Zhongyi Yuan

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IEE Research Themes
Affiliate Researcher
Titles and Affiliations
Associate Professor, Risk Management

Research interests include extreme value theory, dependence modeling, insurance risk securitization, catastrophe risk pricing, and flood risk management.

In the News

Research Keywords

Recent Publications

Indifference pricing of insurance-linked securities in a multi-period model

Liu, H., Tang, Q. & Yuan, Z., Mar 1 2021, In: European Journal of Operational Research. 289, 2, p. 793-805 13 p.

Research output: Contribution to journalArticlepeer-review

Robust Actuarial Risk Analysis

Blanchet, J., Lam, H., Tang, Q. & Yuan, Z., Jan 2 2019, In: North American Actuarial Journal. 23, 1, p. 33-63 31 p.

Research output: Contribution to journalArticlepeer-review

CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION

Tang, Q. & Yuan, Z., May 1 2019, In: ASTIN Bulletin. 49, 2, p. 457-490 34 p.

Research output: Contribution to journalArticlepeer-review

A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

Chen, Y. & Yuan, Z., Mar 1 2017, In: Insurance: Mathematics and Economics. 73, p. 75-81 7 p.

Research output: Contribution to journalArticlepeer-review

A limit distribution of credit portfolio losses with low default probabilities

Shi, X., Tang, Q. & Yuan, Z., Mar 1 2017, In: Insurance: Mathematics and Economics. 73, p. 156-167 12 p.

Research output: Contribution to journalArticlepeer-review

An asymptotic characterization of hidden tail credit risk with actuarial applications

Yuan, Z., Jul 1 2017, In: European Actuarial Journal. 7, 1, p. 165-192 28 p.

Research output: Contribution to journalArticlepeer-review

Random difference equations with subexponential innovations

Tang, Q. H. & Yuan, Z. Y., Dec 1 2016, In: Science China Mathematics. 59, 12, p. 2411-2426 16 p.

Research output: Contribution to journalArticlepeer-review

The loss given default of a low-default portfolio with weak contagion

Wei, L. & Yuan, Z., Jan 1 2016, In: Insurance: Mathematics and Economics. 66, p. 113-123 11 p.

Research output: Contribution to journalArticlepeer-review

Randomly weighted sums of subexponential random variables with application to capital allocation

Tang, Q. & Yuan, Z., Sep 1 2014, In: Extremes. 17, 3, p. 467-493 27 p.

Research output: Contribution to journalArticlepeer-review