Yang Shen is an Associate Professor in the School of Risk and Actuarial Studies and an Associate Investigator of CEPAR. He was the first winner of DECRA (2020-2022) in the field of actuarial studies since the inception of this award. Yang obtained his PhD in Actuarial Studies from Macquarie University in 2014. 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...view more
Yang Shen is an Associate Professor in the School of Risk and Actuarial Studies and an Associate Investigator of CEPAR. He was the first winner of DECRA (2020-2022) in the field of actuarial studies since the inception of this award. Yang obtained his PhD in Actuarial Studies from Macquarie University in 2014. 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 are at the intersection of actuarial studies and financial mathematics, including retirement planning, longevity and health risk, optimal insurance and reinsurance, pricing and hedging of insurance and annuity products, portfolio optimization and game theory. 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 financial mathematics (e.g. SIFIN) and operations research (e.g. EJOR). According to Google Scholar, as of August 2024, his publications were cited over 1,700 times and had an h-index of 25. His research has been funded by major funding agencies and professional organisations, such as ARC, NSERC, SOA, CAS, etc. More information can be found in the following 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
https://orcid.org/0000-0002-0559-2231