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Education

Doctor of Philosophy, Mathematical Institute, University of Oxford, 2017, Advisor: Xunyu Zhou.

Master of Science, Department of Mathematics, Tongji University, 2012 Advisor: Lishang Jiang.

Bachelor of Science, Department of Mathematics, 2009, Tongji University.

Employment

Assistant Professor, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, 2019-Now.

Postdoctoral Researcher, Department of Statistics and Actuarial Science, University of Waterloo, 2017-2019.

Research Interests

Behavioural economics, finance and insurance; Time-inconsistent decision making; Collective decision making; Stochastic Control; Deep learning and its applications on dynamic models; Risk management; Credit risk.

Research Articles

Solutions to Equilibrium HJB equations for Time-Inconsistent Linear Quadratic Control: Characterization and Uniqueness (2023): Y Peng and W Wei.

Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms (2023): C Sun, KS Tan and W Wei.

On the time-inconsistent deterministic linear-quadratic control (2022): H Cai, D Chen, Y Peng and W Wei.  SIAM Journal on Control and Optimization, Vol 60, No 2, 968-991.

Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency (2021): KS Tan, W Wei and XY Zhou. SIAM Journal on Control and Optimization, Vol 59, No 6, 4136-4154.

Weighted discounting—On group diversity, time-inconsistency, and consequences for investment (2020): S Ebert, W Wei and XY Zhou. Journal of Economic Theory, Vol 189, 1-40.

Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle (2020): KS Tan, P Wei, W Wei and SC Zhuang. European Journal of Operational Research 282 (1), 345-362.

Optimal switching at Poisson random intervention times (2016): G Liang and W Wei. Discrete and Continuous Dynamical Systems Series B 21 (5), 1483-1505.

Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model (2015): G Liang, E Lütkebohmert and W Wei. Mathematics and Financial Economics 9 (4), 271-302.

A fully non-linear PDE Problem from pricing CDS with counterparty risk (2012): B Hu, L Jiang, J Liang and W Wei. Discrete & Continuous Dynamical Systems-Series B 17 (6).

Books

Financial mathematics series: mathematical models and case analysis of credit risk valuation (Chinese edition)  (2014):  L Jiang, J Liang, X Ren, W Wei. Higher Education Press.

Reviewer for

 Acta Mathematicae Applicatae Sinica (English Series),  Applied Mathematics and Optimization, Economic Modelling, Economic Theory, European Actuarial Journal, European Journal of Operational Research, Finance and Stochastics, International Journal of Theoretical and Applied Finance, International Review of Financial Analysis, Mathematics of Operations Research, Operations Research, SIAM Journal on Control and Optimization, SIAM Journal on Financial Mathematics.