Wing Fung Chong

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Personal profile

Research Interests

Actuarial Science
Mathematical Finance

Professional Information

My research interests are in optimal insurance and reinsurance designs, premium principles and risk measures, indifference pricing and valuation, stochastic control and backward stochastic differential equations, optimal investment and forward performance preferences.

Education

Ph.D., Actuarial Science, The University of Hong Kong and King’s College London, 2017

Office Address

Department of Mathematics
257 Altgeld Hall, MC-382
1409 W. Green Street
Urbana, IL 61801

Office Phone

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Research Output

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Chong, W. F., Hu, Y., Liang, G. & Zariphopoulou, T., Jan 15 2019, In : Finance and Stochastics. 23, 1, p. 239-273 35 p.

Research output: Contribution to journalArticle

  • Budget-constrained optimal reinsurance design under coherent risk measures

    Cheung, K. C., Chong, W. F. & Lo, A., Oct 21 2019, In : Scandinavian Actuarial Journal. 2019, 9, p. 729-751 23 p.

    Research output: Contribution to journalArticle

  • Convex ordering for insurance preferences

    Cheung, K. C., Chong, W. F. & Yam, S. C. P., Sep 1 2015, In : Insurance: Mathematics and Economics. 64, p. 409-416 8 p.

    Research output: Contribution to journalArticle

  • DISAPPOINTMENT AVERSION PREMIUM PRINCIPLE

    Cheung, K. C., Chong, W. F., Elliott, R. & Yam, S. C. P., Jun 19 2015, In : ASTIN Bulletin. 45, 3, p. 679-702 24 p.

    Research output: Contribution to journalArticle