Edit Profile (opens in new tab) Weng, Chengguo Compute Distance To: Compute Author ID: weng.chengguo Published as: Weng, Chengguo; Weng, ChengGuo Documents Indexed: 41 Publications since 2004 1 Contribution as Editor Co-Authors: 35 Co-Authors with 39 Joint Publications 927 Co-Co-Authors all top 5 Co-Authors 2 single-authored 14 Tan, Ken Seng 10 Zhang, Yi 4 Lin, Hongcan 4 Saunders, David Claude 2 Cai, Jun 2 Chi, Yichun 2 Diao, Liqun 2 Shen, Zhiyi 2 Xue, Xiaole 2 Yi, Zhang 2 Zeng, Yan 2 Zhang, Jinggong 2 Zhuang, Shengchao 1 Assa, Hirbod 1 Chen, Shumin 1 Cong, Jianfa 1 Han, Dezhao 1 He, Wenjiong 1 Huang, Saihua 1 Lin, Zhengyan 1 Liu, Yanchu 1 Liu, Yukun 1 Meng, Yechao 1 Neuman, Eyal 1 Pang, Tianxiao 1 Schied, Alexander 1 Shen, Xinmei 1 Shen, Yang 1 Sun, Haoze 1 Wei, Pengyu 1 Wirjanto, Tony S. 1 Wu, Huiling 1 Zhang, Jingong 1 Zhao, Hui 1 Zhu, Yunzhou all top 5 Serials 12 Insurance Mathematics & Economics 7 North American Actuarial Journal 3 Scandinavian Actuarial Journal 2 Methodology and Computing in Applied Probability 2 Quantitative Finance 2 ASTIN Bulletin 1 Applied Mathematics and Optimization 1 Journal of Applied Probability 1 Journal of Multivariate Analysis 1 Systems & Control Letters 1 Statistics & Probability Letters 1 Operations Research Letters 1 Chinese Journal of Applied Probability and Statistics 1 Communications in Statistics. Theory and Methods 1 European Journal of Operational Research 1 Stochastic Processes and their Applications 1 International Journal of Theoretical and Applied Finance 1 OR Spectrum 1 Science China. Mathematics 1 Statistical Theory and Related Fields all top 5 Fields 34 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Statistics (62-XX) 10 Probability theory and stochastic processes (60-XX) 7 Systems theory; control (93-XX) 3 Operations research, mathematical programming (90-XX) 1 General and overarching topics; collections (00-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 28 Publications have been cited 415 times in 301 Documents Cited by ▼ Year ▼ Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 105 2008 Approximation of the tail probability of randomly weighted sums and applications. Zbl 1271.62030Zhang, Yi; Shen, Xinmei; Weng, Chengguo 66 2009 Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod 49 2016 Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 36 2011 Optimal reinsurance subject to Vajda condition. Zbl 1284.91217Chi, Yichun; Weng, Chengguo 22 2013 Optimal reinsurance with expectile. Zbl 1401.91106Cai, Jun; Weng, Chengguo 18 2016 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 17 2009 Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. Zbl 1367.60088Zhao, Hui; Weng, ChengGuo; Shen, Yang; Zeng, Yan 13 2017 Optimal investment strategies for participating contracts. Zbl 1416.91205Lin, Hongcan; Saunders, David; Weng, Chengguo 12 2017 Empirical approach for optimal reinsurance design. Zbl 1414.91234Tan, Ken Seng; Weng, Chengguo 10 2014 Multivariate reinsurance designs for minimizing an insurer’s capital requirement. Zbl 1306.91090Zhu, Yunzhou; Chi, Yichun; Weng, Chengguo 7 2014 CDF formulation for solving an optimal reinsurance problem. Zbl 1401.91200Weng, Chengguo; Zhuang, Sheng Chao 7 2017 Characterization of multivariate heavy-tailed distribution families via copula. Zbl 1236.62048Weng, Chengguo; Zhang, Yi 6 2012 Constant proportion portfolio insurance under a regime switching exponential Lévy process. Zbl 1284.91276Weng, Chengguo 5 2013 Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance. Zbl 1284.62558Huang, Sai-Hua; Pang, Tian-Xiao; Weng, Chengguo 5 2014 VaR-based optimal partial hedging. Zbl 1281.91142Cong, Jianfa; Tan, Ken Seng; Weng, Chengguo 4 2013 Dynamic risk-sharing game and reinsurance contract design. Zbl 1411.91270Chen, Shumin; Liu, Yanchu; Weng, Chengguo 4 2019 Derivatives trading for insurers. Zbl 1419.91387Xue, Xiaole; Wei, Pengyu; Weng, Chengguo 4 2019 VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. Zbl 1483.91208Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 4 2009 On the correlation order. Zbl 1098.62063Yi, Zhang; Weng, Chengguo 3 2006 An application of the \(\alpha\)-power approximation in multiple life insurance. Zbl 1157.91387Yi, Zhang; Weng, Chengguo 3 2006 Regression tree credibility model. Zbl 1410.91264Diao, Liqun; Weng, Chengguo 3 2019 Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo 3 2017 Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications. Zbl 1281.60048Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 3 2013 Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions. Zbl 1415.91272Wu, Huiling; Weng, Chengguo; Zeng, Yan 2 2018 Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework. Zbl 1394.91232Sun, Haoze; Weng, Chengguo; Zhang, Yi 2 2017 BSDE approach to utility maximization with square-root factor processes. Zbl 07186951Lin, Hongcan; Saunders, David; Weng, Chengguo 1 2020 Vine copula models with GLM and sparsity. Zbl 1368.60013Han, Dezhao; Tan, Ken Seng; Weng, Chengguo 1 2017 BSDE approach to utility maximization with square-root factor processes. Zbl 07186951Lin, Hongcan; Saunders, David; Weng, Chengguo 1 2020 Dynamic risk-sharing game and reinsurance contract design. Zbl 1411.91270Chen, Shumin; Liu, Yanchu; Weng, Chengguo 4 2019 Derivatives trading for insurers. Zbl 1419.91387Xue, Xiaole; Wei, Pengyu; Weng, Chengguo 4 2019 Regression tree credibility model. Zbl 1410.91264Diao, Liqun; Weng, Chengguo 3 2019 Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions. Zbl 1415.91272Wu, Huiling; Weng, Chengguo; Zeng, Yan 2 2018 Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. Zbl 1367.60088Zhao, Hui; Weng, ChengGuo; Shen, Yang; Zeng, Yan 13 2017 Optimal investment strategies for participating contracts. Zbl 1416.91205Lin, Hongcan; Saunders, David; Weng, Chengguo 12 2017 CDF formulation for solving an optimal reinsurance problem. Zbl 1401.91200Weng, Chengguo; Zhuang, Sheng Chao 7 2017 Optimal hedging with basis risk under mean-variance criterion. Zbl 1394.91242Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo 3 2017 Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework. Zbl 1394.91232Sun, Haoze; Weng, Chengguo; Zhang, Yi 2 2017 Vine copula models with GLM and sparsity. Zbl 1368.60013Han, Dezhao; Tan, Ken Seng; Weng, Chengguo 1 2017 Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod 49 2016 Optimal reinsurance with expectile. Zbl 1401.91106Cai, Jun; Weng, Chengguo 18 2016 Empirical approach for optimal reinsurance design. Zbl 1414.91234Tan, Ken Seng; Weng, Chengguo 10 2014 Multivariate reinsurance designs for minimizing an insurer’s capital requirement. Zbl 1306.91090Zhu, Yunzhou; Chi, Yichun; Weng, Chengguo 7 2014 Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance. Zbl 1284.62558Huang, Sai-Hua; Pang, Tian-Xiao; Weng, Chengguo 5 2014 Optimal reinsurance subject to Vajda condition. Zbl 1284.91217Chi, Yichun; Weng, Chengguo 22 2013 Constant proportion portfolio insurance under a regime switching exponential Lévy process. Zbl 1284.91276Weng, Chengguo 5 2013 VaR-based optimal partial hedging. Zbl 1281.91142Cong, Jianfa; Tan, Ken Seng; Weng, Chengguo 4 2013 Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications. Zbl 1281.60048Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 3 2013 Characterization of multivariate heavy-tailed distribution families via copula. Zbl 1236.62048Weng, Chengguo; Zhang, Yi 6 2012 Optimality of general reinsurance contracts under CTE risk measure. Zbl 1218.91097Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 36 2011 Approximation of the tail probability of randomly weighted sums and applications. Zbl 1271.62030Zhang, Yi; Shen, Xinmei; Weng, Chengguo 66 2009 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 17 2009 VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. Zbl 1483.91208Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 4 2009 Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 105 2008 On the correlation order. Zbl 1098.62063Yi, Zhang; Weng, Chengguo 3 2006 An application of the \(\alpha\)-power approximation in multiple life insurance. Zbl 1157.91387Yi, Zhang; Weng, Chengguo 3 2006 all cited Publications top 5 cited Publications all top 5 Cited by 420 Authors 18 Tan, Ken Seng 18 Weng, Chengguo 15 Cheung, Ka Chun 15 Chi, Yichun 14 Yang, Yang 13 Boonen, Tim J. 11 Zhuang, Shengchao 10 Jiang, Wenjun 9 Asimit, Alexandru V. 8 Yam, Sheung Chi Phillip 6 Assa, Hirbod 6 Cai, Jun 6 Ghossoub, Mario 6 Lo, Ambrose 6 Mao, Tiantian 6 Zhang, Yi 5 Cheng, Dongya 5 Gao, Qingwu 5 Hu, Junlei 5 Liang, Zhibin 5 Liu, Haiyan 5 Ren, Jiandong 5 Yin, Chuancun 5 Yuen, Kam Chuen 5 Zhang, Yiying 4 Badescu, Alexandru M. 4 Balbás, Alejandro 4 Balbás, Beatriz 4 Cheng, Fengyang 4 Chong, Wing Fung 4 Fang, Ying 4 Hu, Yijun 4 Li, Jinzhu 4 Liu, Fangda 4 Wang, Dingcheng 4 Wang, Yuebao 3 Balbás, Raquel 3 Brandtner, Mario 3 Chen, Yanhong 3 Chen, Yiqing 3 Cui, Wei 3 Dong, Yinghui 3 Guo, Fenglong 3 Heras, Antonio 3 Hu, Xiang 3 Jin, Zhuo 3 Kim, Eunseok 3 Kürsten, Wolfgang 3 Liang, Zongxia 3 Lin, Zhengyan 3 Liu, Yang 3 Meng, Hui 3 Peng, Jiangyan 3 Shen, Xinmei 3 Šiaulys, Jonas 3 Tang, Qihe 3 Wang, Guojing 3 Wang, Kaiyong 3 Wang, Ruodu 3 Wang, Shijie 3 Wei, Pengyu 3 Xu, Zuoquan 3 Yuen, Fei Lung 3 Zhang, Lianzeng 3 Zhao, Hui 3 Zhu, Yunzhou 2 Centeno, M. L. 2 Chen, Yu 2 Chen, Zhiping 2 Chong, Terence Tai-Leung 2 Cong, Jianfa 2 Dhaene, Jan 2 Geng, Bingzhen 2 Glauner, Alexander 2 Guerra, Manuel 2 Hashorva, Enkelejd 2 He, Lin 2 Hong, Hanping 2 Jin, Na 2 Leipus, Remigijus 2 Lemieux, Christiane 2 Li, Danping 2 Lin, Hongcan 2 Lin, Jianxi 2 Lin, X. Sheldon 2 Liu, Hongli 2 Lu, Zhiyi 2 Lv, Wenxin 2 Ma, Ming 2 Mackay, Anne 2 Meng, Lili 2 Pang, Tianxiao 2 Qian, Linyi 2 Qu, Zhongfeng 2 Rischau, Robert 2 Rong, Ximin 2 Saunders, David Claude 2 Shen, Qingjie 2 Shen, Yang 2 Siu, Tak Kuen ...and 320 more Authors all top 5 Cited in 67 Serials 74 Insurance Mathematics & Economics 25 Scandinavian Actuarial Journal 20 Communications in Statistics. Theory and Methods 16 ASTIN Bulletin 15 Journal of Computational and Applied Mathematics 13 North American Actuarial Journal 11 Statistics & Probability Letters 10 European Journal of Operational Research 7 European Actuarial Journal 6 Journal of Industrial and Management Optimization 5 Mathematical Problems in Engineering 5 Methodology and Computing in Applied Probability 5 Journal of the Korean Statistical Society 4 Advances in Applied Probability 4 Lithuanian Mathematical Journal 4 Journal of Applied Probability 4 Acta Mathematicae Applicatae Sinica. English Series 4 Extremes 4 Probability in the Engineering and Informational Sciences 3 Journal of Mathematical Analysis and Applications 3 Annals of Operations Research 3 Abstract and Applied Analysis 3 Statistical Theory and Related Fields 2 SIAM Journal on Control and Optimization 2 Discrete Dynamics in Nature and Society 2 Quantitative Finance 2 Journal of Systems Science and Complexity 2 Acta Mathematica Scientia. Series B. (English Edition) 2 Journal of Applied Mathematics and Computing 2 Stochastics 2 Journal of Function Spaces 1 The American Statistician 1 Rocky Mountain Journal of Mathematics 1 Applied Mathematics and Optimization 1 Journal of Multivariate Analysis 1 Operations Research 1 Journal of Time Series Analysis 1 Chinese Annals of Mathematics. Series B 1 Stochastic Analysis and Applications 1 Optimization 1 Applied Mathematical Modelling 1 Automation and Remote Control 1 Communications in Statistics. Simulation and Computation 1 Test 1 Applied Mathematics. Series B (English Edition) 1 Mathematical Methods of Operations Research 1 Journal of Inequalities and Applications 1 International Journal of Theoretical and Applied Finance 1 Econometric Theory 1 Brazilian Journal of Probability and Statistics 1 The ANZIAM Journal 1 Nonlinear Analysis. Modelling and Control 1 Journal of Applied Mathematics 1 OR Spectrum 1 Journal of Biological Dynamics 1 Frontiers of Mathematics in China 1 Mathematics and Financial Economics 1 Journal of Statistical Theory and Practice 1 Electronic Journal of Statistics 1 SIAM Journal on Financial Mathematics 1 Science China. Mathematics 1 Numerical Algebra, Control and Optimization 1 Statistics & Risk Modeling 1 ISRN Probability and Statistics 1 Control Theory and Technology 1 Modern Stochastics. Theory and Applications 1 AIMS Mathematics all top 5 Cited in 16 Fields 249 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 122 Statistics (62-XX) 80 Probability theory and stochastic processes (60-XX) 25 Systems theory; control (93-XX) 18 Operations research, mathematical programming (90-XX) 9 Calculus of variations and optimal control; optimization (49-XX) 4 Numerical analysis (65-XX) 2 Approximations and expansions (41-XX) 2 Integral transforms, operational calculus (44-XX) 2 Biology and other natural sciences (92-XX) 1 Real functions (26-XX) 1 Partial differential equations (35-XX) 1 Difference and functional equations (39-XX) 1 Integral equations (45-XX) 1 Computer science (68-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year