Yangwen Sun

Experience

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  Agriculture Financial Services Corporation (AFSC)

  Oct 2008 - Apr 2011

  Risk Analyst

  New product pricing - developed new livestock price insurance for livestock producers in Alberta, Canada. The insurance program provided producers risk management tools against unexpected price drop over a defined period of time. Key responsibilities were to (1) develop the live stock price forecast model for cattle and hog price insurance.(2) analyze currency, interest rate, future price, and volatility data as the base of setting up new premium, (3) carry profit test on historical data for rate making.New product launch - calculated daily premium rate with live-streaming data by SAS, Excel with VBA and ProphetX. This new product has won Alberta Premier’s Award of Excellence for insurance program in Canada. It was later successfully extended to western Canada ( product website: wlpip.ca).Worked closely with business unit for the design and requirement of the new product, and worked with IT unit for the daily data streamline process. Crop insurance rating - calculated premiums for crops based on GIS data from satellites, weather stations, historical prices and claim rates (experiences) by SAS. Developed and maintained rating formula.Remote teamwork - coordinated the actuarial work through VPN connection and Webinar across continents. The effectiveness of the remote working was demonstrated by the successful launch of the award-winning product. Show less

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  ITRI

  Oct 2011 - Sept 2012

  Associate Engineer

  Database interface - built the next-generation operation and management system for fleet-vehicle operators in China. Adhered the system architecture to telematics standards. Key responsibilities including database maintenance and data query system development. Established data communication between vehicle telematics control unit to central data management platform. Programmed using C# and MS SQL to construct the user interface and database management.Innovation award - coordinated innovation project of traveler safety system. Won 2012 Network of Automotive Excellence Innovation Award and presented the work in Düsseldorf, Germany.EV charging Standard - drafted the national standard of data communication for electric vehicle. A joint project collaborated with the Automotive Research Test Center in Taiwan. Established Charging standard for electric vehicle in Taiwan to align with European IEC 62196 and American SAE J3068 standard. Show less

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  Allianz

  Sept 2012 - Jan 2014

  Actuarial Associate

  Reserve calculation - evaluated reserves in accordance with US GAAP and local regulation for existing life and health insurance policies. The actuarial reserves were reviewed on a monthly basis.Profit test and sensitivity analysis - tested the sensitivity of profit margin with respect to various pricing assumptions. Studied the impact of various risk scenarios on assets and liabilities. Reported the result to corporate ALM team for asset and liability management.Valuation validation - validated reserve calculation and profit test model using Excel with VBA.Computation system management - implemented and maintained actuarial formulas in corporate-actuarial computation system using C++. Show less

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  Humboldt University of Berlin

  Sept 2016 - now

  Doctoral Researcher

  Online Change Point Detection- devised a graph-based change-point detection algorithm to continuously detect parameters change in low-to-high dimensional data. Through numerical analysis, this novel method has demonstrated high detection accuracy (true positive rate, low false negative rate). The methodology has been proven to have theoretical base to achieve the required accuracy. Time series analysis - detected the average and volatility shifts in financial time series such as S&P 500. A financial alarm can be setup to timely detect the abrupt changes in financial data.It can be applied to monitor parameter/assumptions in the model to signal time for an update.Monte Carlo Simulation - for complex random variables, it is usually difficult to be described in analytic form. Applied Monte Carlo simulation to estimate the distribution of such complex random variables. The numerical analysis can be use to assess the probabilistic distribution of the uncertain outcome for risk assessment.Data driven statistics - applied Bootstrap procedures in data resampling, parameter estimation and hypothesis testing Show less