Runhuan Feng
Department of Mathematics
University of Illinois at Urbana-Champaign
 
 


Interested in postdoctoral positions?


Actuarial Science and Financial Mathematics Seminar


Mathematical Finance, Risk and Uncertainty Seminar



Quantitative Risk Management


The joint distribution of geometric Brownian motion with affine drift and its time integral. (with Hans W. Volkmer). Preprint. Available upon request.


Exponential functionals and variable annuity guaranteed benefits. (with Alexey Kuznetsov, Fenghao Yang). Preprint. Available upon request.


New identities for finite sums of products of generalized hypergeometric functions. (with Alexey Kuznetsov, Fenghao Yang). Preprint. Available upon request.


Applications of central limit theorems for equity-linked insurance. (with Yasutaka Shimizu). Preprint. Available upon request.


Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation. (with Huaxiong Huang). Insurance: Mathematics and Economics (2016) 67, 54-64. Download  Supplement


Risk-based capital requirements for guaranteed minimum withdrawal benefit. (with Jan Vecer). Preprint. Available upon request.


Conditional Asian options. (with Hans W. Volkmer). International Journal of Theoretical and Applied Finance. to appear. Download


Stochastic integral representations of the extrema of time-homogeneous diffusion processes. Methodology and Computing in Applied Probability. to appear. Download


Comonotonic approximations of risk measures for variable annuity guaranteed benefits. (with Jan Dhaene and Xiaochen Jing). Preprint. Download


An identity of hitting times and its application to the pricing of guaranteed minimum withdrawal benefit. (with Hans W. Volkmer). Mathematics and Financial Economics. 10(2), 127-149. Download


A comparative study of risk measures for the guaranteed minimum maturity benefit by a PDE method. North American Actuarial Journal (2014), 18(4), 445-461. Download


Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits. (with Hans W. Volkmer). ASTIN Bulletin (2014), 44(3), 653-681. Download


Analytical calculation of risk measures for variable annuity guaranteed benefits. (with Hans W. Volkmer), Insurance: Mathematics and Economics (2012), 51(3), 636-648. Download


Modeling credit value adjustment with downgrade-triggered termination clause. (with Hans W. Volkmer), Insurance: Mathematics and Economics (2012), 51(2), 409-421. Download


Actuarial application of epidemiological models. (with Jose Garrido),  North American Actuarial Journal (2011), 15(1), 112-136. Download


Ruin Theory


Potential measure of spectrally negative Markov additive process with applications to ruin theory. (with Yasutaka Shimizu). Insurance: Mathematics and Economics, (2014) 59, 11-26. Download


A unified analysis of claim costs up to ruin in a Markovian arrival risk model. (with Eric C.K. Cheung). Insurance: Mathematics and Economics, (2013), 53 (1), 98-109. Download

 

Optimal dividend policies for piecewise-deterministic Poisson risk models. (with Hans W. Volkmer, Shuaiqi Zhang, Chao Zhu). Scandinavian Actuarial Journal (2015) (5), 423-454. Download

 

On a generalization from ruin to default in Levy insurance risk models. (with Yasutaka Shimizu), Methodology and Computing in Applied Probability (2013), 15 (4), 773-802. Download

 

An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models. Insurance: Mathematics and Economics (2011), 48(2), 304-313. Download


A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model. Schweizerische Aktuarvereinigung Mitteilungen (2009), 1&2, 71-87. Download

On the total operating costs up to default in a renewal risk model.
Insurance: Mathematics and Economics (2009), 34(2), 305-314.

On the expectation of total discounted operating costs up to default and its applications. (with Jun Cai, Gordon E. Willmot), Advances in Applied Probability (2009) 41(2), 495-522. Download

Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends. (with Jun Cai, Gordon E. Willmot), ASTIN Bulletin (2009) 39(1): 225-247. Download

 

The compound Poisson surplus model with interest and liquid reserves: analysis of the Gerber-Shiu discounted penalty function.
(with Jun Cai, Gordon E. Willmot), Methodology and Computing in Applied Probability (2009) 11: 401-423.

Research

Runhuan Feng, PhD, FSA, CERA

Interim Director

Actuarial Science Program


Contact Info

Office: Altgeld Hall 374

Phone: 217.300.5630

Email: rfeng at illinois dot edu

   

Education

Ph.D. in Actuarial Science,

University of Waterloo,

Ontario, Canada, 2008


M.Sc. in Actuarial Mathematics, Concordia University,

Montreal, Canada, 2005


B.Sc. in Statistics,

B.Econ. in Insurance,

Nankai University,

Tianjin, China, 2003


Professional Designation

Fellow of the Society of Actuaries (FSA)

Chartered Enterprise Risk Analyst (CERA)


Research Interests

Ruin theory

Actuarial mathematics

Quantitative risk management Mathematical finance



Curriculum Vitae