20122020

Research output per year

If you made any changes in Pure these will be visible here soon.

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.

 

Google Sites Homepage

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.

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

Research Output

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

Tan, K. S., Wei, P., Wei, W. & Zhuang, S., 1 Apr 2020, In : European Journal of Operational Research. 282, 1, p. 345-362 18 p.

Research output: Contribution to journalArticle

  • 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