|Academic Profile |
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Asst Prof Zhu Wenjun
Division of Banking & Finance
College of Business (Nanyang Business School)
Phone: (+65)6592 1859
- PhD University of Waterloo 2015
- BEcon(Hons) Nankai University 2011
- BS(Hons) Nankai University 2011
|Dr. Wenjun Zhu (Ph.D., A.S.A.) 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 interdisciplinary research experience in developing effective statistical and quantitative tools in evaluating and managing risks in the fields of insurance and finance. She is in the Executive Committee of the Agricultural Risk Management and Insurance Research Group (Website: https://www.agriskcentre.com). 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. (2018). Agricultural Insurance Ratemaking: Development of a New Premium Principle. 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, and Lysa Porth. (2018). A Credibility-based Yield Forecasting Model for Crop Reinsurance Pricing and Weather Risk Management. Agricultural Finance Review, forthcoming.
- 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.
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