RunhuanFeng.PDF

Runhuan Feng H. P. Petit Professorial Scholar Office: 374 Altgeld Hall Director of Actuarial Science Program Phone: (217) 3005630-1234 Department of Mathematics Email: rfeng@ University of Illinois at Urbana-Champaign Homepage: /~rfeng Professional designations Fellow of the Society of Actuaries, since 2012. Chartered Enterprise Risk Analyst, CERA Global Association, since 2012. Education Ph.D. Actuarial Science, University of Waterloo, 2008. M.Sc. Actuarial Mathematics, Concordia University, 2005. B.Sc. Statistics, B. Econ. Insurance, Nankai University, 2003. Appointments Director, Actuarial Science Program, University of Illinois, 2017– Present. Associate Professor, Department of Mathematics, University of Illinois, 2016– Present. Associate Professor, Department of Statistics, University of Illinois, 2016– Present. Interim Director, Actuarial Science Program, University of Illinois, 2016-2017. Assistant Professor, Department of Mathematics, University of Illinois, 2013–2016. Affiliate faculty, Computer Science and Engineering Program, University of Illinois, 2013–Present. Assistant Professor, Dept. of Mathematical Sciences, University of Wisconsin-Milwaukee, 2008-2012. Publications Journal Articles Z. Cui, R. Feng, A. MacKay. (2015) Variable annuities with VIX-linked fee structure under a Heston- type stochastic volatility model. To appear in North American Actuarial Journal. R. Feng, X. Jing, J. Dhaene. (2017) Comonotonic approximations of risk measures for variable an- nuity guaranteed benefits with dynamic policyholder behavior. Journal of Computational and Applied Mathematics, 311, 272–292. R. Feng, X. Jing. (2016) Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits. Insurance: Mat