Mingbin (Ben) Feng, Ph.D.
Assistant Professor of Actuarial Science
Department of Statistics and Actuarial Science
University of Waterloo
Associate of the Society of Actuaries (ASA)
Curriculum Vitae
Research Interests
Monte Carlo simulation design and analysis
Nested simulation, green simulation, and simulation analytics
Derivative pricing and risk management
Machine learning and statistics
Robust and stochastic optimization
Selected Publications
Feng and Staum (2020). Green Simulation with Database Monte Carlo. Accepted by ACM Transactions on Modeling and Computer Simulation (TOMACS) in Nov 2020.
Dang, Feng, and Hardy (2020). Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities. North American Actuarial Journal (NAAJ), Volume 24, Issue 2: Predictive Analytics, Pages 187-210.
Feng, Tan, and Zheng (2020). Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios. North American Actuarial Journal (NAAJ), Volume 24, Issue 2: Predictive Analytics, Pages 275-289.
Feng and Jiang (2020). Reusing Simulation Outputs of Repeated Experiments via Likelihood Ratio Regression. Proceedings of the 2020 Winter Simulation Conference (WSC).
Feng and Liu (2020). Path Generation Methods for Valuation of Large Variable Annuities Portfolio Using Quasi-monte Carlo Simulation. Proceedings of the 2020 Winter Simulation Conference (WSC).
Zheng, Xie, and Feng (2020). Green Simulation Assisted Reinforcement Learning with Model Risk for Biomanufacturing Learning and Control. Proceedings of the 2020 Winter Simulation Conference (WSC).
Feng, Miggiar, Staum, Waechter (2018). Complementarity Formulations of L0-norm Optimization Problems. Pacific Journal of Optimization, Volume 14, Number 2, pg. 273-305.
Feng and Staum (2017). Green Simulation: Reusing the Output of Repeated Experiments. ACM Transactions on Modeling and Computer Simulation (TOMACS), Volume 27, Issue 4, Article No. 23.
Staum, Feng, and Liu (2016). Systemic Risk Components in a Network Model of Contagion. IIE Transactions, 48(6), 501-510.
Feng, Waechter, and Staum (2015). Practical Algorithms for Value-at-Risk Portfolio Optimization Problems. Quantitative Finance Letters, 3(1), 1-9.
Teaching
Portfolio Optimization (ACTSC 973/CO 778): Spring 2020
Financial Mathematics 2 (ACTSC 621): Winter 2020, Winter 2019
Corporate Finance (ACTSC 372): Winter 2020, Fall 2019, Fall & Winter 2018, Winter 2017
Contacts
University of Waterloo
200 University Ave W, M3 3141
Waterloo, ON N2L 3G1
Tel: 519-888-4567, ext. 36812
Email: ben.feng@uwaterloo.ca
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