Pengyu is an Assistant Professor in Nanyang Business School at Nanyang Technological University, Singapore. He obtained his DPhil from the University of Oxford in 2018. Prior to joining NBS, he taught at the University of Waterloo (Canada) and the University of New South Wales (Australia).
- Wei, P. (2018). Risk management with weighted VaR. Mathematical Finance, 28(4), 1020-1060.
- Xue, X., Wei, P., & Weng, C. (2019). Derivatives trading for insurers. Insurance: Mathematics and Economics, 84, 40-53.
- Tan, K. S., Wei, P., Wei, W., & Zhuang, S. C. (2020). Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. European Journal of Operational Research, 282(1), 345-362.
- Sherris, M., & Wei, P. (2021). A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty. North American Actuarial Journal, 25(1), 17-39.
- Wei, P. (2021). Risk management with expected shortfall. Mathematics and Financial Economics, 15, 847–883.
- Li, W., Tan, K. S., & Wei, P. (Forthcoming). Demand for non-life insurance under habit formation. Insurance: Mathematics and Economics.