Contact Information
227A Illini Hall, MC-382
1409 W. Green Street
Urbana, IL 61801
Research Interests
Risk Analytics
Actuarial Science
Quantitative Finance
Pension and Retirement Planning
Healthcare Data Analytics
Market innovation in FinTech and InsurTech
Additional Campus Affiliations
Associate Professor, Industrial and Enterprise Systems Engineering
Professor, Statistics
Office of Risk Management & Insurance Research (ORMIR) Faculty Fellow, Finance
External Links
Recent Publications
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
Feng, R., & Yi, B. (2019). Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits. Insurance: Mathematics and Economics, 85, 60-73. https://doi.org/10.1016/j.insmatheco.2018.12.003
Feng, R. (2018). An introduction to computational risk management of equity-linked insurance. (Chapman Hall/CRC Financial Mathematics Series). CRC Press, Boca Raton, FL. https://doi.org/10.1201/9781315151687
Cui, Z., Feng, R., & MacKay, A. (2017). Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model. North American Actuarial Journal, 21(3), 458-483. https://doi.org/10.1080/10920277.2017.1307765
