Jessica (Ou) Dang (Sep 2016 - present)

• Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities

Katrina (Jiazhen) Chen (Sep 2020 - present)

Tony (Xintong) Li (Sep 2020 - present)

Hsiao-Cheng Dung (Sep 2020 - present)

Ren Jie (Jan 2021 - present)

Tony (Xintong) Li (2020): Approximating Nested Simulation Models with Machine Learning Methods

Katrina (Jiazhen) Chen (2019): Online Risk Monitoring Using Logistic Regression

Fan Xia (2018): Simulation Modeling and Analytics of Human Decision Process and Segmentation of Population through Simulated Behavioral Data

Yifei Song (2017): The Optimal Strategy in a Semi-static Model for Pricing Guaranteed Minimum Benefit Riders under Different Withdrawal Rate Assumptions

Zhenni Tan (2017): The Impact of Clustering Method for Pricing a Large Portfolio of VA Policies

Jiayi Zheng (2017): Efficient Greek Estimation for Variable Annuities using Monte Carlo Simulation

Iris (Mingyi) Jiang (2020): Update & maintain the vamc R package. Convergence proof for kernel estimators for American option pricing.

Cheryl (Ziyu) Chi (2020): Survey of robust portfolio optimization.

Jasper Zhu (2019): Comparison study on efficient nested simulation methods and their application in American option pricing.

Hanson (Hengxin) Li (2018): Pricing and hedging of large portfolios of variable annuities. An R package vamc was developed.

Tony (Jiaxin) Liu (2016): Topics on portfolio optimization, CAPM, and diversification.