Zhongyi Yuan, Ph.D., A.S.A.

Transcription

1 Zhongyi Yuan, Ph.D., A.S.A. Department of Risk Management Smeal College of Business The Pennsylvania State University 362 Business Building University Park, PA Office phone: (814) Education Ph.D., Statistics with concentration in Actuarial Science/Financial Mathematics, University of Iowa, 2013 Dissertation: Quantitative analysis of extreme risks in insurance and finance Supervisor: Dr. Qihe Tang M.S., Statistics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 2008 Thesis: Bias correction for the LSDV estimator of a dynamic panel data model with fixed effects in the presence of dependent cross-section disturbances B.S., Computer Science, Beijing Normal University, 2004 Employment Assistant Professor of Risk Management, Smeal College of Business, The Pennsylvania State University, 2013 Present Professional Membership Associate of the Society of Actuaries (ASA), 2016 Present Member of American Risk and Insurance Association (ARIA) Research Interest Catastrophe risk modeling Insurance-linked securities Extreme value theory Stochastic dependence Rare event simulation 1

2 Publication Refereed publication Blanchet, J. H.; Lam, H.; Tang, Q.; Yuan, Z. Robust actuarial risk analysis. North American Actuarial Journal, to appear. Ambrose, B.; Yuan, Z. Pricing government credit: a new method for determining government credit risk exposure. Economic Policy Review, to appear. Yuan, Z. An asymptotic characterization of hidden tail credit risk with actuarial applications. European Actuarial Journal 7 (2017), Shi, X.; Tang, Q.; Yuan, Z. A limit distribution of credit portfolio losses with low default probabilities. Insurance: Mathematics and Economics 73 (2017), Chen, Y.; Yuan, Z. A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks. Insurance: Mathematics and Economics 73 (2017), Tang, Q.; Yuan, Z. Random difference equations with subexponential innovations. Science China Mathematics 59 (2016), (Invited, special issue in memory of Professor Xiru Chen) Wei, L.; Yuan, Z. The loss given default of a low-default portfolio with weak contagion. Insurance: Mathematics and Economics 66 (2016), Tang, Q.; Yuan, Z. Interplay of insurance and financial risks with bivariate regular variation. Contribution to Extreme Value Modeling and Risk Analysis: Methods and Applications, edited by Dipak Dey and Jun Yan. New York: Chapman & Hall/CRC, Tang, Q.; Yuan, Z. Randomly weighted sums of subexponential random variables with application in capital allocation. Extremes 17 (2014), Tang, Q.; Yuan, Z. Asymptotic analysis of the loss given default in the presence of multivariate regular variation. North American Actuarial Journal 17 (2013), Tang, Q.; Yuan, Z. A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. North American Actuarial Journal 16 (2012), Yu, X.; Yuan, Z.; Yu, C.; Yang, M. Computer implementation of probability distribution quantile estimation. International Conference on Machine Learning and Cybernetics 5 (2005), IEEE, Submitted Tang, Q.; Yuan, Z. Pricing CAT bonds under a product probability measure with POT risk characterization. Second-round revision at ASTIN Bulletin. 2

3 Work in progress Yuan, Z.; Zhu, D. Insurers contingent convertible with a regulation consistent trigger. In Progress. Liu, H.; Tang, Q.; Yuan, Z. Indifference pricing of securities linked to insurance risks. In Progress. Hua, L.; Su, J.; Yuan, Z. Relative maximal tail dependence and tail non-exchangeability. In Progress. Shen, C.; Yuan, Z. A CLM-PAWS-EVT approach to flood insurance pricing. Progress. Li, B.; Yuan, Z. Optimal call of insurers contingent convertible bonds. In Progress. Asimit, A. V.; Tang, Q.; Yuan, Z. Strength of dependence in extreme regions measured by Kendall s Tau. In Progress. Research report Blanchet, J. H.; Lam, H.; Tang, Q. Yuan, Z. Mitigating extreme risks through securitization. Society of Actuaries Research Report, Blanchet, J. H.; Lam, H.; Tang, Q. Yuan, Z. Applied robust performance analysis for actuarial applications. Society of Actuaries Research Report, Teaching The Pennsylvania State University Financial Mathematics for Actuaries ( named Compound Interest and Annuities before 2016), Fall of Property and Casualty Insurance, Spring 2014, Spring of The University of Iowa Quantitative Methods for Actuaries, Spring 2013 Actuarial Exam FM/2 Preparation, Fall 2009 Fall 2012 Actuarial Exam P/1 Preparation, Fall of Credibility and Survival Analysis (Teaching Assistant), Spring 2012 Loss Distributions (Teaching Assistant), Spring 2012 Discussion session of Statistics for Business, Summer 2009 Discussion session of Statistics and Society, Spring 2009 Applied Linear Regression (Teaching Assistant), Fall 2008 Participated in Dr. Nariankadu D. Shyamalkumar s development of a system that generates individualized assignments for each student to promote independent work 3 In

4 Conference and Talk The 21st International Congress on Insurance: Mathematics and Economics (IME), University of New South Wales, Sydney, Australia, July 16 18, 2018 Talk title: Insurers contingent convertible with a regulation consistent trigger Invited talk: International Workshop on Risks in Insurance and Finance, Lanzhou, China, June 07 09, 2018 Talk title: Pricing bonds linked to insurance risks: probability distortion vs utility indifference Invited talk: The 4th International Workshop on Statistical Modelling of Heavy-Tail Phenomena with Applications, Suzhou, China, June 01 04, 2018 Talk title: An asymptotic characterization of hidden tail credit risk with actuarial applications American Economic Asscoiation (AEA) Annual Meeting, Philadelphia, PA, USA, January 5 7, 2018 Invited talk: Department of Mathematics, University of Illinois Urbana-Champaign, IL, USA, November 7, 2017 Talk title: An extreme value approach to the pricing and basis risk characterization of ILS The 21st International Congress on Insurance: Mathematics and Economics (IME), Vienna University of Technology, Vienna, Austria, July 3 5, 2017 Talk title: Insurers contingent convertibles with a regulation consistent trigger (Canceled due to trip interuption) Invited talk: The 10th International Conference on Extreme Value Analysis (EVA), Delft University of Technology, Delft, The Netherlands, June 26 30, 2017 Talk title: CAT bond pricing under a product probability measure with EVT risk characterization Invited talk: Department of Statistics, Purdue University, West Lafayette, IN, USA, April 24, 2017 Talk title: An extreme value approach to the pricing and basis risk characterization of ILS Invited talk: Smeal College of Business, The Pennsylvania State University, University Park, PA, USA, December 15, 2016 Talk title: An extreme value approach to Catastrophe bond pricing 4

5 Invited talk: Department of Statistics and Actuarial Science, University of Waterloo, Ontario, Canada, November 24, 2016 Talk title: An extreme value approach to the pricing and basis risk characterization of ILS The 20th International Congress on Insurance: Mathematics and Economics (IME), Georgia State University, Atlanta, GA, USA, July 25 27, 2016 Talk title: CAT bond pricing using extreme value theory The 9th Conference in Actuarial Science and Finance on Samos, University of the Aegean, Samos, Greece, May 18 22, 2016 Talk title: Hidden tail risk of a credit portfolio with random recoveries Invited talk: Department of Insurance, The School of Finance, Renmin University of China, Beijing, China, December 18, 2015 Talk title: Insurance tail risk and related topics The 50th Actuarial Research Conference (ARC), University of Toronto, ON, Canada, August 5 8, 2015 Talk title: The loss given default of a low-default portfolio The 19th International Congress on Insurance: Mathematics and Economics (IME), University of Liverpool, Liverpool, UK, June 24 26, 2015 Talk title: Quantitative analysis of the basis risk of double-triggered Industry Loss Warranties Invited talk: Department of Statistics, The Pennsylvania State University, University Park, PA, USA, April 24, 2015 Talk title: Ruin and portfolio optimization for an insurer under tail dependent risks Invited talk: Department of Statistics and Actuarial Science, University of Iowa, Iowa City, IA, USA, February 5, 2015 Talk title: Multivariate extreme risks in insurance and finance The 49th Actuarial Research Conference (ARC), University of California-Santa Barbara, CA, USA, July 13 16, 2014 Talk title: Interplay of asymptotically dependent insurance risks and financial risks The 2014 Centers of Actuarial Excellence (CAE) Faculty Conference, InterContinental Chicago O Hare Hotel, Chicago, IL, USA, June 12 13, 2014 The 48th Actuarial Research Conference (ARC), Temple University, Philadelphia, PA, USA, July 31 August 03, 2013 Talk title: Hidden risks of a credit portfolio with stochastic recovery 5

6 The 8th Conference on Extreme Value Analysis (EVA), Fudan University, Shanghai, China, July 08 12, 2013 Talk title: Randomly weighted sums of subexponential random variables in insurance and finance Invited talk, Department of Risk Management, Smeal College of Business, The Pennsylvania State University, University Park, PA, USA, March 13, 2013 Talk title: Quantitative analysis of extreme portfolio risks Invited talk, Department of Mathematical Sciences, University of Wisconsin-Milwaukee, Milwaukee, WI, USA, February 26, 2013 Talk title: Asymptotic analysis of extreme portfolio risks Invited talk, Department of Actuarial Mathematics & Statistics, Heriot-Watt University, Edinburgh, UK, January 15, 2013 Talk title: Asymptotic analysis of the loss given default in the presence of multivariate regular variation Invited talk, College of Business and Public Administration, Drake University, Des Moines, IA, USA, November 19, 2012 Talk title: Quantitative analysis of extreme risks in insurance and finance The 47th Actuarial Research Conference (ARC), University of Manitoba, Winnipeg, Manitoba, Canada, August 1 4, 2012 Talk title: Loss given default in the presence of multivariate regular variation The 16th International Congress on Insurance: Mathematics and Economics (IME), The University of Hong Kong, Pokfulam, Hong Kong, China, June 28 30, 2012 Talk title: Loss given default in the presence of multivariate regular variation Society of Actuaries (SOA) 2011 Annual Meeting, Sheraton Chicago Hotel & Towels, Chicago, IL, USA, October 16 19, 2011 The 46th Actuarial Research Conference (ARC), University of Connecticut, Storrs, CT, USA, August 11 13, 2011 Talk title: A dynamic procedure of portfolio optimization in a bivariate autoregressive insurance model Service Conference Scientific Committee of The 6th International Gerber Shiu Workshop, Renmin University of China, June 8 9,

7 Scientific Committee of The 54th Actuarial Research Conference, Purdue University, 2019 Unversity committee Faculty and staff awards committee, The Pennsylvania State University, Review Reviewer for Mathematical Reviews, American Mathematical Society, March, 2017 Present Selected referee work ASTIN Bulletin: The Journal of the International Actuarial Association Computational Statistics and Data Analysis Discovery Grant Applications, Mathematics and Statistics, Natural Sciences and Engineering Research Council (NSERC) of Canada, Insurance: Mathematics and Economics Mathematics of Operations Research North American Actuarial Journal Journal of Multivariate Analysis Journal of the Royal Statistical Society: Series C Risks Student supervision Ph.D. committee Zhongyang He (Department of Energy and Mineral Engineering, The Pennsylvania State University) Honors thesis supervision Coleen Tygh (Department of Risk Management, The Pennsylvania State University) Matt Mielnik (Department of Risk Management, The Pennsylvania State University) Boya Li (Department of Mathematics, The Pennsylvania State University) Short-term Visit Monash University, Melbourne, Australia, July 3 5, 2018 University of New South Wales, Australia, June 27 July 27, 2018 Renmin University of China, Beijing, China, December 9 23, 2015 University of Iowa, Iowa City, IA, February 3 14,

8 Award and Honor Educational Institution Grant, Society of Actuaries, $5,000. December, Presentation award, 3rd prize, The 9th Conference in Actuarial Science and Finance on Samos, University of the Aegean, Samos, Greece, May 18 22, 2016 Society of Actuaries, Research Expanding Boundaries (REX) Funding Pool, Tail Risk Analysis and Correlation of Risks in Tail/Extreme Environments, approximately $80,403, Principal Investigator (with Principal Investigators Dr. Jose H. Blanchet, Dr. Henry Lam, and Dr. Qihe Tang), Taylor Award in Actuarial Stochastics, $3,000, Department of Statistics and Actuarial Science, University of Iowa, Committee on Knowledge Extension Research (CKER) Actuarial Research Conference (ARC) Travel Grant, up to $1,000, 2012 Society of Actuaries Individual Grant Competition, Conditional Tail Expectation for Portfolio Losses with Applications to Credit Risk Management, $24,200, Co-Investigator (with Principal Investigator Dr. Qihe Tang and Co-Investigators Bin Li and Fan Yang), James C. Hickman Scholar Doctoral Stipend, $20,000/year, Society of Actuaries, Society of Actuaries Committee on Knowledge Extension Research (CKER) Individual Grants, Dynamic Risk Management for Insurance in the Presence of Correlated Extreme Risks, $20,677, Co-Investigator (with Principal Investigator Dr. Qihe Tang), Graduate College Summer Fellowship, $3,000, University of Iowa, 2011 Henry L. Rietz Award for outstanding performance in the Ph.D. comprehensive exam, Department of Statistics and Actuarial Science, University of Iowa, 2010 Last updated on October 5,