Yunran Wei, ASA, Ph.D.
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Tenure-track Assistant Professor, School of Mathematics and Statistics, Carleton University
PhD, University of Waterloo, supervisors: Ruodu Wang and Gord Willmot
MMath in Statistics, University of Waterloo, supervisor: Carole Bernard
BMath, Double Major in Pure Mathematics and Mathematical Finance, University of Waterloo
Email: yunran.wei AT Carleton.ca or yunranwei AT cunet.carleton.ca
Office: Herzberg Laboratories, 4354
Research Interests: Financial Technologies, Mathematical Finance, Quantitative Risk Management, Statistics.
photo taken at Dayton, Ohio, 2017.
Preprint
(2024) On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market. (with Tong Pu and Yiying Zhang). ArXiv.
(2024) Risk Sharing with Lambda Value-at-Risk under Heterogeneous Beliefs. (with Peng Liu and Andreas Tsanakas). ArXiv.
Publications
(2023) Assessing the Difference between Integrated Quantiles and Integrated Cumulative Distribution Functions. Insurance: Mathematics and Economics, 111, 163 - 172 (with Ričardas Zitikis). Journal link. (Arxiv.)
(2022) Parametric Measures of Variability Induced by Risk Measures. Insurance: Mathematics and Economics, 106, 270 - 284 (with Fabio Bellini, Tolulope Fadina and Ruodu Wang). Journal link. (Pdf version.)
(2020) Characterizing Optimal Allocations in Quantile-based Risk Sharing. Insurance: Mathematics and Economics, 93, 288-300 (with Ruodu Wang). Journal link. (Pdf version.)
(2020) Distortion Riskmetrics on General Spaces. ASTIN Bulletin, 50(3), 827-851 (with Qiuqi Wang and Ruodu Wang). Journal link. (Pdf version.)
(2020) Risk Functionals with Convex Level Sets. Mathematical Finance, 30(4), 1337-1367 (with Ruodu Wang). Journal link. (Pdf version.)
(2020) Characterization, Robustness and Aggregation of Signed Choquet Integrals. Mathematics of Operations Research, 45(3), 797-1192 (with Ruodu Wang and Gordon Willmot). Journal link. (Pdf version.)
Professional Credential:
Associate, Society of Actuaries (ASA)
Selected Awards:
NSERC Discovery Grant - Early Career Researcher (RGPIN-2023-04674, sole PI), $27,000 CAD/year, 2023 - 2028
NSERC Discovery Launch Supplement (DGECR-2023-00454, sole PI), $12,500 CAD/year, 2023 - 2024
James C. Hickman Scholar Doctoral Stipend, $20,000 USD/year, Society of Actuaries, 2018 - 2019.
Updated: December, 2024
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