Chengguo Weng

Optimal reinsurance under VaR and CTE risk measures

Jun Cai, Ken Seng Tan, Chengguo Weng et al. · Insurance Mathematics and Economics · 2008 · 266 citations

Financial Risk Management, Risk Management, Management +5

Approximation of the tail probability of randomly weighted sums and applications

Yi Zhang, Xinmei Shen, Chengguo Weng · Stochastic Processes and their Applications · 2008 · 110 citations

Large Deviations, Engineering, Discrete Probability +8

Marginal Indemnification Function formulation for optimal reinsurance

Sheng Chao Zhuang, Chengguo Weng, Hirbod Assa · Insurance Mathematics and Economics · 2015 · 94 citations

Mathematical Programming, Portfolio Optimization, Engineering +7

Optimality of general reinsurance contracts under CTE risk measure

Ken Seng Tan, Chengguo Weng, Yi Zhang · Insurance Mathematics and Economics · 2011 · 77 citations

Mathematical Programming, Engineering, Financial Risk Management +6

VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

Ken Seng Tan, Chengguo Weng, Yi Zhang · North American Actuarial Journal · 2009 · 68 citations

Optimal Reinsurance Models, Asset Pricing, Financial Risk Management +14