Jingyi Cao, York University

Research

ambiguity a-stable Lévy approximation contagious claims management mean-variance premium optimal (re)insurance optimal reinsurance chain random time horizon rate of convergence

Latest funding

Stochastic optimal control problems in insurance risk management
NSERC · 2023 · Principal investigator
$54,000
Stochastic optimal control problems in insurance risk management
NSERC · 2023 · Principal investigator
$12,500
New order of risk management: Theory and applications in the era of systemic risk
NSERC · 2022 · Co-investigator
$592,195

All 3 grants and awards

Stochastic optimal control problems in insurance risk management

Principal investigatorNSERC2023Discovery Grants Program - Individual

Principal investigators: Cao, Jingyi

Keywords: stackelberg differential game; optimal (re)insurance; optimal reinsurance chain; a-stable lévy approximation; contagious claims management; ambiguity; mean-variance premium; random time horizon; rate of convergence

$54,000

Stochastic optimal control problems in insurance risk management

Principal investigatorNSERC2023Discovery Launch Supplement

Principal investigators: Cao, Jingyi

$12,500

New order of risk management: Theory and applications in the era of systemic risk

Co-investigatorNSERC2022Alliance Grants

Principal investigators: Furman, Edward E

Keywords: risk aggregation; risk behavior; risk financing; risk identification; risk measurement; risk mitigation; risk modelling; risk regulation; risk (tail) dependence; systemic risk

$592,195

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

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Applying for

Mention their NSERC grant from 2023

Subject: Prospective PhD student: ambiguity Dear Professor Cao, 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 ambiguity 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 "Stochastic optimal control problems in insurance risk management" (2023), 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]