Fields of Research (FoR)
Insurance studies, Stochastic analysis and modelling, Operations research, Applied mathematicsBiography
I obtained BSc (Actuarial Science) degree from the University of Hong Kong and got MMath (Actuarial Science) and PhD (Actuarial Science) degrees from the University of Waterloo. After PhD, I worked at the Department of Statistics and Actuarial Science of HKU for 7 years (Assistant Professor, August 2010 - June 2016; Associate Professor, July 2016 - June 2017), and then joined UNSW as an Associate Professor in July 2017.
My Grants
...view moreI obtained BSc (Actuarial Science) degree from the University of Hong Kong and got MMath (Actuarial Science) and PhD (Actuarial Science) degrees from the University of Waterloo. After PhD, I worked at the Department of Statistics and Actuarial Science of HKU for 7 years (Assistant Professor, August 2010 - June 2016; Associate Professor, July 2016 - June 2017), and then joined UNSW as an Associate Professor in July 2017.
My Grants
- ARC (Australian Research Council) Discovery Project, July 2020 - June 2023
- Project title: Shock model-based framework for modelling correlated large losses (Project number: DP200100615)
- Role: Chief Investigator
- Other Chief Investigator: Jae-Kyung Woo
- Partner Investigators: Hansjoerg Albrecher and Gordon Willmot
- Valued AUD334,000 in total (held at UNSW)
- Casualty Actuarial Society and Society of Actuaries' CKER (Committee on Knowledge Extension Research) Grant, Jul 2018 - Jun 2020
- Project title: Credibility theory under a general dependency structure of risk profile between frequency and severity of loss
- Role: Chief Investigator
- Other Chief Investigator: Jae-Kyung Woo
- Valued USD20,000 in total (held at UNSW)
- General Research Fund from RGC (Research Grants Council of the Hong Kong Special Administrative Region), Jul 2016 - Jun 2019
- Project title: Joint analysis of path-dependent quantities in insurance risk processes (Project number: 17324016)
- Role: (Sole) Chief Investigator (Jul 2016 - Jun 2017); Partner Investigator (Jul 2017 - Jun 2019)
- Transferred to Hailiang Yang in Jul 2017 upon leaving University of Hong Kong
- Valued HKD446,566 in total (held at University of Hong Kong)
- CAE (Centers of Actuarial Excellence) Research Grant from Society of Actuaries, 2014 - 2016
- Project title: Actuarial study of dependent risks: Analysis and applications
- Role: Chief Investigator
- Other Chief Investigators: Ka Chun Cheung, Jae-Kyung Woo, Hailiang Yang, Kam Chuen Yuen
- Valued USD281,490 in total (held at University of Hong Kong)
- General Research Fund from RGC (Research Grants Council of the Hong Kong Special Administrative Region), Aug 2012 - Jan 2016
- Project title: Generalizations of Gerber-Shiu function and discounted aggregate claim costs in insurance risk theory (Project number: HKU 701212P)
- Role: (Sole) Chief Investigator
- Transferred to Hailiang Yang in Jul 2017 upon leaving University of Hong Kong
- Valued HKD700,000 in total (held at University of Hong Kong)
My Qualifications
- PhD in Actuarial Science, University of Waterloo, Canada
- MMath in Actuarial Science, University of Waterloo, Canada
- BSc in Actuarial Science, University of Hong Kong, Hong Kong
- Associate of the Society of Actuaries
My Research Activities
My research interests include insurance risk theory, ruin theory, aggregate claims analysis, queueing theory, stochastic processes, risk management, financial mathematics, etc. I am currently an Associate Editor of the A* journal (ABDC list) Insurance: Mathematics and Economics.
My Research Supervision
Areas of supervision
Insurance risk theory; Ruin theory; Aggregate claims analysis; Financial mathematics; Queueing theory; Stochastic models; Operations research; Applied probability.
I have solely supervised 4 MPhil students at the University of Hong Kong (Luyin Liu, Jeff Tsun Yu Wong, Haibo Liu, Wei Zhu).
My Teaching
I have the experience of teaching courses in three different universities, mostly in Actuarial Science subjects.
- UNSW
- ACTL 2111/5102 Financial Mathematics for Actuaries
- ACTL 3162 General Insurance Techniques
- University of Hong Kong
- STAT 3802/3951 Advanced Contingencies
- STAT 2315/3615 Practical Mathematics for Investment
- STAT 2801/3901 Life Contingencies
- STAT 2805 Credibility Theory and Loss Distributions
- STAT 3821/6006 Financial Economics II/Stochastic Calculus with Financial Applications
- STAT 2820/3905 Introduction to Financial Derivatives
- University of Waterloo
- ACTSC 431/831 Loss Models 1
- ACTSC 231 Mathematics of Finance
Location
Contact
Publications
ORCID as entered in ROS
https://orcid.org/0000-0002-7693-5123