Contact Information
227A Illini Hall, MC-382
1409 W. Green Street
Urbana, IL 61801
Research Areas
Research Interests
Risk Analytics
Actuarial Science
Quantitative Finance
Pension and Retirement Planning
Healthcare Data Analytics
Market innovation in FinTech and InsurTech
Education
Ph.D. University of Waterloo, 2008
Additional Campus Affiliations
Professor, Statistics
Office of Risk Management & Insurance Research (ORMIR) Faculty Fellow, Finance
Professor, Industrial and Enterprise Systems Engineering
External Links
Recent Publications
Chong, W. F., Feng, R., & Jin, L. (Accepted/In press). Holistic principle for risk aggregation and capital allocation. Annals of Operations Research. https://doi.org/10.1007/s10479-021-03987-4
Feng, R., Jiang, P., & Volkmer, H. (2021). Geometric Brownian motion with affine drift and its time-integral. Applied Mathematics and Computation, 395, [125874]. https://doi.org/10.1016/j.amc.2020.125874
Li, P., & Feng, R. (Accepted/In press). Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach. Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2021.1881809
Cheung, E. C. K., & Feng, R. (2019). Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times. Scandinavian Actuarial Journal, 2019(5), 355-386. https://doi.org/10.1080/03461238.2018.1525423
Feng, R., Kuznetsov, A., & Yang, F. (2019). Exponential functionals of Lévy processes and variable annuity guaranteed benefits. Stochastic Processes and their Applications, 129(2), 604-625. https://doi.org/10.1016/j.spa.2018.03.011
