xiaowei Chen, Wing Fung Chong, Runhuan Feng +1
Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been obs…
Exponential functionals of Levy processes and variable annuity guaranteed benefits
Runhuan Feng, Alexey Kuznetsov, Fenghao Yang
Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asia…
A short proof of duality relations for hypergeometric functions
Runhuan Feng, Alexey Kuznetsov, Fenghao Yang
Identities involving finite sums of products of hypergeometric functions and their duals have been studied since 1930s. Recently Beukers and Jouhet have used an algebraic approach…
Conditional Asian Options
Runhuan Feng, Hans W. Volkmer
Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian optio…
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
Runhuan Feng, Hans W. Volkmer
In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine d…
Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Runhuan Feng, Hans Volkmer, Shuaiqi Zhang +1
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend pay…