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Personal profile

Research interests

Behavioural economics and nance, Group decision making, Time-inconsistent decision making, Stochastic control, Risk management, Numerical methods to HJB euqations.

Biography

I obtained PhD degree in the Mathematical and Computational Finance Group in the Mathematical Institute, Oxford University. Before joining Heriot-Watt University, I was a postdoctoral fellow in the Department of Statistics and Actuarial Science, Univeristy of Waterloo.

 

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Fingerprint Dive into the research topics where Wei Wei is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Reinsurance Mathematics
Deviation Mathematics
Excess Mathematics
Conditional Value at Risk Mathematics
Ruin Probability Mathematics

Co Author Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 2012 2020

Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle

Tan, K. S., Wei, P., Wei, W. & Zhuang, S., 3 Sep 2019, In : European Journal of Operational Research. 282, 1, p. 345-362 18 p.

Research output: Contribution to journalArticle

Reinsurance
International cooperation
Deviation
Insurance
Excess

Optimal switching at Poisson random intervention times

Liang, G. & Wei, W., Jul 2016, In : Discrete and Continuous Dynamical Systems - Series B. 21, 5

Research output: Contribution to journalArticle

Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model

Liang, G., Lütkebohmert, E. & Wei, W., Oct 2015, In : Mathematics and Financial Economics. 9, 4, p. 271–302

Research output: Contribution to journalArticle

A fully non-linear PDE problem from pricing CDS with counterparty risk

Hu, B., Jiang, L., Liang, J. & Wei, W., Sep 2012, In : Discrete and Continuous Dynamical Systems - Series B. 17, 6

Research output: Contribution to journalArticle