Ng, Andrew C.Y.（伍卓賢）

Biography

Prof. Andrew Ng is an Associate Professor of Practice in Actuarial Science at The Chinese University of Hong Kong (CUHK). He received his bachelor’s and master’s degree from the University of Hong Kong and doctorate from the University of Iowa. Prof. Ng has more than 10 years of experience in actuarial science and financial mathematics education. He teaches a broad range of undergraduate actuarial science courses and postgraduate quantitative finance courses, including life contingencies, stochastic modelling, derivatives, credit modelling and quantitative risk management. His excellence in teaching was well recognised. He was awarded the Outstanding Teaching Award from CUHK Business School in both 2011 and 2015. In 2012, he was awarded the Vice-Chancellor’s Exemplary Teaching Award from CUHK. Prof. Ng is active in the actuarial community. He is a fellow member of the Society of Actuaries. He has served as member of the Education Committee and Interest Rate Working Group of the Actuarial Society of Hong Kong. He is also currently member of various syllabus committees of the Society of Actuaries.

Teaching Areas

Actuarial Science
Option Pricing
Risk Management
Stochastic Processes

Research Interests

Actuarial Science
Insurance Risk Models
Stochastic Processes

• Publications & Working Papers
  • K.A. Fu and Andrew C.Y. Ng (2014), “Asymptotics for Ruin Probabilities of a Time-dependent Renewal Risk model with Geometric Lévy Process Investment Returns and Dominated-varying-tailed Dependent Claims,”  Insurance: Mathematics and Economics, 56, 80-87.
  • K.A. Fu and Andrew C.Y. Ng (2014), “Uniform Tail Asymptotics for Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails,” Stochastic Models, 30(2), 197-215.
  • Wai-sum Chan, S.H. Li, and Andrew C.Y. Ng (2013), “Pricing Options on Stocks Denominated in Different Currencies: Theory and Illustration,” The North American Journal of Economics and Finance, 26, 339-354.
  • S.H. Li and Andrew C.Y. Ng (2013), “Pricing and Hedging Variable Annuity Guarantees with Multi-Asset Stochastic Investment Models,” North American Actuarial Journal, 17(1), 41-62.
  • K.A. Fu and Andrew C.Y. Ng (2013), “A Note on the Strong Approximation for Long Memory Processes and Its Application,” Statistics: A Journal of Theoretical and Applied Statistics, 47(3), 511-520.
  • Wai-sum Chan, S.H. Li, and Andrew C.Y. Ng (2013), “Stochastic Life Table Forecasting: A Time-Simultaneous Fan Chart Applications,” Mathematics and Computers in Simulation, 93, 98-107.
  • K.A. Fu, Y. Li, and Andrew C.Y. Ng (2013), “Asymptotics for the Residual-based Approximation in nearly Non-stationary AR(1) Models with Possibly Heavy-tailed Innovations,” Statistics and Probability Letters, 83(11), 2553-2562.
  • S.H. Li and Andrew C.Y. Ng (2011), “Canonical Valuation of Mortality-linked Securities,” Journal of Risk and Insurance, 78(4), 853-884.
  • Wai-sum Chan, S.H. Li, and Andrew C.Y. Ng (2011), “Modelling Investment Guarantees in Japan: A Risk-Neutral GARCH Approach,” International Review of Financial Analysis, 20,  20-26.
  • Wai-sum Chan, S.H. Li, and Andrew C.Y. Ng (2011), “Modelling Old-Age Mortality Risk for the Populations of Australia and New Zealand: An Extreme Value Approach,” Mathematics and Computers in Simulation, 81, 1325-1333.
  • Wai-sum Chan, S.H. Li, and Andrew C.Y. Ng (2011), “On the Calibration of Mortality Forward Curves,” Journal of Futures Markets, 31(10), 947-970.
  • S.H. Li, and Andrew C.Y. Ng (2011), “Pricing Variable Annuity Guarantees with the Multivariate Esscher Transform,” Insurance: Mathematics and Economics, 49(3), 393-400.
  • Andrew C.Y. Ng (2010), “On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model with Phase-type Gains,” ASTIN Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 40(1), 281-306.
  • Andrew C.Y. Ng (2009), “On a Dual Model with a Dividend Threshold,” Insurance; Mathematics and Economics, 44(2), 315-324.
  • Andrew C.Y. Ng and Hailiang Yang (2006), “On the Joint Distribution of Surplus before and after Ruin under a Markovian Regime Switching Model,” Stochastic Processes and Their Applications, 116, 244-266.
  • Andrew C.Y. Ng and Hailiang Yang (2005), “Lundberg-type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under a Markov-modulated Risk Model,” ASTIN Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 35(2), 351-361.
  • Andrew C.Y. Ng and Hailiang Yang (2005), “Lundberg-type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen model,” North American Actuarial Journal, 9(2), 85-100.