Jun Cai, University of Waterloo

Research

Capital allocation Dependence uncertainty Distributional uncertainty Insurance risk modelling Model uncertainty Optimal reinsurance Optimization in insurance and finance Quantitative risk management

Latest funding

Quantitative Risk Management under Model Uncertainty: Reinsurance, Capital Allocation, and Systemic Risk
NSERC · 2022 · Principal investigator
$93,000
Measuring, modelling, and managing insurance risks
NSERC · 2016 · Principal investigator
$132,000
Insurance risk analysis with dependence and reinsurance
NSERC · 2011 · Principal investigator
$80,000

All 5 grants and awards

Quantitative Risk Management under Model Uncertainty: Reinsurance, Capital Allocation, and Systemic Risk

Principal investigatorNSERC2022Discovery Grants Program - Individual

Principal investigators: Cai, Jun

Keywords: quantitative risk management; insurance risk modelling; risk measure; optimal reinsurance; capital allocation; distributional uncertainty; dependence uncertainty; model uncertainty; systemic risk; optimization in insurance and finance

$93,000

Measuring, modelling, and managing insurance risks

Principal investigatorNSERC2016Discovery Grants Program - Individual

Principal investigators: Cai, Jun

$132,000

Insurance risk analysis with dependence and reinsurance

Principal investigatorNSERC2011Discovery Grants Program - Individual

Principal investigators: Cai, Jun

$80,000

Insurance risk analysis with credit and debit interest

Principal investigatorNSERC2006Discovery Grants Program - Individual

Principal investigators: Cai, Jun

$120,000

Ruin theory under stochastic rates of interest

Principal investigatorNSERC2002Discovery Grants Program - Individual

Principal investigators: Cai, Jun

$62,000

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

Write to this professor

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Applying for

Mention their NSERC grant from 2022

Subject: Prospective PhD student: Capital allocation Dear Professor Cai, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research on capital allocation connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] I also saw your NSERC-funded project "Quantitative Risk Management under Model Uncertainty: Reinsurance, Capital Allocation, and Systemic Risk" (2022), and I would be glad to contribute to work in that direction. Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]