Researcher

Dr Yang Shen

Keywords

Fields of Research (FoR)

Insurance Studies, Investment and Risk Management, Banking, Finance and Investment, Financial Mathematics

Biography

Yang Shen is a Senior Lecturer in the School of Risk and Actuarial Studies and an Associate Investigator of CEPAR. He obtained his PhD in Actuarial Studies from Macquarie University in May 2014. After completing his PhD degree, he worked as a research fellow at CEPAR from 2013 to 2015 and an assistant professor at York University from 2015 to 2019. His current research interests include optimal insurance and reinsurance, longevity risk,...view more

Yang Shen is a Senior Lecturer in the School of Risk and Actuarial Studies and an Associate Investigator of CEPAR. He obtained his PhD in Actuarial Studies from Macquarie University in May 2014. After completing his PhD degree, he worked as a research fellow at CEPAR from 2013 to 2015 and an assistant professor at York University from 2015 to 2019. His current research interests include optimal insurance and reinsurance, longevity risk, retirement planning, pricing and hedging of insurance and annuity products, portfolio optimization, contract theory, game theory, and regime-switching model. Yang has published in all top-tier actuarial journals (e.g. IME, ASTIN, SAJ, NAAJ), and top journals in control theory (e.g. Automatica),  and major journals in operations research (e.g. EJOR). According to Google Scholar, as of April 2021, his publications were cited over 850 times and had an h-index of 19. His research has been funded by major funding agencies and professional organisations, such as ARC, NSERC, SOA, CAS, etc. Yang is the first actuarial academic winning DECRA since the inception of this award. More information can be found in the following useful links:


My Grants

2021-2024: ARC Discovery Project (DP210101195), AU $386,139: Forecasting and Financing Healthy Ageing and Aged Care in Australia. Chief Investigator (Lead CI: Jonathan Ziveyi, CIs: Michael Sherris and Jeromey Temple, PI: Ermanno Pitacco)

2020-2021: Individual Grants Competition, CAS Committee on Knowledge Extension Research, US $24,000: A realistic risk dependence via general additive models: Effects of heavy-tailedness and dependence on loss reserving. Chief Investigator (Lead CI: Edward Furman, CI: Andrew Fleck)

2020-2022: ARC DECRA (DE200101266), AU $420,039: Demystifying puzzles in retirement planning. Sole Chief Investigator

2020-2021: Business School Research Grant, AU $24,983: Dynamic decision making in healthcare and long-term care: A continuous-time approach. Lead Chief Investigator (Associate Investigator: Jianxi Su)

2019-2020: Society of Actuaries (SOA) Research Expanding Boundaries (REX) Funding Pool, US $16,000: Demystifying the annuity puzzle: The role of model uncertainty in strategic retirement planning. Lead Chief Investigator (CI: Jianxi Su)

2017-2018: Individual Grants Competition, SOA Committee on Knowledge Extension Research, US $10,000: A unified framework for lifetime retirement planning with longevity risk. Lead Chief Investigator (CI: Jianxi Su)

2016-2021: Natural Sciences and Engineering Research Council of Canada (NSERC) Discovery Grant (RGPIN-2016-05677), CA $100,000+$20,000: Asset and liability management: A stochastic control approach. Sole Chief Investigator

2014-2015: UNSW Vice-Chancellor's Postdoctoral Research Fellowships, University of New South Wales, Fellowship Salary + Research Grant (AU $20,000): Optimal individual pre and post retirement decision making under systematic longevity risk. Sole Chief Investigator


My Qualifications

Ph.D. in Actuarial Studies, Macquarie University

M.Sc. in Financial Mathematics, Peking University

B.Ec. in Insurance Science, East China Normal University


My Awards

2020-2022: Discovery Early Career Researcher Award (DECRA), Australian Research Council (1st actuarial academic winning DECRA since the inception of this award)

2013: Chinese Government Award for Outstanding Self-Financed Students Abroad, China Scholarship Council (Ranked No.1 among all awardees at Consulate-General of the People's Republic of China in Sydney)


My Research Supervision


Supervision keywords


Areas of supervision

Optimal retirement planning with longevity risk, health transition risk, ambiguous risk, etc.

Dynamic contract theory in insurance and reinsurance business

Asset-liability management with reinforcement learning 

 


My Teaching

T3 2020: Lecturer in Charge, ACTL 6105, Advanced Topics in Risk and Actuarial Studies C, University of New South Wales

T3 2020: Lecturer in Charge, ACTL 5004, Project Report, University of New South Wales

T3 2019: Lecturer in Charge, ACTL 3162/5106, General Insurance Techniques/Insurance Risk Models, University of New South Wales

Fall 2018: Instructor, MATH 4143, Scientific Computations for Finance Applications, York University

Winter 2019, Winter 2018: Instructor, MATH 4281, Risk Theory-Ruin and Credibility, York University

Fall 2018, Fall 2017: Instructor, MATH 4280, Risk Theory-Loss Models and Risk Measures, York University 

Fall 2017: Instructor, MATH 3280, Mathematics of Life Contingencies I, York University

Winter 2017, Winter 2016: Instructor, MATH 2281, Financial Economics, York University

Fall 2016, Fall 2015: Instructor, MATH 2280, Mathematical Theory of Interest, York University 

S2 2014: Lecturer in Charge, ACTL 5106, Insurance Risk Models, University of New South Wales 

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Location

Room 641, Level 6, East Wing, UNSW Business School Building – Ref E12

Contact

+61 2 9385 3566