Yang Shen

Welcome to my homepage. I am an Associate Professor in the School of Risk and Actuarial Studies and an Associate Investigator of CEPAR, UNSW Sydney. My current research interests include retirement planning, game theory, reinforcement learning, longevity risk, optimal insurance and reinsurance, and regime-switching model. In 2020-2022, I am an ARC DECRA research fellow on a project to demystify puzzles in retirement planning. I am available to supervise research students at various levels (Link to opportunities).

Contact Information

  • Name: SHEN, Yang

  • Email: y.shen[at]unsw.edu.au; skyshen87[at]gmail.com

  • Office Phone: +61 2 9385 3566

  • Office Address: Room 641, Level 6, East Wing, Business School Building, UNSW Sydney

Education

  • 09/2011 - 05/2014: Ph.D. in Actuarial Studies, Macquarie University

  • 09/2009 - 07/2011: M.Sc. in Financial Mathematics, Peking University

  • 09/2005 - 07/2009: B.Ec. in Insurance Science, East China Normal University

Employment

  • 01/2022 - Present: Associate Professor and DECRA Fellow (2020-2022), School of Risk and Actuarial Studies, University of New South Wales

  • 08/2019 - 12/2021: Senior Lecturer and DECRA Fellow (2020-2022), School of Risk and Actuarial Studies, University of New South Wales

  • 08/2015 - 08/2019: Assistant Professor, Department of Mathematics and Statistics, York University

  • 09/2013 - 08/2015: Research Fellow, CEPAR, UNSW Business School, University of New South Wales

Selected Publications (Link to a full list of publications; Link to Google Scholar Profile)

  • Shen Y; Wei J; Zhao Q, 2020, 'Mean–Variance Asset–Liability Management Problem Under Non-Markovian Regime-Switching Models', Applied Mathematics and Optimization, vol. 81, pp. 859 - 897, http://dx.doi.org/10.1007/s00245-018-9523-8

  • Shen Y; Su J, 2019, 'Life-Cycle Planning with Ambiguous Economics and Mortality Risks', North American Actuarial Journal, vol. 23, pp. 598 - 625, http://dx.doi.org/10.1080/10920277.2019.1634596

  • Chen L; Shen Y, 2019, 'Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework', Insurance: Mathematics and Economics, vol. 88, pp. 120 - 137, http://dx.doi.org/10.1016/j.insmatheco.2019.06.006

  • Chen L; Shen Y, 2018, 'On a new paradigm of optimal reinsurance: A stochastic stackelberg differential game between an insurer and a reinsurer', ASTIN Bulletin, vol. 48, pp. 905 - 960, http://dx.doi.org/10.1017/asb.2018.3

  • Shen Y; Sherris M, 2018, 'Lifetime asset allocation with idiosyncratic and systematic mortality risks', Scandinavian Actuarial Journal, vol. 2018, pp. 294 - 327, http://dx.doi.org/10.1080/03461238.2017.1343749

  • Hainaut D; Shen Y; Zeng Y, 2018, 'How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?', Annals of Operations Research, vol. 262, pp. 519 - 545, http://dx.doi.org/10.1007/s10479-016-2210-8

  • Zhang X; Xiong J; Shen Y, 2018, 'Bond and option pricing for interest rate model with clustering effects', Quantitative Finance, vol. 18, pp. 969 - 981, http://dx.doi.org/10.1080/14697688.2017.1388534

  • Ziveyi J; Sherris M; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options', Insurance: Mathematics and Economics, vol. 69, pp. 127 - 137, http://dx.doi.org/10.1016/j.insmatheco.2016.04.006

  • Shen Y; Wei J, 2016, 'Optimal investment-consumption-insurance with random parameters', Scandinavian Actuarial Journal, vol. 2016, pp. 37 - 62, http://dx.doi.org/10.1080/03461238.2014.900518

  • Meng Q; Shen Y, 2015, 'A revisit to stochastic near-optimal controls: The critical case', Systems and Control Letters, vol. 82, pp. 79 - 85, http://dx.doi.org/10.1016/j.sysconle.2015.04.008

  • Shen Y, 2015, 'Mean–variance portfolio selection in a complete market with unbounded random coefficients', Automatica, vol. 55, pp. 165 - 175, http://dx.doi.org/10.1016/j.automatica.2015.03.009

  • Fan K; Shen Y; Siu TK; Wang R, 2015, 'Pricing annuity guarantees under a double regime-switching model', Insurance: Mathematics and Economics, vol. 62, pp. 62 - 78, http://dx.doi.org/10.1016/j.insmatheco.2015.02.005

  • Shen Y; Zeng Y, 2015, 'Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process', Insurance: Mathematics and Economics, vol. 62, pp. 118 - 137, http://dx.doi.org/10.1016/j.insmatheco.2015.03.009

  • Shen Y; Meng Q; Shi P, 2014, 'Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance', Automatica, vol. 50, pp. 1565 - 1579, http://dx.doi.org/10.1016/j.automatica.2014.03.021

  • Zhao Q; Shen Y; Wei J, 2014, 'Consumption-investment strategies with non-exponential discounting and logarithmic utility', European Journal of Operational Research, vol. 238, pp. 824 - 835, http://dx.doi.org/10.1016/j.ejor.2014.04.034

  • Shen Y; Fan K; Siu TK, 2014, 'Option Valuation Under a Double Regime-Switching Model', Journal of Futures Markets, vol. 34, pp. 451 - 478

  • Shen Y; Siu TK, 2013, 'Longevity bond pricing under stochastic interest rate and mortality with regime-switching', Insurance: Mathematics and Economics, vol. 52, pp. 114 - 123

  • Shen Y; Siu TK, 2013, 'The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem', Nonlinear Analysis: Theory, Methods & Applications, vol. 86, pp. 58 - 73