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


Quantitative Risk Management


Conditional Asian options. (with Hans W. Volkmer). Preprint. Available upon request.


Stochastic integral representations of the extrema of time-homogeneous diffusion processes. Preprint. Available upon request.


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


An identity of hitting times and its application to the pricing of guaranteed minimum withdrawal benefit. (with Hans W. Volkmer). Download


A comparative study of risk measures for the guaranteed minimum maturity benefit by a PDE method. North American Actuarial Journal (2014), to appear. 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, 59, 11-26.


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.

 

Optimal dividend policies for piecewise-deterministic Poisson risk models. (with Hans W. Volkmer, Shuaiqi Zhang, Chao Zhu). Scandinavian Actuarial Journal (2014+). 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

Contact Info

Office: Illini Hall 230

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


Other Interests

Actuarial programming: Since undergrad, I have been working on my own projects to produce some user-friendly actuarial software, which would make available to non-professional people like my parents an actuary’s tool kit to deal with investments. Program package available upon request.


Curriculum Vitae