University of Calgary
Wenjun Jiang
- Assistant Professor
Office Hours
| Monday | Tuesday | Wednesday | Thursday | Friday | Saturday | Sunday |
|---|---|---|---|---|---|---|
| - | 2p‑3:30p (Jan 06 - Apr 30) | - | 2p‑3:30p (Jan 06 - Apr 30) | - | - | - |
Research Interests
Actuarial Science:
Currently Teaching
| W2024 - ACSC 531 - Loss Distributions and Their Estimations | ||||||||||
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| F2024 - ACSC 511 - Generalized Linear Models for Actuaries | ||||||||||
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| F2024 - ACSC 517 - Estimating Unpaid Claims in General Insurance | ||||||||||
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| F2024 - ACSC 611 - Generalized Linear Models for Actuaries | ||||||||||
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| F2024 - ACSC 617 - Estimating Unpaid Claims in General Insurance | ||||||||||
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| W2025 - ACSC 531 - Loss Distributions and Their Estimations | ||||||||||
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Student recruitment
Publications
Book
- Broverman, Sam and Jiang, Wenjun. ACTEX Interactive Study Manual for SOA Exam ASTAM ACTEX, 2023. Print.
Journal Articles - Peer Reviewed
- Boonen, Tim and Jiang, Wenjun. "Robust insurance design with distortion risk measures". European Journal of Operational Research (to appear), Print.
- Boonen, Tim and Jiang, Wenjun. "Pareto-optimal Reinsurance with Default Risk and Solvency Regulation". Probability in the Engineering and Informational Sciences, (2023). Print.
- Jiang, Wenjun and Boonen, Tim. "Bowley insurance with expected utility maximization of the policyholders". North American Actuarial Journal, (2023). Print.
- Liang, Xiaoqing, Jiang, Wenjun and Zhang, Yiying. "Optimal insurance design under mean-variance preference with narrow framing". Insurance: Mathematics and Economics 112. (2023): 59-79. Print.
- Chen, Yanhong, Jiang, Wenjun and Zhang, Yiying. "Mean-variance insurance design under heterogeneous beliefs". Journal of Risk 26.2 (2023): 105-132. Print.
- Shu, Qi, Xiong, Heng, Jiang, Wenjun and Mamon, Rogemar. "A novel perspective on forecasting non-ferrous metals’ volatility: integrating deep learning techniques with econometric models". Finance Research Letters (to appear), Print.
- Boonen, Tim and Jiang, Wenjun. "Mean-variance insurance design with counterparty risk and incentive compatibility". ASTIN Bulletin 52.2 (2022): 645-667. Print.
- Jiang, Wenjun. "Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility". Scandinavian Actuarial Journal 2022.9 (2022): 775-793. Print.
- Liang, Zhihang, Zou, Jushen and Jiang, Wenjun. "Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation". Insurance: Mathematics and Economics 104. (2022): 200-221. Print.
- Boonen, Tim and Jiang, Wenjun. "A Marginal Indemnity Function Approach to Optimal Reinsurance under the Vajda Condition". European Journal of Operational Research 303.2 (2022): 928-944. Print.
- Jiang, Wenjun and Ren, Jiandong. "Evaluating the tail risks of multivariate aggregate losses". ASTIN Bulletin 52.3 (2022): 921-952. Print.
- Mario, Ghossoub, Jiang, Wenjun and Ren, Jiandong. "Pareto-optimal reinsurance under individual risk constraints". Insurance: Mathematics and Economics 107. (2022): 307-325. Print.
- Tim, Boonen and Jiang, Wenjun. "Bilateral risk sharing in a comonotone market with rank-dependent utilities". Insurance: Mathematics and Economics 107. (2022): 361-378. Print.
- Mario, Ghossoub, Jiang, Wenjun and Ren, Jiandong. "Optimal insurance for a prudent decision maker under heterogeneous beliefs". European Actuarial Journal (to appear), Print.
- Jiang, Wenjun, Hong, Hanping and Ren, Jiandong. "Pareto-optimal reinsurance policies with maximal synergy". Insurance: Mathematics and Economics 96. (2021): 185-198. Print.
- Hong, Hanping, Huang, Qian, Jiang, Wenjun, Tang, Qian and Jarret, P. "Tornado wind hazard mapping and equivalent tornado design wind profile for Canada". Structural Safety 91. (2021): 102078. Print.
- Huang, Qian, Jiang, Wenjun and Hong, Hanping. "Development of a simple equivalent tornado wind profile for structural design and evaluation". Journal of Wind Engineering and Industrial Aerodynamics 213. (2021): 104602. Print.
- Huang, Qian, Jiang, Wenjun and Hong, Hanping. "Statistical assessment of spatial tornado occurrence for Canada: modelling and estimation". Journal of Applied Meteorology and Climatology 60.12 (2021): 1633-1651. Print.
- Jiang, Wenjun and Ren, Jiandong. "The effect of risk constraints on the optimal insurance policy". European Actuarial Journal 2022.12 (2021): 529-558. Print.
- Jiang, Wenjun, Marcos Escobar and Jiandong, Ren. "Design of optimal insurance contracts under distortion risk measure with ambiguity aversion". ASTIN Bulletin 50.2 (2020): 619-646. Print.
- Jiang, Wenjun, Ren, Jiandong, Yang, Chen and Hong, Hanping. "On optimal reinsurance treaties in cooperative game under heterogeneous beliefs". Insurance: Mathematics and Economics 85. (2019): 173-184. Print.
- Jiang, Wenjun, Hong, Hanping and Ren, Jiandong. "Estimation of model parameters of dependent processes constructed using Lévy Copulas". Communications in Statistics–Simulation and Computation 50.3 (2019): 691-707. Print.
- Jiang, Wenjun, Hong, Hanping and Ren, Jiandong. "On Pareto-optimal reinsurance with constraints under distortion risk measures". European Actuarial Journal 8. (2018): 215-243. Print.
- Yang, Chen, Jiang, Wenjun, Wu, Jiang and Liu, Xin. "Clustering of financial instruments using jump tail dependence coefficient". Statistical Methods and Applications 27. (2018): 491-513. Print.
- Liu, Xin, Wu, Jiang, Yang, Chen and Jiang, Wenjun. "A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection". Risks 6. (2018): 115-130. Print.
- Jiang, Wenjun, Ren, Jiandong and Ricardas Zitikis. "Optimal reinsurance policies when the interests of both the cedent and the reinsurer are taken into account". Risks 5. (2017): 11-32. Print.
Preprint
- Jiang, Wenjun. "Optimal insurance under rank dependent utility: prudence and incentive compatibility". Working paper, (2021). Print.
Degrees
- PhD - Actuarial Science
University of Western Ontario, 2019 - MSc - Actuarial Science
Concordia University, 2015 - BSc - Applied Math
Tianjin University, 2013
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