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Director, Institute of Global Asset Management Chou-Wen Wang

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Education

  • August 1999-June 2002

Ph.D. in Money and Banking, National Chengchi University, Taiwan

  • August 1996-June 1998

Master in Finance, National Sun Yan-sen University, Taiwan

  • August 1992-June 1996

Bachelor in Management Science, National Chiao Tung University, Taiwan

Working Experience

  • June 2020-

Director of Asia-Pacific MBA of National Sun Yan-sen University, Taiwan

  • June 2019-

Director of Hua Nan Financial Holdings Co., Ltd.

Fellow of Risk and Insurance Research Center, College of Commerce, National Chengchi University, Taipei, Taiwan.

Professor, Department of Finance

National Kaohsiung First University of Science and Technology (NKFUST), Taiwan

  • July 2013-July 2014

Visiting Scholar, Department of Statistic and Actuarial Science

University of Waterloo, Canada

Professor, Department of Risk Management & Insurance

National Kaohsiung First University of Science and Technology (NKFUST), Taiwan

Associate Professor, Department of Finance and Department of Risk Management & Insurance

National Kaohsiung First University of Science and Technology (NKFUST) , Taiwan

  • August 2002-January 2006

Assistant Professor, Department of Finance

National Kaohsiung First University of Science and Technology (NKFUST) , Taiwan

Honours and Awards

  • 2022 Outstanding Teacher in Industry-Academia Collaboration Research
  • in National Sun Yat-sen University (NSYSU) in Taiwan
  • 2021 Outstanding Teacher in Industry-Academia Collaboration Research
  • in National Sun Yat-sen University (NSYSU) in Taiwan
  • 2020 Outstanding Teacher in Industry-Academia Collaboration Research
  • in National Sun Yat-sen University (NSYSU) in Taiwan
  • 2019 Outstanding Teacher in Industry-Academia Collaboration Research

in National Sun Yat-sen University (NSYSU) in Taiwan

  • 2019 Industry-Academia Collaboration Incentive Award for Senior Category Deep Collaboration

in National Sun Yat-sen University (NSYSU) in Taiwan

  • 2018 Industry-Academia Collaboration Incentive Award for Emerging Talent in Non-Governmental Organizations

in National Sun Yat-sen University (NSYSU) in Taiwan

  • 2013 and 2014 Academic Research Award

in National Kaohsiung First University of Science and Technology (NKFUST) in Taiwan

  • 2011 Outstanding Paper Award “

“Portfolio Performance Evaluation with Leptokurtic Asset Returns”

at the 6th International Conference on Asia-Pacific Financial Markets in Seoul, South Korea, December 3, 2011.

  • 2009 Excellent Teaching Award

in National Kaohsiung First University of Science and Technology (NKFUST) in Taiwan

RESEARCH EXPERIENCE

Research Interests

Machine Learning in Portfolio Selection

Derivative Pricing

Stochastic Mortality Models and Mortality-linked Derivatives

Papers in Refereed Journals(Selected Publications after 2011)

  1. Wang, C. W., Liu, K., Li, B., & Tan, K. S. (2022). Portfolio Optimization Under Multivariate Affine Generalized Hyperbolic Distributions. International Review of Economics & Finance(科技部109年財務領域 A-級期刊), 80, 49-66.
  2. Feng, Z. Y., Wang, C. W., & Lu, Y. H. (2022). The Impact of Climatic Disaster on Corporate Investment Policy. Journal of Multinational Financial Management(科技部109年財務領域 B+級期刊),66, 100773.
  3. Wang, C. W., Zhang, J., & Zhu, W. (2021). Neighbouring Prediction for Mortality.  ASTIN Bulletin (科技部100年保險精算領域A-級期刊), 51(3), 689-718.
  4. Kung, K. L., Liu, I. C., & Wang, C. W. (2021). Modeling and Pricing Longevity Derivatives Using Skellam Distribution. Insurance: Mathematics and Economics (科技部100年保險精算領域A Tier-2級期刊), 99, 341-354.
  5. Lin, T., Wang, C. W., & Tsai, C. C. L. (2021). Correlated Age-Specific Mortality Model: an Application to Annuity Portfolio Management. European Actuarial Journal, 1-28.
  6. Yang, S. S., Wang, C. W., & Liu, I. C. (2020). Analytic Formulae for Valuing Guaranteed Minimum Withdrawal Benefits in a Multi-Asset Framework. Journal of Financial Studies(財務金融學刊), 28(1), 1-25.
  7. Wenjun Zhu, Ken Seng Tan, Lysa Porth, Chou‐Wen Wang (2018, Feb). Spatial Dependence & Aggregation in Weather Risk Hedging: A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach, ASTIN Bulletin (科技部100年保險精算領域 A-級期刊), 8 (2), 779-815.
  8. Chou-Wen Wang, Sharon S. Yang, Jr-Wei Huang (2017, Mar). Analytic Option Pricing and Risk Measures under a Regime-Switching Generalized Hyperbolic Model with an Application to Equity-Linked Insurance, Quantitative Finance (科技部109年財務領域 A Tier-2級期刊), Volume 17, Issue 10, Pages 1567-1581. 本人為第一作者.
  9. Chou-Wen Wang, Hong-Chih Huang (2017, May). Risk Management of Financial Crises: An Optimal Investment Strategy with Multivariate Jump Diffusion Models, ASTIN Bulletin (科技部100年保險精算領域A-級期刊), Volume 47, Pages 501-525 (SSCI). 本人為第一作者.
  10. Wenjun Zhu, Ken Seng Tan, Chou-Wen Wang (2017, Apr). Modeling Multi-country Longevity Risk with Mortality Dependence: A Levy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach, Journal of Risk and Insurance (科技部100年保險精算領域A Tier-1級期刊). Vol. 84, No. S1, 477–493. (SSCI).
  11. Shang-Yin Yang, Chou-Wen Wang, and Hong-Chih Huang (2016, Sep). The Valuation of Lifetime Health Insurance Policies with Limited Coverage. Journal of Risk and Insurance (科技部100年保險精算領域A Tier-1級期刊), Volume 83, Issue 3, Pages 513–801. (SSCI). 
  12. Shyh-Weir Tzang, Chou-Wen Wang, and Min-Teh Yu (2016, May). Systematic Risk and Volatility Skew. International Review of Economics and Finance (科技部109年財務領域A-級期刊), Volume 43, Pages 72-87. (SSCI). 
  13. Chou-Wen Wang, Hong-Chih Huang, and Yung-Tsung Lee (2016, May). On the Valuation of Reverse Mortgage Insurance. Scandinavian Actuarial Journal (科技部100年保險精算領域B+級期刊), Volume 2016, Issue 4,, pages 293-318. (SSCI). 本人為第一作者. 
  14. Wenjun Zhu, Chou-Wen Wang, Ken Seng Tan (2016, Jan). Structure and Estimation of Levy Subordinated Hierarchical Archimedean Copulas (LSHAC): Theory and Empirical Tests. Journal of Banking and Finance (科技部109年財務領域A Tier-1級期刊), Volume 69, issue C, Pages 20-36 (SSCI). MOST 101-2410-H-327-029. 
  15. Chou-Wen Wang, Sharon S. Yang, and Hong-Chih Huang (2015, Jul). Modeling Multi-Country Mortality Dependence and Its Application in Pricing Survivor Index Swaps— A Dynamic Copula Approach. Insurance: Mathematics and Economics (科技部100年保險精算領域A Tier-2級期刊), Volume 63, Pages 30–39 (SSCI). MOST 101-2410-H-327-029. 本人為第一作者.
  16. Tzuling Lin, Chou-Wen Wang, Cary Chi-Liang Tsai (2015, Mar). Age-specific Copula-AR-GARCH Mortality Models. Insurance: Mathematics and Economics (科技部100年保險精算領域A Tier-2級期刊), Volume 61, 110- 124. (SSCI). MOST 102-2410-H-194-014. 
  17. Chou-Wen Wang, Sharon S. Yang (2013, Dec). Pricing Survivor Derivatives with Cohort Mortality Dependence under the Lee-Carter Framework. Journal of Risk and Insurance (科技部100年保險精算領域 A Tier-1 級期刊), Vol. 80, No. 4, 1027–1056. (SSCI). NSC 98-2410-H-327-024. 本人為第一作者.
  18. Chou-Wen Wang, Hong-Chih Huang, I-Chien Liu (2013, Sep). Mortality Modeling with Non-Gaussian Innovations and Applications to the Valuation of Longevity Swaps. Journal of Risk and Insurance (科技部100年保險精算領域 A Tier-1 級期刊) , Vol. 80, No. 3, 775–797. (SSCI). 本人為第一作者.
  19. Sharon S. Yang, Chou-Wen Wang (2013, Mar). Pricing and Securitization of Multi-country Longevity Risk with Mortality Dependence. Insurance: Mathematics and Economics (科技部100年保險精算領域 A Tier-2 級期刊) , Vol. 52, Issue 2, 157-169. (SSCI). NSC 98-2410-H-327-024.
  20. Chou-Wen Wang, Hong-Chih Huang, De-Chuan Hong (2013, Feb). A Feasible Natural Hedging Strategy for Insurance Companies. Insurance: Mathematics and Economics (科技部100年保險精算領域 A Tier-2 級期刊) , Vol. 52, Issue 3, 532-541. (SSCI). 本人為第一作者.
  21. Chia-Chien Chang, Chou-Wen Wang, Chih-Yuan Yang (2012, Sep). The Effects of Macroeconomic Factors on Pricing Mortgage Insurance Contracts. Journal of Risk and Insurance (科技部100年保險精算領域 A Tier-1 級期刊), Vol. 79, No. 3, 867-895. (SSCI). 本人為通訊作者.
  22. Yung-Tsung Lee, Chou-Wen Wang, Hong-Chih Huang (2012, Sep). On the Valuation of Reverse Mortgages with Regular Tenure Payments. Insurance: Mathematics and Economics (科技部100年保險精算領域 A Tier-2 級期刊), Volume 51, Issue 2, P.430–P.441. (SSCI).
  23. Chou-Wen Wang, Chin-Wen Wu, Shyh-Weir Tzang (2012, Jan). Implementing Option Pricing Models when Asset Returns Follow an Autoregressive Moving Average Process. International Review of Economics and Finance (科技部109年財務領域 A-級期刊), Volume 24, P.8–P.25 . (SSCI). 本人為第一作者、通訊作者.
  24. Chou-Wen Wang, Hong-Chih Huang, I-Chien Liu (2011, Oct). A Quantitative Comparison of the Lee-Carter Model with Non-Gaussian Innovations for Long-Term Mortality Data. Geneva Papers on Risk and Insurance - Issues and Practice (科技部100年保險精算領域B+級期刊), Volume 36, Issue 4, Pages 675-696. (SSCI). 本人為第一作者.
  25. Hong-Chih Huang, Chou-Wen Wang, Yuan-Chi Miao (2011, Oct). Securitization of Crossover Risk in Reverse Mortgages. Geneva Papers on Risk and Insurance - Issues and Practice (科技部100年保險精算領域B+級期刊), Volume 36, Issue 4, Pages 622-647. (SSCI). 本人為通訊作者.
  26. Shyh-Weir Tzang, Chih-Hsing Hung, Chou-Wen Wang, David So-De Shyu (2011, Apr). Do Liquidity and Sampling Methods Matter in Constructing Volatility Indices? Empirical Evidence from Taiwan. International Review of Economics and Finance (科技部109年財務領域 A-級期刊), Volume 20, Issue 2, Pages 312-324. (SSCI).
  27. Chou-Wen Wang, Ting-Yi Wu (2011, Mar). Futures and Futures Options with Basis Risk: Theoretical and Empirical Perspectives. Quantitative Finance (科技部109年財務領域 A Tier-2級期刊), Volume 11, Issue 3, 2011, pages 477-485. (SSCI). NSC 96-2416-H-327-017. 本人為第一作者.
     

Professional Services

   Instructors of Official Financial Agencies in Taiwan:  

  1. Taiwan Security Association(中華民國證券商同業公會)
  2. Chinese National Futures Association(中華民國期貨商業同業公會)
  3. Taiwan Academy of Banking and Finance(台灣金融研訓院)
  4. Securities and Futures Institute(證券與期貨市場發展基金會)

Reviewer of International Academic Journals:

  1. Quantitative Finance
  2. Insurance: Mathematics and Economics
  3. North American Actuarial Journal
  4. ASTIN Bulletin
  5. Geneva Papers on Risk and Insurance-Issues and Practice
  6. International Journal of Theoretical and Applied Finance
  7. Emerging Markets Finance and Trade
  8. Economic Modelling.

Grants

Between 2002 and 2024, each year received research grants from the National Science and Technology Commission (NSTC), and a total of 17 NSTC academic research projects were undertaken. Among them, there were three-year projects from 2013 to 2016, 2018 to 2021, and 2021 to 2024, with amounts of NT$2,548,000, NT$3,296,000, and NT$3,271,000, respectively. The project from 2016 to 2018 was a two-year project with a funding amount of NT$1,992,000. The remaining projects were one-year projects, totaling NT$7,256,000. The total amount of grants received was NT$18,363,000.

In addition, there were collaborative projects with the Office of Global Industry-Academe Collaboration and Advancement, Sun Yat-sen University, with a total of 13 industry-academe collaboration projects undertaken. In 2017, two collaboration projects were undertaken with funding amounts of NT$1,500,000 and NT$500,000, respectively. In 2018, three collaboration projects were undertaken with funding amounts of NT$1,500,000, NT$450,000, and NT$520,000, respectively. In 2019, one collaboration project was undertaken with a funding amount of NT$1,000,000. In 2020, three collaboration projects were undertaken with funding amounts of NT$130,000, NT$300,000, and NT$1,500,000, respectively. In 2021, one collaboration project was undertaken with a funding amount of NT$1,200,000. In 2022, two collaboration projects were undertaken with funding amounts of NT$408,000 and NT$1,500,000, respectively. In 2023, one collaboration project was undertaken with a funding amount of NT$841,500. The total amount of grants received was NT$11,349,500.