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冯润桓

金融系    讲席教授
电话:62795565
办公室:李华楼B306
邮箱:fengrh@sem.tsinghua.edu.cn


教育经历

毕业于加拿大滑铁卢大学并获得精算学博士学位。曾就读加拿大康科迪亚大学并获得精算数学硕士,南开大学经济学院、数学科学院的保险、统计双学士。

执业资格包括北美精算师协会正精算师、全球CERA联合会认证的注册企业风险管理师。


工作经历

现为清华大学经济管理学院讲席教授。加入清华大学之前,曾是美国伊利诺伊大学厄巴纳香槟分校教授(终身教职)、State Farm集团讲席教授。曾担任美国伊利诺伊大学系统创新合作研究院金融与保险方向主管,协调州立大学系统与芝加哥金融、保险业的研究合作,旨在促进技术创新与科研转化。在美国伊利诺伊大学厄巴纳香槟分校工作期间,创立了伊利诺伊风险实验室,为来自不同背景的学生提供在风险治理领域的实践科研经历及为合作企业的咨询服务。在学科建设方面,推动了伊利诺伊大学精算领域课程改革,致力于推动精算与风险管理科学的建制。创立了职业与科研双轨人才培养、从本科到博士的完整教学体系。推进与数据科学、新兴科技的融合、创立了由文理学院和商学院共同支持的预测分析与风险管理硕士专业。曾推动建设由商学院、工程学院、文理学院共同资助的跨领域风险科学研究中心。


曾在美国威斯康星大学密尔沃基分校任职助理教授。先后任美国斯坦福大学计算与数理工程研究院、澳大利亚西南威尔士大学人口老龄化研究中心访问教授、由巴伐利亚洲科学研究与艺术部资助的德国慕尼黑工业大学访问教授,湖南大学金融与统计学院盛世景特聘教授。


现担任国际精算学期刊《North American Actuarial Journal》联合主编,以及《Insurance: Mathematics and Economics》, 《Annals of Actuarial Science》, 《Methodology and Computing in Applied Probability》, 《Quantitative Finance and Economics》等多个应用概率和数理金融国际学术期刊的副主编或编辑。


讲授课程

金融科技
社会保险
精算学


研究领域

保险与精算
社会保障与养老金融
新兴商务模式分析与优化
全球性风险治理

 


学术成果

目前共发表四十篇国际期刊学术论文和专著。其主要科研成果包括多个方面:

(1)投资型保险的风险管理技术:包括万能险、投资连结年金、变额年金等养老保险产品的定价、内生期权、责任准备金、动态对冲、风险测度等课题。其专著《投资连结保险的计量风险管理入门》是文献中首部系统阐述计量方法进行风险管控制技术的著作,已被列为北美精算师协会正精算师《数理金融》考试指定教材之一。

(2)社会保障及相关政策分析:美国联邦以及很多州的养老金立法往往基于专家政策建议但缺乏实证数据分析。由于养老金政策具有几代人影响周期,量化分析日益成为公共政策的理论基础。受伊利诺伊州众议院人事与年金委员会邀请,合作设计了多项最优结构化债券方案,出席伊州众议院针对养老金债券举行的公众听证会,并接受众议院议员咨询。

(3)区块链应用的商业模式:虽然在工程学中区块链的“硬件基础”研究较多,但在商业应用中衍生出的各种创新模式背后的“软件技术”数理分析较少,尤其是代币经济学的金融风险研究。其团队研究了基于区块链技术的新风险分摊商业模式,包括虚拟货币权益质押方式等有别与传统基于大数法则的精算定价是否能够有效反应风险实际程度、通过委托投票共识方式能否有效核保核赔等问题。其研究获得多个最佳论文奖,其著作《去中心化保险:商业模式的技术基础》成为北美精算师协会正精算师资格考试《公司财务与企业风险管理基础》指定教材之一。

(4)公共风险的防控机制:全世界面临诸多自然与人为灾害的共同风险,诸如人口老龄化、气候变化、大流行病等。如何有效地通过市场化机制和社会治理来减弱其灾难性影响成为全球共同可持续发展议题。以大流行病为例,其工作包括结合流行病医学模型与精算方法论来研究稀缺资源规划与储备、地域与时间分配、医疗保险补偿等应急管理、市场化机制以及公共卫生政策对大流行病防控的影响。


业界经历

致力于推进学术科研与产业发展结合。现为北美精算师协会科研决策委员会副主席,曾担任北美精算师协会教育与研究组理事会主席。曾主持多个北美精算师协会、北美产险精算师协会委托的行业发展研究、主持和参与了英特尔、思科等多家企业资助的联邦学习、隐私保护等研究。创立了非营利性组织In2Sure Foundation,致力于推广分布式金融科技与风险管控技术的教育与商业应用。


所获荣誉

2023  英国精算师协会杰弗里海伍德奖
2022  伊利诺伊大学迈克尔科拉生物数学奖
2021  国际精算师协会非寿险年会最佳论文奖
2020  北美产险精算师协会最佳科研奖
2019  全球风险管理专业协会金融量化方法年度会议最佳论文奖
2016  伊利诺伊大学文理学院海伦匹蒂学者
2012  威斯康星大学密尔沃基分校大学科研奖

 

Department of Finance    Chair Professor
Phone:(86)(10)62795565
E-mail:fengrh@sem.tsinghua.edu.cn
Office:Lihua Building B306


Educational Background

Feng received his Doctor of Philosophy in Actuarial Science from the University of Waterloo in Canada, Master of Science in Actuarial Mathematics from Concordia University in Canada, both Bachelor of Economics in Insurance and Risk Management and Bachelor of Science in Statistics from Nankai University in China.

Feng is a Fellow of the Society of Actuaries and a Chartered Enterprise Risk Analyst with the Global CERA Association.


Work Experience

Feng is currently a Chair Professor in the School of Economics and Management in Tsinghua University. Prior to that, he was a Professor of Mathematics, Statistics and Industrial Engineering, State Farm Companies Foundation Endowed Professor at the University of Illinois at Urbana-Champaign in the United States. Feng was also the Faculty Lead for the Finance and Insurance Sector at the University of Illinois System’s Discovery Partnership Institute, responsible for promoting and coordinating research collaboration and technology transfer with the State of Illinois and Chicago’s financial industry. While working in Illinois, he founded the Illinois Risk Lab, which provides experiential learning opportunities in areas of risk analytics for students from all backgrounds and consulting services to corporate partners. Feng led the development of Actuarial and Risk Management Sciences at the University of Illinois, establishing a comprehensive education system for both professional training and practical research, ranging from undergraduate to doctoral degree programs. Feng also promoted the integration of education and research with other academic units on risk sciences and emerging technology. He led the creation of the MS degree program in Predictive Analytics and Risk Management jointly supported by the College of Liberal Arts and Sciences and the Gies College of Business. He also led the development of a cross-campus research center on risk sciences at the University of Illinois.


Feng served as an Assistant Professor at the University of Wisconsin-Milwaukee, Visiting Professors to the Institute of Computing and Mathematical Engineering at Stanford University, ARC Centre of Excellence in Population Ageing Research at the University of New South Wales, Technical University of Munich supported by the Bavarian State Ministry of Science, Research, and the Arts, a Distinguished Professor at the College of Finance and Statistics in Hunan University.


Feng currently serves as a Co-Editor of a premier actuarial science academic journal North American Actuarial Journal, and an Associate Editor or an Editor for several other international academic journals including Insurance: Mathematics and Economics, Annals of Actuarial Science, Methodology and Computing in Applied Probability, Quantitative Finance and Economics.


Courses

Financial Technology
Social Insurance
Actuarial Science


Research Areas

Insurance and Actuarial Science
Social Security and Retirement Finance
Emerging Business Analytics and Optimization
Global Risks, Sustainability, Governance and Market Solutions


Publications

Feng published over forty papers on leading academic journals in actuarial science, quantitative finance and applied probability. His main contributions include but are not limited to:

(1) Computational risk management of equity-linked insurance: pricing, embedded option, reserving and risk capitals, hedging, etc. His book, An Introduction to Computational Risk Management of Equity-Linked Insurance, systematically exploited computational methods both from current practices and academic research for risk management and has been included as a designated textbook for the Society of Actuaries’ fellowship exam, Quantitative Finance.

(2) Pension and policy analysis: Regulations and laws on retirement systems in the United States are often based on lobbying and qualitative opinions. It is increasingly important to base legislation on quantitative and fact-based analysis. Feng was invited by the State of Illinois’ House of Representatives Personnel and Pension Committee to perform actuarial analysis for a legislative proposal for pension obligation bonds. Feng served as an expert witness in a public hearing at the state capitol in 2018.

(3) Decentralized Finance and Insurance: While there is a rich literature on the engineering infrastructure of blockchain technology, less is known for the quantitative basis of tokenomics for DeFi and DeIn applications, particularly in areas of market risks. Feng studied the mechanisms of emerging business models on decentralized risk sharing, such as pricing by stake, proxy voting for underwriting and claims, etc. His work received several best paper awards. The book, Decentralized Insurance: Technical Foundation of Business Models, has been designated as a textbook for the Society of Actuaries’ fellowship exam, Foundations of Corporate Finance and Enterprise Risk Management.

(4) Market and governance solutions for global risks: The world faces common risks from natural and anthropogenic disasters, such as population aging, climate change, pandemics, etc. It is an increasingly critical and complex issue for governments and corporations around the world to develop market and governance solutions in response to these global challenges. Feng’s work included the use of actuarial techniques and epidemiological models to study the planning, stocking, temporal-spatial allocations of critical medical resources, the impact of healthcare, disaster responses and other public health policies on pandemics.


Industry Experience

Feng is a passionate advocate for academic-industry partnerships through his involvement at professional organizations and entrepreneurial development. Currently serving as the Vice Chair of the Society of Actuaries’ Research Executive Committee. Served as the Chair of the Society of Actuaries’ Education and Research Section Council and a member of the InsurTech Advisory Council. He provided consulting services to many enterprises and startups. Led several consulting projects for the Society of Actuaries, the Casualty Actuarial Society on industry-wide surveys and research studies on emerging technologies. Led or participated in several research projects with industry leaders such as Intel Labs and Cisco on privacy preservation and federated learning. Founded the non-profit organization, In2Sure Foundation, whose mission is to promote the education, science and technology development of distributed technologies and risk management.


Honors

2023  Jeffrey Heywood Prize, the Institute and Faculty of Actuaries.
2022  Michael Colla Award for Mathematics Related to Medicine, University of Illinois.
2021  Best Paper Award, ASTIN Colloquium, the International Association of Actuaries.
2020  Best of 2020, Annual Meeting of the Casualty Actuarial Society.
2019  Best Paper Award, Quantitative Methods in Finance, Global Association of Risk Professionals.
2016  Helen Petit Professorial Scholar, College of Liberal Arts and Sciences,  University of Illinois.
2012  Research Fellow Award, University of Wisconsin-Milwaukee.