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department of risk management and insurance
interview with students:
9:30-12:00am thursday, 2017 spring
job title:
associate professor
telephone:
(8610) 62757803
e-mail:
chen.kai@pku.edu.cn
address:
room 418, school of economics, peking university
education background:
09/2003-09/2007
university of waterloo, school of mathematics, waterloo, on, canada
doctor of philosophy in actuarial science
-dissertation: the valuation and risk management of a db underpin pension plan, advisor: dr. mary hardy
-research experience:
-implemented different financial instruments to hedge pension liabilities from pension plan sponsors’ perspective
-pioneered one hedging strategy to manage pension funds for a defined benefit (db) pension and authored new findings
-provided quantitative costs analysis for pension designers and proposed costs reduction approaches
-customized the monte carlo simulation to numerically solve pdes and calculate pension hedging costs
09/1998- 09/2002
peking university, school of mathematical sciences, beijing, china
b.s. in financial mathematics, 2002
work experience:
09/2013-present
associate professor, peking university, beijing, china
-teach four courses in actuarial science and risk management per year and mentored students in insurance major
-director of the china actuarial science development & research center at peking university
-courses: principle of actuarial science (undergraduate), enterprise risk management (undergraduate, in english), risk management modeling and applications (undergraduate), and practices in actuarial science (graduate)
09/2009-09/2013
assistant professor, peking university, beijing, china
-teach two courses in actuarial science and risk management per year and mentored students in insurance major
-designed a risk management course in english and will offer this course in 2012 for all students at peking university
-courses: principle of actuarial science (undergraduate), enterprise risk management (undergraduate, in english), risk management modeling and applications (undergraduate), and advanced actuarial science (graduate)
09/2007-09/2009
assistant professor, robert morris university, moon twp, pa
-taught three courses in mathematics and actuarial science per semester and mentored students in actuarial science major
-initiated a joint course with school of business for the society of actuaries professional examinations
09/2002-09/2003
research assistant, united security company financial laboratory, peking university, china
-evaluated the portfolio strategies and developed a new efficient strategy to increase roi with a low implied volatility
-analyzed the performance of china securities market, constructed a benchmark to test the efficiency of the market
07/2001-09/2001
summer intern, ping an insurance company of china, shenzhen, china
-analyzed the insurance policy historical data to evaluate the existing traditional fixed annuity products
-participated in the design of new variable annuity products and the exploration of new market opportunities
*other research experiences
06/2011- present
director, china actuarial science development & research center, peking university, beijing, china
09/2009- present
research fellow
china center for insurance and social security research, peking university, beijing, china
*leadership/ association
09/2003-09/2004
co-organizer, university of waterloo actuarial science club, waterloo, canada
? organized one and half hours lecture per week for club members pursuing the associate of society of actuaries (asa)
? managed seminars on actuarial topics featuring notable managers from canadian insurance companies
07/2000-08/2000
organizer/team leader, school of mathematical sciences, peking university, china
? raised 12,000 rmb fund to support one 12-person team to yunnan province to investigate the rich-poor gap in suburban
? used spare time to teach ethnic minority children mathematics and mandarin
research interests:
risk management
pension
enterprise risk management
monte carlo simulation
financial mathematics
teaching:
undergraduate level: principle of actuarial science, enterprise risk management (in english), risk management modeling and applications
graduate level: practices in actuarial science
publications:
? kai chen* and chi choi wong (2017), the decision-making actuarial pricing model based on expected utility theory and prospect theory, insurance studies, 2011(12)
? yue zhao, saiang gao, and kai chen*(2015), study on the model of individual pension reserve, finance forum, 66-74, 2015(8)
? kai chen* and yu duan(2014), multi-supports for retirement and household saving rate—empirical analysis on an overlapping generation model, journal of technoeconomics & management research，71-76，2014(6)
? wei zheng, shanjun lin, and kai chen*，characteristics and trend of population aging in china and its potential impact on economic growth, the journal of quantitative & technical economics，3-20, 2014(8)
? kai chen* and xiaojie gong (2012), the relationship between erm and the firm value in insurance companies, journal of technoeconomics & management research, 7-11, 2012(9)
? kai chen* and yu duan (2012), a study on the inflation risk of individual accounts of the social security fund, insurance studies, 2012(4)
? kai chen (2012), the valuation and risk management of a db underpin pension plan, central compilation and translation press
? kai chen* and yinshen he (2011), the valuation of hybrid pension plans and risk analysis, insurance studies, 2011(12)
? kai chen* and mary hardy (2009), the db underpin hybrid pension plan: fair valuation, north american actuarial journal, volume 13, number 4.
honors and awards:
*scholarships/certificates
? 09/2006, associate of the society of actuaries, specialization: risk management, finance, pension
? 09/2006, soa/cas ph.d. grants, us $10,000
? 01/2006, empire life insurance company graduate scholarship, ca $10,000
? 01/2005, dominion of canada general insurance company graduate scholarship, ca $10,000
