Research areas

Optimal insurance and reinsurance; life-cycle planning; portfolio optimization; stochastic differential game; model uncertainty
 

Qualifications

B.Sc (Mathematics)

MRes (Actuarial Studies)

PhD (Actuarial Studies)

Certified Financial Risk Manager (FRM) from Global Association of Risk Professionals
 

Biography

Ning joined RSFAS as a Lecturer in Actuarial Studies in January 2024. Prior to joining RSFAS, he was a Research Fellow at University of Wollongong and Macquarie University. His current research interest is the application of stochastic optimal control in finance and insurance, including optimal reinsurance design, optimal portfolio selection, model uncertainty, stochastic differential game and life-cycle planning model. Ning’s research contributions have appeared in Insurance: Mathematics and Economics, European Journal of Operational Research, Scandinavian Actuarial Journal, North American Actuarial Journal, Quantitative Finance, Annals of Operations Research, etc.
 

Publications

• Wang, H., Siu, T. K., Hu, S. and Wang, N. Life-cycle model with subsistence consumption constraint and state-dependent utilities. The North American Journal of Economics and Finance 73, 102182.
• Wang, N & Zhang, Y 2024, 'Robust asset-liability management games for n players under multivariate stochastic covariance models', Insurance: Mathematics and Economics, vol. 117, pp. 67-98.
• Wang, N, Zhu, S & Elliott, R 2023, 'Optimal asset allocation under search frictions and stochastic interest rate', Quantitative Finance, vol. 23, no. 6, pp. 1019-1033.
• Wang, W, Wang, N & Chen, M 2023, 'On a doubly reflected risk process with running maximum dependent reflecting barriers', Journal of Computational and Applied Mathematics, vol. 422.
• Wang, H, Wang, N, Xu, L et al. 2023, 'Household investment-consumption-insurance policies under the age-dependent risk preferences', International Journal of Control, vol. 96, no. 10, pp. 2542-2554.
• Wang, N & Zhang, Y 2023, 'Robust optimal asset-liability management with mispricing and stochastic factor market dynamics', Insurance; Mathematics and Economics, vol. 113, pp. 251-273.
• Sui, T, Nguyen, H & Wang, N 2022, 'Dynamic Fund Protection for Property Markets', North American Actuarial Journal, vol. 26, no. 3, pp. 383-402.
• Wang, N, Siu, T & Fan, K 2022, 'Robust reinsurance and investment strategies under principal-agent framework', Annals of Operations Research.
• Wang, N, Qian, L, Zhang, N et al. 2021, 'Modelling the aggregate loss for insurance claims with dependence', Communications in Statistics: Theory and Methods, vol. 50, no. 9, pp. 2080-2095.
• Wang, N, Siu, T, Jin, Z et al. 2021, 'Household consumption-investment-insurance decisions with uncertain income and market ambiguity', Scandinavian Actuarial Journal, vol. 2021, no. 10, pp. 832-865.
• Wang, N, Zhang, N, Jin, Z et al. 2021, 'Reinsurance-investment game between two mean-variance insurers under model uncertainty', Journal of Computational Mathematics, vol. 382.
• Wang, N, Zhang, N, Jin, Z et al. 2020, 'Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints', Insurance; Mathematics and Economics, vol. 96, pp. 168-164.
• Wang, N & Siu, T 2020, 'Robust reinsurance contracts with risk constraint', Scandinavian Actuarial Journal, vol. 2020, no. 5, pp. 419-453.
• Qian, L, Wang, W, Wang, N et al. 2019, 'Pricing and hedging equity-indexed annuities via local risk-minimization', Communications in Statistics: Theory and Methods, vol. 48, no. 6, pp. 1417-1434.
• Wang, N, Zhang, N, Jin, Z et al. 2018, 'Robust non-zero-sum investment and reinsurance game with default risk', Insurance; Mathematics and Economics, vol. 84.