Research interests include extreme value theory, dependence modeling, insurance risk securitization, catastrophe risk pricing, and flood risk management.
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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 journal › Article › peer-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 journal › Article › peer-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 journal › Article › peer-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 journal › Article › peer-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 journal › Article › peer-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 journal › Article › peer-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 journal › Article › peer-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 journal › Article › peer-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 journal › Article › peer-review