Mingbin (Ben) Feng
Mingbin (Ben) Feng, Ph.D.
Associate Professor of Actuarial Science
Department of Statistics and Actuarial Science
University of Waterloo
Associate of the Society of Actuaries (ASA)
Certified Analytics Professional (CAP)
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 & Song (2024). Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. Accepted by INFORMS Journal on Computing (IJOC) in May 2024.
Dang, Feng, & Hardy (2023). Two-Stage Nested Simulation of Tail Risk Measurement: A Likelihood Ratio Approach. Insurance: Mathematics and Economics (IME), Volume 108, pg. 1-24.
Feng, Li, & Zhou (2022). Green Nested Simulation via Likelihood Ratio: Applications to Longevity Risk Management. Insurance: Mathematics and Economics (IME), Volume 106, pg. 285-301.
Feng & Staum (2021). Green Simulation with Database Monte Carlo. ACM Transactions on Modeling and Computer Simulation (TOMACS), Volume 21, Issue 1, pg. 1-26.
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.
Teaching
Corporate Finance (Undergrad): Winter 2018, Fall 2018, Winter 2017
Investment Science & Corporate Finance (Undergrad): Fall 2021, Winter 2020, Fall 2019
Financial Mathematics 2 (Master's): Winter 2024, Winter 2021, Winter 2020, Winter 2019
Portfolio Optimization (PhD): Spring 2020
Contacts
University of Waterloo
200 University Ave W, M3 3141
Waterloo, ON N2L 3G1
Email: ben.feng@uwaterloo.ca
