Xiao WEI

Associate Professor

Contact Information

Address:	China Institute for Actuarial Science (CIAS) Central University of Finance and Economics (CUFE) Shahe Higher Education Park, Changping District,Beijing, P.R.China,102206
Email:	xiao.wwei@cufe.edu.cn
Telephone:

Employment

Ÿ 2010-                Associate professor

                Central University of Finance and Economics, CIAS & School of Insurance,  

Ÿ 2006-2010        Lecture

Central University of Finance and Economics, School of Insurance,

Ÿ 2006-2008        Project MathFi, Ingenieur

Institute National de La Recherche en Informatique et Automatique, France,

Education

Ÿ 2001-2006                 Master & Doctor Degree

Wuhan University, School of Mathematics and Statistics,

Ÿ 1997-2001                 Bachelor Degree

Wuhan University, School of Mathematics and Statistics,

Research Interests

Ÿ Probablity Limitation Theory, Actuarial Science, Mathematical Finance

Courses Taught

• Actuarial Science for non-life insurance

• Applied Stochastic Process

• Professional English for master student major in Actuarial Science

Publications

Refereed Journals:

Ÿ Ludovic Gouden’ege, Andrea Molent, Xiao Wei, Antonino Zanette,“Fourier Cosine Method for Pricing and Hedging Insurance Derivatives”, Theoretical Economics Letters, 8, 213-229, 2018

Ÿ Nicolas Privault, Xiao Wei, “Fast Computation of Risk Measures for Variable Annuities with additional Earnings by Conditional Moment Matching”, Astin Bulletin, 17(4), 1-26, 2017

Ÿ Xiao Wei, Jun Yang, “An Empirical Investigation of Impact Factors for the Profit Performance of Regional Life Insurance Market in China”, Journal of Transition Review Study, 22(1), 39-54，2015

Ÿ Xiao Wei, Marcellino Gaudenzi, Antonino Zanette, “Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model”, North American Actuarial Journal, 17(3), pp. 229-252，2013.• Jinyou Yu, •Yijun Hu, Xiao Wei,“The asymptotic of finite time ruin probabilities for risk model with variable interest rates”, Chinese Journal of Applied Probability and Statistics, 57-65, 26(1), 2010

Ÿ Jinyou Yu, Yijun Hu, Xiao Wei,“Duration of negative surplus of risk model with stochastic interest rate”, Acta Mathematica Scientia, 1-17, 30(1), 2010

Ÿ Nicolas Privault, Xiao Wei, “Calibration of the Libor market model- implementation in PREMIA”, Bankers, markets, investors, 20-29, 99, 2009

Ÿ Xiao Wei, Yijun Hu, “Ruin Probabilities for discrete time risk models with stochastic rates of interest”, Statistics and Probability Letters, 707-715, 78(6), 2008

Ÿ Xiao Wei, Jinyou Yu, Yijun Hu, “Finite time ruin probability and large deviation for perturbed risk model with variable premium income”, Acta Mathematica Sinita(Chinese), 616-623, 27A(4), 2007

Ÿ Nicolas Privault, Xiao Wei, “Integration by parts for point processes and Monte Carlo estimation”, Journal of Applied Probability, 806-823, 44(3), 2007

Ÿ Jinyou Yu, Xiao Wei, Yijun Hu, “Moderate deviation for negatively associated random sums of heavy tailed random variables”, Journal of Mathematics(Chinese), 494-498, Vol. 25, No.5, 2005

Ÿ Nicolas Privault, Xiao Wei, “ A Malliavin calculus approach to sensitivity analysis in insurance”, Insurance: Mathematics and Economics, 670-690, Vol.35, 2004

Ÿ Xiao Wei, Yijun Hu, “ Finite time ruin probability with variable interest rate and extended regular variation”, Wuhan University Journal of Natural Sciences(English Series), 863-866,Vol. 9, No. 6, 2004

Monograph:

• Case analysis project of economics and finance, 2016

• Study on the ruin problem of some risk models, 2012

• An elementary introduction to stochastic interest rate modeling, 2010

Research Grants

• 2019 MOE (Ministry of Education in China) Project of Humanities and Social Sciences (Project No. 19YJC79150)，The Quantitative analysis on the policy effect and the potential risk of tax-deferred commercial pension products. (80,000)

• 2015 Hign End Foreign Expert of State Administration of Foreign Expert Affaire, Stochastic Analysis method and its applications in the pricing and risk management of equity-linked insurance products. (200,000)

• 2012 Research Project for the China Insurance Institute, On the Renovation and Design of Life Insurance  (5000)

• 2010 Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry, Research on the Absolute ruin problem and duration of nagative surplus of risk models.

• 2009 NSFC for youth scholar,  Stochastic Analysis method on the Hedging and Pricing of Interest Rate Derivatives. (160,000)

• 2010 Research Project for China Insurance Regulatory Committee: Risk Measurement of Catastrophic Risk (8000)

Honours/Awards

• 2018 Instructor Award for Best Master Degree Thesis (Zhiyi Xiao)by CUFE

• 2017 Instructor Award for Best Master Degree Thesis (Meng Du) by CUFE

• 2016 Instructor Award for Best Master Degree Thesis (Jiaxuan Zhan) by CUFE

• 2015 Instructor Award for Best Master Degree Thesis (Mengjie Zhang) by CUFE

• 2010 YongJin Academic Award for Teacher by CUFE