|Academic Profile |
| || |
Asst Prof Zhu Wenjun
Assistant Professor, College of Business (Nanyang Business School)
Phone: +65 65921859
Office: S3 B1B 71
|Dr. Wenjun Zhu (Ph.D., ASA, CERA) is currently an Assistant Professor in Nanyang Business School at Nanyang Technological University. She received her Ph.D. in the Department of Statistics and Actuarial Science, University of Waterloo, Canada, in 2015. As the first student admitted to the PhD program without a Master's degree in the department, Dr. Zhu holds double Bachelor's degree in Economics and Mathematics. She is also twice a winner of the Society of Actuaries James C. Hickman Scholar (2013-14, 2014-15). Before joining NBS, she served as an Assistant Professor from 2015-2017 in the School of Finance at Nankai University, China. |
Dr. Zhu has been publishing in top tier actuarial journals such as the Journal of Risk and Insurance, North American Actuarial Journal, ASTIN Bulletin, etc. She has interdisciplinary research experience in developing effective statistical and quantitative tools in evaluating and managing risks in the fields of insurance and finance. Currently, she is particularly interested in research topics including systemic risks in finance and insurance, commodity futures market, actuarial ratemaking in agricultural insurance, high dimensional modeling with copulas, and longevity risk management.
|Systemic risks in finance and insurance; Commodity futures markets; Actuarial ratemaking in agricultural insurance; High dimensional modeling with copulas; Longevity risk management.|
- Climate Risk And Financial MarketsFinancial Innovation For Agricultural Risk Management
- External award from Society of Actuaries
- Wenjun Zhu, Ken Seng Tan, and Lysa Porth. (2019). Agricultural Insurance Ratemaking: Development of a New Premium Principle. The North American Actuarial Journal, forthcoming.
- Lysa Porth, Ken Seng Tan, and Wenjun Zhu. (2019). A Relational Data-Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance. The North American Actuarial Journal, forthcoming.
- Wenjun Zhu, Ken Seng Tan, Lysa Porth, and Chou-Wen Wang. (2018). Spatial Dependence and Aggregation in Hedging Systemic Weather Risk: A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach. Astin Bulletin, 48(2), 779-815.
- Wenjun Zhu, Ken Seng Tan, Chou-Wen Wang. (2017). Modeling Multi-population Longevity Risk with Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach. Journal of Risk and Insurance, 84, 477–493.
- Wenjun Zhu, Chou-Wen Wang and Ken Seng Tan. (2016). Structure and Estimation of Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC): Theory and Empirical Tests. Journal of Banking and Finance, 69, 20-36.
« Back to Research Directory